** **

**UNITEDSTATES**

**SECURITIESAND EXCHANGE COMMISSION**

**Washington,D.C.  20549**

 

**FORM 10-K**

** **

**x  AnnualReport Pursuant to Section 13 or 15(d) of the Securities Exchange Act of1934**

** **

**For thefiscal year ended: December 31, 2009**

** **

**or**

** **

**o  TransitionReport Pursuant to Section 13 or 15(d) of the Securities Exchange Actof 1934**

** **

**Commissionfile number: 0-52505**

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**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

(Exact name ofregistrant as specified in its charter)

 

| **Delaware**                     | ** ** | **30-0408280**       |
|----------------------------------|------------|----------------------|
| (State or other  jurisdiction of |       | (I.R.S. Employer     |
| incorporation or  organization)  |       | Identification  No.) |

 

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

**Four World Financial Center, 6****th**** Floor**

**250 Vesey Street**

**New York, New York 10080**

(Address of principal executive offices)

(Zip Code)

 

**212-449-3517**

 (Registrant’stelephone number, including area code)

 

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

 

Securities registered pursuant to Section 12(g) of the Act:**Units of Limited LiabilityCompany Interest**

 

Indicate by checkmark if the registrant is a well-known seasoned issuer, as defined in Rule 405of the Securities Act.  Yes o  No x

 

Indicate by checkmark if the registrant is not required to file reports pursuant to Section 13or 15(d) of the Act.  Yes o  No x

 

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

 

Indicateby check mark whether the registrant has submitted electronically and posted onits corporate Web site, if any, every Interactive Data File required to besubmitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 ofthis chapter) during the preceding 12 months (or for such shorter period thatthe registrant was required to submit and post such files).  Yes o  No o

 

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

 

Indicate by checkmark whether the registrant is a large accelerated filer, an accelerated filer,a non-accelerated filer, or smaller reporting company. See the definitions of “largeaccelerated filer”, “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 Act).  Yes o  No x

 

The Units of the limited liability company interest ofthe registrant are not publicly traded. Accordingly, there is no aggregatemarket value for the registrant’s outstanding equity that is readilydeterminable.

 

As February 28,2010 units of limited liability company interest with a Net Asset Value of$868,882,656 were outstanding and held by non-affiliates.

 

**Documents Incorporated by Reference**

 

The registrant’s2009 Annual Reports and Report of Independent Registered Public AccountingFirms, the annual report to security holders for the period ended December 31,2009, is incorporated by reference into Part II, Item 8, and Part IVhereof and filed as an Exhibit herewith. Copies of the annual report areavailable free of charge by contacting Alternative Investments Client Servicesat 1-866-MER-ALTS.

 

 

 

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**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

 

ANNUAL REPORT FOR 2009 ON FORM 10-K

 

Table of Contents

 
| ** **    | ** **                                                                                                          | **PAGE** |
|---------------|---------------------------------------------------------------------------------------------------------------------|----------|
|          |                                                                                                                |     |
| PART I   |
|          |                                                                                                                |     |
| Item 1.       | Business                                                                                                            | 1        |
|          |                                                                                                                |     |
| Item 1A.      | Risk Factors                                                                                                        | 6        |
|          |                                                                                                                |     |
| Item 1B.      | Unresolved Staff  Comments                                                                                          | 8        |
|          |                                                                                                                |     |
| Item 2.       | Properties                                                                                                          | 8        |
|          |                                                                                                                |     |
| Item 3.       | Legal Proceedings                                                                                                   | 8        |
|          |                                                                                                                |     |
| Item 4.       | Reserved                                                                                                            | 8        |
|          |                                                                                                                |     |
| PART II  |
|          |                                                                                                                |     |
| Item 5.       | Market for Registrant’s  Common Equity, Related Stockholder Matters and Issuer Purchases of Equity  Securities | 9        |
|          |                                                                                                                |     |
| Item 6.       | Selected Financial Data                                                                                             | 11       |
|          |                                                                                                                |     |
| Item 7.       | Management’s Discussion  and Analysis of Financial Condition and Results of Operations                         | 20       |
|          |                                                                                                                |     |
| Item 7A.      | Quantitative and  Qualitative Disclosures about Market Risks                                                        | 25       |
|          |                                                                                                                |     |
| Item 8.       | Financial Statements  and Supplementary Data                                                                        | 36       |
|          |                                                                                                                |     |
| Item 9.       | Changes in and  Disagreements with Accountants on Accounting and Financial Disclosure                               | 36       |
|          |                                                                                                                |     |
| Item 9A(T).   | Controls and Procedures                                                                                             | 36       |
|          |                                                                                                                |     |
| Item 9B.      | Other Information                                                                                                   | 37       |
|          |                                                                                                                |     |
| PART III |
|          |                                                                                                                |     |
| Item 10.      | Directors, Executive  Officers and Corporate Governance                                                             | 38       |
|          |                                                                                                                |     |
| Item 11.      | Executive Compensation                                                                                              | 40       |
|          |                                                                                                                |     |
| Item 12.      | Security Ownership of  Certain Beneficial Owners and Management and Related Stockholder Matters                     | 40       |
|          |                                                                                                                |     |
| Item 13.      | Certain Relationships  and Related Transactions and Director Independence                                           | 40       |
|          |                                                                                                                |     |
| Item 14.      | Principal Accountant  Fees and Services                                                                             | 41       |
|          |                                                                                                                |     |
| PART IV  |
|          |                                                                                                                |     |
| Item 15.      | Exhibits and Financial  Statement Schedules                                                                         | 43       |

 

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**PART I**

 

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

 

(a)                                  General Development of Business:

 

ML Systematic MomentumFuturesAccess LLC (the “Fund”) was organized under the Delaware LimitedLiability Company Act on March 8, 2007 and commenced activities on April 2,2007. The Fund operates as a “fund of funds” allocating and reallocating itscapital under the direction of Merrill Lynch Alternate Investments LLC (“MLAI”),the sponsor and manager of the Fund, among eight underlying MLAI sponsored andmanaged Futures Access Funds (each a “Portfolio Fund,” and collectively the “PortfolioFunds”). The Fund issues new units of limited liability company interest (“Units”)at Net Asset Value per Unit (see Item 6 for discussion of net asset value andnet asset value per unit for subscriptions and redemptions purposes hereinafterreferred to as Net Asset Value and Net Asset Value per Unit ) as of thebeginning of each calendar month.

 

MLAI is the sponsor andthe manager of the Fund.  MLAI is anindirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”),a wholly-owned subsidiary of Merrill Lynch, is the  commodity broker, of the Portfolio Funds. On September 15,2008, Merrill Lynch (or the “Company”) entered into an Agreement and Plan ofMerger (as amended by Amendment No. 1 dated as of October 21, 2008,the “Merger Agreement”) with Bank of America Corporation (“Bank of America”).Pursuant to the Merger Agreement, on January 1, 2009, a wholly-ownedsubsidiary of Bank of America (“Merger Sub”) merged with and into MerrillLynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America (the “Merger”).

 

The Fund calculates thenet asset value per Unit of each class of Units as of the close of business onthe last business day of each calendar month and such other dates as MLAI maydetermine in its discretion. The Fund’s net asset value as of any calculationdate will generally equal the value of the Fund’s investments in the underlyingfunds as of such date, plus any other assets held by the Fund, minus accruedbrokerage commissions, sponsor’s, management and performance fees,organizational expense amortization and any operating costs and otherliabilities of the Fund.  MLAI isauthorized to make all net asset value determinations.

 

The Net AssetValue and the Net Asset Value per Unit in accordance with accounting principles generally accepted in theUnited States of America (“U.S. GAAP”) was $868,301,244 and $1.1397 for Class A,$1.1596 for Class C, $1.3259 for Class D, $1.2024 for Class I,$1.1833 for Class D1 and $0 for Class DA.

 

The highest month-end NetAsset Value per Unit  for  Class A since the Fund began operationswas $1.2561 (December 31, 2008) and the lowest was $0.9090 (August 31,2007.) The highest month-end Net Asset Value per Unit  for Class C since the Fund beganoperations was $1.2909 (December 31, 2008) and the lowest was $0.9467 (August 31,2007).  The highest month-end Net AssetValue per Unit  for Class D sincethe Fund began operations was $1.4396 (December 31, 2008) and the lowestwas $1.0212 (August 31 2007).The highest month-end Net Asset Value perUnit  for Class I since the Fundbegan Operations was $1.3199 (December 31, 2008) and the lowest was$0.9500 (August 31, 2007). The highest month-end Net Asset Value perUnit  for Class D1 since the Fundbegan operations was $1.2848 (December 31, 2008) and the lowest was$0.9113 (August 31, 2007) .  Thehighest month-end Net Asset Value per Unit for Class DA since the Fund began Operations was $1.0282 (December 31,2008) and the lowest was $0.9460 (July 31, 2009).

 

(b)                                 Financial Information about Segments:

 

The Fund’sbusiness constitutes only one segment for financial reporting purposes, i.e*.,* a speculative “commodity pool”. TheFund does not engage in sales of goods or services.

 

(c)                                  Narrative Description of Business:

 

***General***

 

The Fund mayinvest in seven separate funds which trade in the futures and forward marketswith the objective of achieving substantial capital appreciation.

 

ThePortfolio Funds in which the Fund may invest as of December 31, 2009 are:ML Altis FuturesAccess LLC

 

1

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(“Altis”), ML AspectFuturesAccess LLC (“Aspect”), ML BlueTrend Futures (“BlueTrend”), ML ChesapeakeFuturesAccess LLC (“Chesapeake”), ML John Locke FuturesAccess LLC (“John Locke”),ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and  ML Winton FuturesAccess LLC (“Winton”).  Each underlying fund has its own TradingAdvisor. MLAI, the sponsor and manager of the Fund, may in its discretion,change the Portfolio Funds at any time. MLAI, also at it discretion may varythe percentage of the Fund’s total portfolio allocated to the differentPortfolio Funds. There is no pre-established range for the minimum and maximumallocations that may be made to any given Portfolio Fund.

 

ML Systematic MomentumFuturesAccess LLC currently invests in the following underlying Portfolio Fundswhich are advised, respectively, by the trading advisors (“Trading Advisors”)as indicated below:

 
| **Portfolio Funds**                           | ** ** | **Trading Advisors**                |
|-----------------------------------------------|------------|-------------------------------------|
|                                          |       |                                |
| ML Altis FuturesAccess  LLC                   |       | Altis Partners (Jersey)  Limited    |
| (the “Altis Fund”)                  |       | (“Altis”)                 |
| ML Aspect FuturesAccess  LLC                  |       | Aspect Capital Limited              |
| (the “Aspect Fund”)                 |       | (“Aspect”)                |
| ML Chesapeake  FuturesAccess LLC              |       | Chesapeake Capital  Corporation     |
| (the “Chesapeake Fund”)             |       | (“Chesapeake”)            |
| ML Transtrend DTP  Enhanced FuturesAccess LLC |       | Transtrend B.V.                     |
| (the “Transtrend Fund”)             |       | (“Transtrend”)            |
| ML Winton FuturesAccess  LLC                  |       | Winton Capital  Management Limited  |
| (the “Winton Fund”)                 |       | (“Winton”)                |
| ML John Locke  FuturesAccess LLC              |       | John Locke Investments  SA          |
| (the “John Locke Fund”)             |       | (“John Locke”)            |
| ML BlueTrend  FuturesAccess LLC               |       | BlueCrest Capital  Management, L.P. |
| (the “BlueTrend Fund”)              |       | (“BlueTrend”)             |
| ML GSA FuturesAccess  LLC*                    |       | GSA Capital Partner,  LLP           |
| (the “GSA Fund”)                    |       | (“GSA”)                   |

 

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* GSA Fund Liquidated as of May 2009

 

As used herein,references to the Fund’s (i) trading activities, (ii) tradingadvisors, (iii) custody of assets arrangements and (iv) accountsrefer to such activities, trading advisors, arrangements and accounts of thePortfolio Funds through which the Fund invests, as applicable.

 

***Employees***

 

The Fund has no Employees.

 

**Useof Proceeds and Cash Management Income**

 

SubscriptionProceeds

 

The Fund’s cash isused as security for and to pay the Fund’s trading losses as well as itsexpenses and redemptions. The primary use of the proceeds of the sale of theUnits is to permit the Portfolio Funds to trade on a speculative basis in awide range of different futures and forwards markets on behalf of the Fund(through the Portfolio Funds).  Whilebeing used for this purpose, the Fund’s assets are also generally available forcash management, as more fully described below under “Cash Assets”.

 

Market Sectors

 

The respectiveadvisors of the Portfolio Funds apply their proprietary systems to abroadly-diversified portfolio of futures and forward markets.

 

2

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The PortfolioFunds’ commitments to different types of markets — U.S. and non-U.S., regulatedand non-regulated — differ substantially from time to time, as well as overtime.  The Portfolio Funds have no policyrestricting its relative commitment to any of these different types of markets.

 

Market Types

 

The PortfolioFunds trade on a variety of United States and foreign futures exchanges as wellas “over the counter”.  Substantially allof the Portfolio Funds’ off-exchange trading takes place in the highly liquid,institutionally-based currency forward markets.

 

Many of thePortfolio Funds’ currency trades are executed in the spot and forward foreignexchange markets (the “FX Markets”) where there are no direct execution costs.  Instead, the participants, banks and dealersin the FX Markets take a “spread” between the prices at which they are preparedto buy and sell a particular currency and such spreads are built into thepricing of the spot or forward contracts with the Portfolio Funds.

 

Custody of Assets

 

Substantially, allof the Portfolio Funds’ assets are currently held in one or more CommodityFutures Trading Commission (“CFTC”) regulated customer accounts at MLPF&Sor at a fund managed by an affiliated entity as discussed below.

 

CashAssets

 

Each PortfolioFund will generally earn interest, as described below, on its “Cash Assets”,which can be generally described as the cash actually held by the PortfolioFund plus its “open trade equity” (unrealized gain and loss marked to marketdaily on open positions of the Portfolio Funds).   Cash Assets are held primarily in U.S.dollars, and to a lesser extent in foreign currencies, and are comprised ofeach Portfolio Funds’ cash balances held in the offset accounts (as describedbelow) — which include “open trade equity” (unrealized gain and loss on openpositions) on United States futures contracts, which is paid into or out of thePortfolio Funds’ account on a daily basis; the Portfolio Funds’ cash balance inforeign currencies derived from their trading in non-U.S. dollar denominatedfutures and options contracts, which includes open trade equity on thoseexchanges which settle gains and losses on open positions in such contractsprior to closing out such positions. Cash Assets do not include and the Portfolio Funds do not earn interestincome on the Portfolio Funds’ gains or losses on its open forward, commodityoption and certain foreign futures positions since such gains and losses arenot collected or paid until such positions are closed out.

 

The PortfolioFunds’ Cash Assets may be greater than, less than or equal to the PortfolioFunds’ Net Asset Value (on which the redemption value of the Units is based)primarily because Net Asset Value reflects all gains and losses on openpositions as well as accrued but unpaid expenses.

 

Interest Earned onthe Fund’s U.S. Dollar Cash Assets

 

Certain of eachFuturesAccess Fund’s U.S. dollar “Cash Assets” (as defined below) are held byMLPF&S in customer segregated accounts and primarily invested inCFTC-eligible investments (including, without limitation, commercial paper,U.S. government and government agency securities, prime non-U.S. governmentsecurities, corporate notes and money market funds). Cash Assets may also bemaintained in “offset accounts” at major U.S. banks, interest bearing savingsaccounts maintained with major U.S. banks unaffiliated with Merrill Lynchand/or money market investment funds that are managed by third party managers,including affiliates of Merrill Lynch.

 

Offset accounts arenon-interest bearing demand deposit accounts maintained with banks unaffiliatedwith Merrill Lynch. MLPF&S may in the future elect to maintain accounts ofthis nature with one or more of its affiliates. Offset account deposits reduce MerrillLynch’s borrowing costs with such banks. An integral feature of the offsetarrangements is that the participating banks specifically acknowledge that theoffset accounts are for the benefit of MLPF&S’ customers, not subject toany Merrill Lynch liability.

 

To the extent that CashAssets are placed with affiliates of Merrill Lynch, Merrill Lynch indirectlyreceives certain economic benefits and therefore has a conflict of interest inselecting such third parties. For example, Merrill Lynch may invest in moneymarket funds managed by BlackRock, Inc. or its affiliates (“BlackRock”).Merrill Lynch is a substantial stockholder in BlackRock and, therefore,potentially benefits from its economic interest in BlackRock whenever BlackRock

 

3

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receives compensation formanaging Cash Assets invested in money market investment funds managed byBlackRock.

 

Interest Paid byMerrill Lynch on Non-U.S. Dollar Cash Assets

 

Each FuturesAccess Fundwill generally earn interest, as described below, on its Cash Assets, which canbe generally described as the cash actually held by such FuturesAccess Fund,plus its “open trade equity” (unrealized gain and loss marked to market dailyon open positions). Cash Assets are held primarily in U.S. dollars, and to alesser extent in non-U.S. currencies, and comprise the following: (a) eachFuturesAccess Fund’s cash balances, plus open trade equity onU.S. futures; and (b) eachFuturesAccess Fund’s cash balances held in non-U.S. currencies as a result ofrealized profits and losses derived from its trading in non-U.S.dollar-denominated futures and options contracts, plus open trade equity onthose exchanges which settle gains and losses on open positions in suchcontracts prior to closing out such positions.Cash Assets do not include, andthe FuturesAccess Funds do not earn interest income on, the FuturesAccess Funds’gains or losses on their open forward, commodity option and certain non-U.S.futures positions as such gains and losses are not collected or paid until suchpositions are closed out.

 

Each FuturesAccess Fund’sCash Assets may be greater than, less than or equal to such FuturesAccess Fund’sNet Asset Value (on which the redemption value of the Units is based) primarilybecause Net Asset Value reflects all gains and losses on open positions as wellas accrued but unpaid expenses.

 

MLPF&S intends to payinterest on the FuturesAccess Funds’ Cash Assets (irrespective of how such CashAssets are held or invested) at the most favorable rate payable by MLPF&Sto accounts of Merrill Lynch affiliates, from time to time, although the actualrate paid to FuturesAccess Funds may be lower. In no event, however, will therate so paid on such Cash Assets be less than 75% of such prevailing rate.MLPF&S retains the additional economic benefit derived from possession ofthe FuturesAccess Funds’ Cash Assets.

 

MLPF&S, in the courseof acting as commodity broker for the FuturesAccess Funds, lends certaincurrencies to, and borrows certain currencies from, the FuturesAccess Funds. Inthe course of doing so, MLPF&S both retains certain amounts of interest andreceives other economic benefits. In doing so, MLPF&S follows its standardprocedures (as such procedures may change over time) for paying interest on theassets of the commodity pools sponsored by MLAI and other MLPF&S affiliatesand traded through MLPF&S.

 

***Charges***

 

The followingtable summarizes the charges incurred by the Fund for the years ended December 31,2009, 2008 and for the period April 2, 2007 (commencement of operations)to December 31, 2007.

 
| ** **     | ** ** | **2009**           | ** ** | **2008**                                 | ** ** | **2007**           | ** ** |
|----------------|------------|--------------------|------------|------------------------------------------|------------|--------------------|------------|
| **Charges**    | ** ** | **Dollar  Amount** | ** ** | **% of  Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of  Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of  Average  Month-End  Net Assets** | ** ** |
| Other Expenses |       | $                  | 1,066,617  |                                     | 0.14       | %                  | $          | 632,387 |   | 0.18 | % | $ | 504,521 |   | 0.60 | % |
| Sponsor fees   |       | 14,993,578         |       | 1.94                                     | %          | 6,953,728          |       | 1.97 | % | 485,354 |   | 0.58 | % |
| Total          |       | $                  | 16,060,195 |                                     | 2.08       | %                  | $          | 7,586,115 |   | 2.15 | % | $ | 989,875 |   | 1.18 | % |

 

The foregoingtable does not reflect the bid-ask spreads paid by the Portfolio Funds on theirforward trading, or the benefits which may be derived by Merrill Lynch from thedeposit of certain of the Portfolio Funds’ U.S. dollar assets maintained atMLPF&S.

 

 The Fund’s average month-end Net Asset Valuesduring 2009, 2008 and 2007 equaled $772,699,779, $352,254,725 and $83,843,527,respectively.

 

During 2009, theFund earned $100,827 in interest income, or approximately 0.012 % of the Fund’saverage month-end Net Asset Values . During 2008, the Fund earned $97,972 in interestincome, or approximately 0.028% of the Fund’s average month-end Net AssetValues . During 2007, the Fund earned $3,827 in interest income, orapproximately 0.005% of the Fund’s average month-end Net Asset Values .

 

4

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**Descriptionof Current Charges**

** **
| **Recipient**                                                                                | ** ** | **Nature of Payment**                                              | ** ** | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|----------------------------------------------------------------------------------------------|------------|--------------------------------------------------------------------|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| ** **                                                                                   | ** ** | ** **                                                         | ** ** | ** **                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
| MLPF&S                                                                                   |       | Use of assets                                                      |       | Merrill Lynch may  derive an economic benefit from the deposit of certain of the Portfolio  Funds’ U.S. dollar assets in accounts maintained at MLPF&S.                                                                                                                                                                                                                                                                                                                                                                          |
|                                                                                         |       |                                                               |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| MLAI                                                                                         |       | Sponsor Fees                                                       |       | A flat-rate monthly  charge of 0.125% of 1% (1.50% annual rate) on Class A units, flat-rate  monthly charge of 0.2083 of 1% (2.50% annual rate) on Class C units, a  flat-rate monthly charge of 0.0917 of 1% (1.10% annual rate) on Class I  units (including the monthly interest credit and before reduction for accrued  month end redemptions, distributions, brokerage commissions, sponsor fees,  management fees in each case as of the month of determination. Class D,  D1 and DA do not pay a sponsor fee. |
|                                                                                         |       |                                                               |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| MLPF&S                                                                                   |       | Sales Commissions                                                  |       | Class A Units are  subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%.  Class D and Class I Units are subject to sales commissions up to  0.5%. The rate assessed to a given subscription is based upon the  subscription amount. Sales commissions are deducted from proceeds prior to  entering the fund. Shares purchased and reflected in the fund records are net  of any commissions charged by MLPF&S. Class C, D1 and DA Units are  not subject to any sales commission.          |
|                                                                                         |       |                                                               |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| Merrill Lynch  International Bank (“MLIB”) (or an affiliate); Other counterparties |       | Bid—ask spreads                                               |       | Bid—ask spreads are not  accounted for separately as an accounting item because bid-ask spreads are an  integral part of the price paid or received on all contracts for generally  accepted accounting principles.                                                                                                                                                                                                                                                                                                                  |
|                                                                                         |       |                                                               |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| MLIB (or an affiliate);  Other counterparties                                                |       | EFP differentials                                                  |       | Certain of the  Portfolio Funds’ currency trades may be executed in the form of “exchange of  futures for physical” transactions, in which a counterparty (which may be  MLIB or an affiliate) receives an additional “differential” spread for  exchanging the Fund’s cash currency positions for equivalent futures  positions.                                                                                                                                                                           |
|                                                                                         |       |                                                               |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| Others                                                                                       |       | Operating expense of  Fund including audit, legal and tax services |       | Actual payments to  third parties.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
|                                                                                         |       |                                                               |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| MLPF&S; Others                                                                           |       | Brokerage Commissions                                              |       | The aggregate brokerage  commissions charges should equal approximately 0.50% per annum of each of the  Portfolio Funds’ average month-end asset.                                                                                                                                                                                                                                                                                                                                                                                    |

 

5

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| Portfolio FundsAdvisors and MLAI |   | Management fees         |   | A flat monthly charge  of 0.1667 of 1% of the Portfolio Funds’ month-end assets (a 2% annual rate).  MLAI receives certain percentage of the management fees paid by the Portfolio  Funds’ from the advisors.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|----------------------------------|--------|-------------------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                             |   |                    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| Portfolio FundsAdvisors and MLAI |   | Annual Performance Fees |   | Portfolio Funds receive  20% to 25% of their New Trading Profits, as performance fees. For Certain  Portfolio Funds MLAI receives 25% of the 20% or 25% performance fee. “New  Trading Profits” equal any increase in the Net Asset Value of the Fund, prior  to reduction for any accrued performance fee, as of the current performance  fee calculation date over the Fund’s “High Water Mark.”   The “High  Water Mark” attributable to the Fund equals the highest Net Asset Value after  reduction for the performance fee then paid, as of any preceding performance  fee calculation date.  Net Asset Value, solely for purposes of calculating  the performance fee, does not include any interest income earned by the Fund. |

 

***Regulation***

 

The CFTC has delegated tothe National Futures Association responsibility for the registration of “commoditytrading advisors,” “commodity pool operators,” “futures commission merchants,” “introducingbrokers” and their respective associated persons, and “floor brokers” and “floortraders.”  The Commodity Exchange Actrequires commodity pool operators such as MLAI, commodity trading advisors suchas the Portfolio Funds Trading Advisor and commodity brokers or futurescommission merchants (“FCMs”) such as MLPF&S to be registered and to complywith various reporting and record keeping requirements.  CFTC regulations also require FCMs tomaintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have establishedlimits referred to as “speculative position limits” on the maximum net long ornet short speculative positions that any person may hold or control in anyparticular futures or options contracts traded on U.S. commoditiesexchanges.  All accounts owned or managedby each of the Portfolio Fund’s respective Trading Advisors will be combinedfor position limit purposes.  The TradingAdvisor could be required to liquidate positions in order to comply with suchlimits.  Any such liquidation couldresult in substantial costs to the Fund. In addition, many futures exchanges impose limits beyond which the priceof a futures contract may not trade during the course of a trading day, andthere is a potential for a futures contract to reach its daily price limit forseveral days in a row, making it impossible for the Trading Advisor toliquidate a position and thereby experiencing dramatic losses.  Currency forward contracts are not subject toregulation by any U.S. government agency.

 

Other than inrespect of the registration requirements pertaining to the Fund’s securitiesunder Section 12(g) of the Securities Exchange Act of 1934, the Fundis generally not subject to regulation by the Securities and ExchangeCommission (the “SEC”).  However, MLAIitself is registered as an “investment adviser” under the Investment AdvisersAct of 1940.  MLPF&S is alsoregulated by the SEC and the Financial Industry Regulatory Authority (“FINRA”).

 

(d)                                 Financial Information about GeographicAreas

 

The PortfolioFunds do not engage in material operations in foreign countries, nor is amaterial portion of the Fund’s revenue derived from customers in foreigncountries.

 

The PortfolioFunds may trade on a number of foreign commodity exchanges.  The Portfolio Funds and the Fund do notengage in the sales of goods or services.

 

**Item1A:  Risk Factors**

 

**PastPerformance Not Necessarily Indicative of Future Results**

 

Past performance is notnecessarily indicative of future results. The Trading Advisors’ past performance may not be representative of howthey may trade in the future for the Portfolio Funds.

 

6

----

 

**VolatileMarkets; Highly Leveraged Trading**

 

Futures and forwardtrading is highly leveraged, and market price levels are volatile andmaterially affected by unpredictable factors such as weather and governmentalintervention. The combination of leverage and volatility creates a high degreeof risk.

 

**Importanceof General Market Conditions**

 

Overall market oreconomic conditions — which neither MLAI nor the Trading Advisors can predictor control — have a material effect on the performance of any managed futuresstrategy.

 

**Possibilityof Additional Government or Market Regulation**

 

Market disruptions andthe dramatic increase in the capital allocated to alternative investmentstrategies during recent years have led to increased governmental as well asself-regulatory scrutiny of the alternative investment funds industry ingeneral.  In addition, certainlegislation proposing greater regulation of the industry periodically isconsidered by the U.S. Congress, as well as the governing bodies of foreignjurisdictions. It is impossible to predict what, if any, changes in theregulations applicable to the Fund, MLAI, the markets in which they trade andinvest or the counterparties with which they do business may be instituted inthe future. Any such regulation could have a material adverse impact on theprofit potential of the Fund, as well as require increased transparency as tothe identity of the Fund’s members.

 

**Forward**Trading**

 

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

 

**Effectsof Speculative Position Limits**

 

The CFTC and the U.S.commodities exchanges have established limits referred to as “speculative****position limits” on the maximum****net long or net short speculative****positions****that****any person****may hold or control in any particularfutures or options contracts traded on U.S. commodities exchanges.  For example, the CFTC currently imposesspeculative position limits on a number of agricultural commodities (*e.g.*, corn, oats, wheat, soybeans andcotton). All commodity accounts controlled by the Trading Advisor and itsprincipals and their affiliates are combined for speculative position limitpurposes. The Trading Advisor could be required to liquidate positions held forthe Fund, or may not be able to fully implement trading instructions generatedby its trading models, in order to comply with such limits.  Any such liquidation or limitedimplementation could result in substantial costs to the Fund.

 

**IncreasedAssets Under Management**

 

There appears to be atendency for the rates of return achieved by managed futures advisors todecline as assets under management increase. The trading advisors have not agreed to limit the amount of additionalequity which it may manage.

 

**Trading Advisor Risk**

*** ***

The Fund is subject tothe risk of the bad judgment, negligence or misconduct of the tradingadvisors.  There have been a number ofinstances in recent years in which private investment funds have incurredsubstantial losses due to Trading Advisor misconduct.

 

**Changes in Trading Strategy**

*** ***

The TradingAdvisors may make material changes in its trading strategies without theknowledge or seeking the approval of MLAI.

 

7

----

 

**Illiquid Markets**

*** ***

Certain positions held bythe Portfolio Funds may become illiquid, preventing the Trading Advisors fromacquiring positions otherwise indicated by its strategy or making it impossiblefor the Trading Advisors to close out positions against which the market ismoving.

 

Certain futures marketsare subject to “daily price limits,” restricting the maximum amount by whichthe price of a particular contract can change during any given tradingday.  Once a contract’s price has moved“the limit,” it may be impossible or economically non-viable to execute tradesin such contract.  From time to time,prices have moved “the limit” for a number of consecutive days, making itimpossible for traders against whose positions the market was moving to preventlarge losses.

 

**Trading on Non-U.S. Exchanges**

*** ***

The Trading Advisors maytrade extensively on non-U.S. exchanges. These exchanges are not regulated by any United States governmentalagency. The Portfolio Funds and consequently the Fund could incur substantiallosses trading on foreign exchanges to which they would not have been subjecthad the Trading Advisors limited their trading to U.S. markets.

 

The profits and lossesderived from trading foreign futures and forwards will generally be denominatedin foreign currencies; consequently, the Portfolio Funds will be subject to acertain degree of exchange-rate risk in trading such contracts.

 

**The Portfolio Funds Could LoseAssets and Have Its Trading Disrupted Due to the Bankruptcy of One of theParties**

*** ***

The Portfolio Funds’ aresubject to the risk of insolvency of a counterparty, an exchange, aclearinghouse or MLPF&S. Portfolio Funds’ assets could be lost or impoundedduring lengthy bankruptcy proceedings. Were a substantial portion of the Portfolio Funds’ capital tied up in abankruptcy, MLAI might suspend or limit trading, perhaps causing the PortfolioFunds’ to miss significant profit opportunities. There are increased risks indealing with unregulated trading counterparties including the risk that assetsmay not benefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

**Item1B:  Unresolved Staff Comments**

 

MLAI is currentlyresponding to the SEC comment letter dated February 4, 2010.

 

**Item2:****         ****Properties**

 

The Fund and thePortfolio Funds do not use any physical properties in the conduct of theirbusiness.

 

The Fund’s officesare the administrative offices of MLAI (Merrill Lynch Alternative InvestmentsLLC, Four World Financial Center, 6th Floor, 250 Vesey Street, New York, New York10080).  MLAI performs administrativeservices for the Fund from MLAI’s offices.

 

**Item3:****         ****Legal Proceedings**

 

None

 

**Item4:****         ****Reserved**

 

8

----

 

**PART II**

 

**Item5:****         ****Market for Registrant’sCommon Equity, Related Stockholder Matters and Issuer Purchases of EquitySecurities**

 

Item 5(a)

 

(a)                                  Market Information:

 

There is noestablished public trading market for the Units, and none is likely todevelop.  Members may redeem Units on tendays written notice to MLAI as of the last day of each month at their Net AssetValue , subject to certain early redemption charges.

 

(b)                                 Holders:

 

As of December 31,2009, there were 9,847 holders of Units, none of whom owned 5% or more of theFund’s Units.

 

(c)                                  Dividends:

 

Fund has not madeand does not contemplate making any distributions on the Units.

 

(d)                                 Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

(e)                                  Performance Graph

 

Not applicable.

 

9

----

 

(f)                                    Recent Sales of Unregistered Securities:

 

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

 
| CLASS A | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
|---------|------------|------------|------------|------------|------------|------------|------------|

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 3,599,510  |       | 2,865,624  |   | $ | 1.2561 |   |
| Feb-09     |       | 5,720,556        |       | 4,586,351  |       | 1.2473 |   |
| Mar-09     |       | 6,120,723        |       | 4,902,854  |       | 1.2484 |   |
| Apr-09     |       | 5,762,982        |       | 4,769,891  |       | 1.2081 |   |
| May-09     |       | 8,887,887        |       | 7,577,702  |       | 1.1729 |   |
| Jun-09     |       | 5,546,629        |       | 4,676,359  |       | 1.1861 |   |
| Jul-09     |       | 6,263,068        |       | 5,398,731  |       | 1.1601 |   |
| Aug-09     |       | 6,042,246        |       | 5,274,307  |       | 1.1456 |   |
| Sep-09     |       | 7,667,607        |       | 6,611,716  |       | 1.1597 |   |
| Oct-09     |       | 15,636,738       |       | 13,322,602 |       | 1.1737 |   |
| Nov-09     |       | 5,007,503        |       | 4,415,009  |       | 1.1342 |   |
| Dec-09     |       | 5,237,644        |       | 4,439,810  |       | 1.1797 |   |
| Jan-10     |       | 8,495,734        |       | 7,454,360  |       | 1.1397 |   |
| Feb-10     |       | 4,599,449        |       | 4,167,678  |       | 1.1036 |   |
|       |       |             |       |       |       |   |   |   |   |

 
| CLASS C |   |   |   |   |   |   |   |
|---------|--------|--------|--------|--------|--------|--------|--------|

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 28,240,030 |       | 21,876,234 |   | $ | 1.2909 |   |
| Feb-09     |       | 26,028,041       |       | 20,323,293 |       | 1.2807 |   |
| Mar-09     |       | 30,607,819       |       | 23,897,423 |       | 1.2808 |   |
| Apr-09     |       | 33,059,489       |       | 26,693,168 |       | 1.2385 |   |
| May-09     |       | 29,957,332       |       | 24,935,352 |       | 1.2014 |   |
| Jun-09     |       | 19,611,804       |       | 16,156,030 |       | 1.2139 |   |
| Jul-09     |       | 25,790,268       |       | 21,740,089 |       | 1.1863 |   |
| Aug-09     |       | 15,532,334       |       | 13,269,828 |       | 1.1705 |   |
| Sep-09     |       | 16,895,697       |       | 14,271,220 |       | 1.1839 |   |
| Oct-09     |       | 39,415,410       |       | 32,922,995 |       | 1.1972 |   |
| Nov-09     |       | 18,657,066       |       | 16,140,727 |       | 1.1559 |   |
| Dec-09     |       | 13,317,583       |       | 11,086,899 |       | 1.2012 |   |
| Jan-10     |       | 10,791,109       |       | 9,305,889  |       | 1.1596 |   |
| Feb-10     |       | 13,643,857       |       | 12,160,300 |       | 1.1220 |   |
|       |       |             |       |       |       |   |   |   |   |

 
| CLASS D |   |   |   |   |   |   |   |
|---------|--------|--------|--------|--------|--------|--------|--------|

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.4396 |   |
| Feb-09     |       | —           |       | —     |       | 1.4312 |   |
| Mar-09     |       | —           |       | —     |       | 1.4343 |   |
| Apr-09     |       | —           |       | —     |       | 1.3898 |   |
| May-09     |       | —           |       | —     |       | 1.3509 |   |
| Jun-09     |       | —           |       | —     |       | 1.3679 |   |
| Jul-09     |       | 5,147,100        |       | 3,842,553  |       | 1.3395 |   |
| Aug-09     |       | 1,999,999        |       | 1,510,117  |       | 1.3244 |   |
| Sep-09     |       | 2,574,998        |       | 1,918,205  |       | 1.3424 |   |
| Oct-09     |       | 599,981          |       | 441,065    |       | 1.3603 |   |
| Nov-09     |       | 4,568,999        |       | 3,471,620  |       | 1.3161 |   |
| Dec-09     |       | 1,258,000        |       | 917,846    |       | 1.3706 |   |
| Jan-10     |       | 1,391,999        |       | 1,049,852  |       | 1.3259 |   |
| Feb-10     |       | 990,000          |       | 770,128    |       | 1.2855 |   |
|       |       |             |       |       |       |   |   |   |   |

 
| CLASS I |   |   |   |   |   |   |   |
|---------|--------|--------|--------|--------|--------|--------|--------|

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 5,655,080  |       | 4,284,476  |   | $ | 1.3199 |   |
| Feb-09     |       | 7,755,169        |       | 5,915,461  |       | 1.3110 |   |
| Mar-09     |       | 3,879,323        |       | 2,955,450  |       | 1.3126 |   |
| Apr-09     |       | 5,761,281        |       | 4,533,586  |       | 1.2708 |   |
| May-09     |       | 7,170,562        |       | 5,810,357  |       | 1.2341 |   |
| Jun-09     |       | 1,759,941        |       | 1,409,757  |       | 1.2484 |   |
| Jul-09     |       | 4,077,683        |       | 3,338,532  |       | 1.2214 |   |
| Aug-09     |       | 2,590,820        |       | 2,147,207  |       | 1.2066 |   |
| Sep-09     |       | 2,282,822        |       | 1,868,256  |       | 1.2219 |   |
| Oct-09     |       | 6,931,734        |       | 5,603,665  |       | 1.2370 |   |
| Nov-09     |       | 1,787,328        |       | 1,494,796  |       | 1.1957 |   |
| Dec-09     |       | 2,691,529        |       | 2,163,435  |       | 1.2440 |   |
| Jan-10     |       | 1,914,992        |       | 1,592,641  |       | 1.2024 |   |
| Feb-10     |       | 3,819,726        |       | 3,279,579  |       | 1.1647 |   |
|       |       |             |       |       |       |   |   |   |   |

 
| CLASS D1 |   |   |   |   |   |   |   |
|----------|--------|--------|--------|--------|--------|--------|--------|

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.2848 |   |
| Feb-09     |       | 3,722,356        |       | 2,914,238  |       | 1.2773 |   |
| Mar-09     |       | —           |       | —     |       | 1.2800 |   |
| Apr-09     |       | 529,675          |       | 427,054    |       | 1.2403 |   |
| May-09     |       | 4,504,529        |       | 3,736,028  |       | 1.2057 |   |
| Jun-09     |       | 1,681,341        |       | 1,377,245  |       | 1.2208 |   |
| Jul-09     |       | 1,048,230        |       | 876,813    |       | 1.1955 |   |
| Aug-09     |       | 715,895          |       | 605,664    |       | 1.1820 |   |
| Sep-09     |       | —           |       | —     |       | 1.1981 |   |
| Oct-09     |       | 807,517          |       | 665,116    |       | 1.2141 |   |
| Nov-09     |       | —           |       | —     |       | 1.1746 |   |
| Dec-09     |       | 332,104          |       | 271,482    |       | 1.2233 |   |
| Jan-10     |       | —           |       | —     |       | 1.1833 |   |
| Feb-10     |       | 928,469          |       | 809,264    |       | 1.1473 |   |
|       |       |             |       |       |       |   |   |   |   |

 
| CLASS DA |   |   |   |   |   |   |   |
|----------|--------|--------|--------|--------|--------|--------|--------|

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.0282 |   |
| Feb-09     |       | —           |       | —     |       | 1.0222 |   |
| Mar-09     |       | —           |       | —     |       | 1.0244 |   |
| Apr-09     |       | —           |       | —     |       | 0.9927 |   |
| May-09     |       | —           |       | —     |       | 0.9649 |   |
| Jun-09     |       | —           |       | —     |       | 0.9770 |   |
| Jul-09     |       | —           |       | —     |       | 0.9568 |   |
| Aug-09     |       | —           |       | —     |       | 0.9460 |   |
| Sep-09     |       | —           |       | —     |       | 0.9588 |   |
| Oct-09     |       | —           |       | —     |       | 0.9716 |   |
| Nov-09     |       | —           |       | —     |       | — |   |
| Dec-09     |       | —           |       | —     |       | — |   |
| Jan-10     |       | —           |       | —     |       | — |   |
| Feb-10     |       | —           |       | —     |       | — |   |
|       |       |             |       |       |       |   |   |   |   |

 

----

(1)Beginning of the month Net Asset Value

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

10

----

 

**Item 6:   SelectedFinancial Data**

 

The following selected financial data has been derivedfrom the financial statements of the Fund.

 
| **Statement of Operations**   | ** ** | **For the  year  ended  December 31,  2009** | ** **  | **For the  year  ended  December 31,  2008** | ** ** | **For the  period April 2,  2007 (Commencement of  operations) to December  31, 2007** | ** ** |
|-------------------------------|------------|----------------------------------------------|-------------|----------------------------------------------|------------|----------------------------------------------------------------------------------------|------------|
|                          |       |                                         |        |                                         |       |                                                                                   |       |
| Trading profit (loss)         |       |                                         |        |                                         |       |                                                                                   |       |
| Realized, net                 |       | $                                            | (4,551,852  | )                                            | $          | 9,202,478                                                                              |       | $ | (560,037 | ) |
| Change in unrealized,  net    |       | (57,300,048                                  | )           | 71,910,257                                   |       | 14,550,075                                                                             |       |
| Total trading profit  (loss)  |       | (61,851,900                                  | )           | 81,112,735                                   |       | 13,990,038                                                                             |       |
|                          |       |                                         |        |                                         |       |                                                                                   |       |
| INVESTMENT INCOME:            |       |                                         |        |                                         |       |                                                                                   |       |
| Interest                      |       | 100,827                                      |        | 97,972                                       |       | 3,827                                                                                  |       |
|                          |       |                                         |        |                                         |       |                                                                                   |       |
| EXPENSES:                     |       |                                         |        |                                         |       |                                                                                   |       |
| Sponsor fees                  |       | 14,993,578                                   |        | 6,953,728                                    |       | 485,354                                                                                |       |
| Other                         |       | 1,066,617                                    |        | 651,887                                      |       | 504,521                                                                                |       |
| Total Expenses                |       | 16,060,195                                   |        | 7,605,615                                    |       | 989,875                                                                                |       |
|                          |       |                                         |        |                                         |       |                                                                                   |       |
| NET INVESTMENT INCOME  (LOSS) |       | (15,959,368                                  | )           | (7,507,643                                   | )          | (986,048                                                                               | )          |
|                          |       |                                         |        |                                         |       |                                                                                   |       |
| NET INCOME (LOSS)             |       | $                                            | (77,811,268 | )                                            | $          | 73,605,092                                                                             |       | $ | 13,003,990 |   |

 
| **Balance Sheet Data**             | ** ** | **December  31,  2009** | ** **  | **December  31,  2008** | ** ** | **December  31, 2007** | ** ** |
|------------------------------------|------------|-------------------------|-------------|-------------------------|------------|------------------------|------------|
|                               |       |                    |        |                    |       |                   |       |
| Members’ Capital              |       | $                       | 868,301,244 |                    | $          | 678,698,088            |       | $ | 120,224,077 |   |
| Net Asset Value per  Class A Unit  |       | 1.1397                  |        | 1.2561                  |       | 1.0273                 |       |
| Net Asset Value per  Class C Unit  |       | 1.1596                  |        | 1.2908                  |       | 1.0664                 |       |
| Net Asset Value per  Class D Unit  |       | 1.3259                  |        | 1.4379                  |       | 1.1571                 |       |
| Net Asset Value per  Class I Unit  |       | 1.2024                  |        | 1.3197                  |       | 1.0752                 |       |
| Net Asset Value per Class  D1 Unit |       | 1.1833                  |        | 1.2847                  |       | 1.0350                 |       |
| Net Asset Value per  Class DA Unit |       | —                  |        | 1.0282                  |       | —                 |       |
|                                    |            |                         |             |                         |            |                        |            |  |  |  |

 

See notes to financial statements

 

11

----

 

As ofDecember 31, 2009 and 2008 the Net Asset Value per Unit of the differentClasses are as follows:

 

December 31, 2009

 
| **Net Asset Value per Unit** | ** ** |
|--------------------------------------------------|------------|
| Class A                                          |       | $ | 1.1397 |   |
| Class C                                          |       | 1.1596 |   |
| Class D                                          |       | 1.3259 |   |
| Class I                                          |       | 1.2024 |   |
| Class D1                                         |       | 1.1833 |   |
| Class DA                                         |       | — |   |
|                                                  |            |  |  |  |

 

December 31, 2008

 
| **Net Asset Value per Unit** | ** ** |
|--------------------------------------------------|------------|
| Class A                                          |       | $ | 1.2561 |   |
| Class C                                          |       | 1.2909 |   |
| Class D                                          |       | 1.4396 |   |
| Class I                                          |       | 1.3199 |   |
| Class D1                                         |       | 1.2848 |   |
| Class DA                                         |       | 1.0282 |   |
|                                                  |            |  |  |  |

 

12

----

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value andreport performance to investors throughout the year is the most valuablefinancial information to the Members of the Fund.
|                                                      |       |           |       |     |       |     |       |     |       |    |       |     |       |     |       |     |       |      |       |     |       |     |       |     |       |   |   |   |   |   |   |   |   |   |   |   |   |
|-----------------------------------------------------------|------------|----------------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
| MONTH-END  NET ASSET VALUE PER INITIAL UNIT CLASS A  |
|                                                      |
| ** **                                                | ** ** | **Jan.**       | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                      |       | n/a            |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | $        | 0.9588     |     | $          | 0.9090    |       | $        | 0.9705     |     | $          | 1.0272   |       | $      | 1.0093 |   | $      | 1.0278 |   |
| 2008                                                      |       | $              | 1.0416     |     | $          | 1.1508   |       | $        | 1.1243     |    | $          | 1.1183   |       | $        | 1.1597     |     | $          | 1.2164    |       | $        | 1.1364     |     | $          | 1.1075   |       | $      | 1.1220 |   | $      | 1.1807 |   | $      | 1.2232 |   | $      | 1.2561 |   |
| 2009                                                      |       | $              | 1.2473     |     | $          | 1.2484   |       | $        | 1.2081     |    | $          | 1.1729   |       | $        | 1.1861     |     | $          | 1.1601    |       | $        | 1.1456     |     | $          | 1.1597   |       | $      | 1.1737 |   | $      | 1.1342 |   | $      | 1.1797 |   | $      | 1.1397 |   |
|                                                      |
| MONTH-END  NET ASSET VALUE PER INITIAL UNIT CLASS C  |
|                                                      |
| ** **                                                | ** ** | **Jan.**       | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                      |       | n/a            |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | $        | 1.0432     |     | $          | 0.9993   |       | $         | 0.9467     |     | $          | 1.0099   |       | $        | 1.0680     |   | $      | 1.0486 |   | $      | 1.0668 |   |
| 2008                                                      |       | $              | 1.0803     |     | $          | 1.1926   |       | $        | 1.1642     |    | $          | 1.1570   |       | $        | 1.1988     |     | $          | 1.2564    |       | $        | 1.1727     |     | $          | 1.1420   |       | $      | 1.1559 |   | $      | 1.2154 |   | $      | 1.2581 |   | $      | 1.2909 |   |
| 2009                                                      |       | $              | 1.2807     |     | $          | 1.2808   |       | $        | 1.2385     |    | $          | 1.2014   |       | $        | 1.2139     |     | $          | 1.1863    |       | $        | 1.1705     |     | $          | 1.1839   |       | $      | 1.1972 |   | $      | 1.1559 |   | $      | 1.2012 |   | $      | 1.1596 |   |
|                                                      |
| MONTH-END  NET ASSET VALUE PER INITIAL UNIT CLASS D  |
|                                                      |
| ** **                                                | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                      |       | n/a            |       | n/a      |       | n/a      |       | $        | 1.0339     |    | $          | 1.0719   |       | $        | 1.1206     |     | $          | 1.0757    |       | $        | 1.0212     |     | $          | 1.0916   |       | $      | 1.1569 |   | $      | 1.1381 |   | $      | 1.1603 |   |
| 2008                                                      |       | $              | 1.1774     |     | $          | 1.3025   |       | $        | 1.2741     |    | $          | 1.2689   |       | $        | 1.3175     |     | $          | 1.3836    |       | $        | 1.2942     |     | $          | 1.2629   |       | $      | 1.2810 |   | $      | 1.3497 |   | $      | 1.4001 |   | $      | 1.4396 |   |
| 2009                                                      |       | $              | 1.4312     |     | $          | 1.4343   |       | $        | 1.3898     |    | $          | 1.3509   |       | $        | 1.3679     |     | $          | 1.3395    |       | $        | 1.3244     |     | $          | 1.3424   |       | $      | 1.3603 |   | $      | 1.3161 |   | $      | 1.3706 |   | $      | 1.3259 |   |
|                                                      |
| MONTH-END  NET ASSET VALUE PER INITIAL UNIT CLASS I  |
|                                                      |
| ** **                                                | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                      |       | n/a            |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | $        | 1.0444     |     | $          | 1.0017   |       | $         | 0.9500     |     | $          | 1.0146   |       | $        | 1.0743     |   | $      | 1.0559 |   | $      | 1.0756 |   |
| 2008                                                      |       | $              | 1.0905     |     | $          | 1.2052   |       | $        | 1.1779     |    | $          | 1.1719   |       | $        | 1.2157     |     | $          | 1.2756    |       | $        | 1.1920     |     | $          | 1.1622   |       | $      | 1.1777 |   | $      | 1.2397 |   | $      | 1.2848 |   | $      | 1.3199 |   |
| 2009                                                      |       | $              | 1.3110     |     | $          | 1.3126   |       | $        | 1.2708     |    | $          | 1.2341   |       | $        | 1.2484     |     | $          | 1.2214    |       | $        | 1.2066     |     | $          | 1.2219   |       | $      | 1.2370 |   | $      | 1.1957 |   | $      | 1.2440 |   | $      | 1.2024 |   |
|                                                      |
| MONTH-END  NET ASSET VALUE PER INITIAL UNIT CLASS D1 |
|                                                      |
| ** **                                                | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2007                                                      |       | n/a            |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | $        | 0.9600     |     | $          | 0.9113    |       | $        | 0.9741     |     | $          | 1.0324   |       | $      | 1.0157 |   | $      | 1.0356 |   |
| 2008                                                      |       | $              | 1.0508     |     | $          | 1.1624   |       | $        | 1.1371     |    | $          | 1.1324   |       | $        | 1.1758     |     | $          | 1.2348    |       | $        | 1.1550     |     | $          | 1.1271   |       | $      | 1.1432 |   | $      | 1.2045 |   | $      | 1.2495 |   | $      | 1.2848 |   |
| 2009                                                      |       | $              | 1.2773     |     | $          | 1.2800   |       | $        | 1.2403     |    | $          | 1.2057   |       | $        | 1.2208     |     | $          | 1.1955    |       | $        | 1.1820     |     | $          | 1.1981   |       | $      | 1.2141 |   | $      | 1.1746 |   | $      | 1.2233 |   | $      | 1.1833 |   |
|                                                      |
| MONTH-END  NET ASSET VALUE PER INITIAL UNIT CLASS DA |
|                                                      |
| ** **                                                | ** ** | **Jan. ** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
| 2008                                                      |       | n/a            |       | n/a      |       | n/a      |       | n/a      |       | n/a     |       | n/a      |       | n/a      |       | n/a      |       | n/a       |       | n/a      |       | n/a      |       | $        | 1.0282     |   |
| 2009                                                      |       | $              | 1.0222     |     | $          | 1.0244   |       | $        | 0.9927     |    | $          | 0.9649   |       | $        | 0.9770     |     | $          | 0.9568    |       | $        | 0.9460     |     | $          | 0.9588   |       | $      | 0.9716 |   | n/a    |   | n/a    |   | n/a    |   |

 

13

----

 

**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS AUNITS)**(5)

**December 31,2009**

 

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

*Inceptionof Trading:*  July 1, 2007

*AggregateSubscriptions*$137,287,249

*CurrentCapitalization: * $115,433,499

*WorstMonthly Drawdown(2): *(6.58)% (July 2008)

*WorstPeak-to-Valley Drawdown(3): *(9.70)% (January-October 2009)

 

*NetAsset Value per Unit for Class A, December 31, 2009:*  $1.1397

 

**MonthlyRates of Return (4)**

 

| **Month**                      | ** ** | **2009** | ** ** | **2008** | ** ** | **2007** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | .70      | %          | 1.34     | %          | —   |       |
| February                       |       | 0.09     |       | 10.48    |       | —   |       |
| March                          |       | (3.22    | )          | (2.29    | )          | —   |       |
| April                          |       | (2.92    | )          | (0.54    | )          | —   |       |
| May                            |       | 1.13     |       | 3.70     |       | —   |       |
| June                           |       | (2.19    | )          | 4.89     |       | —   |       |
| July                           |       | (1.25    | )          | (6.58    | )          | -4.12    | %          |
| August                         |       | 1.23     |       | (2.54    | )          | (5.19    | )          |
| September                      |       | 1.21     |       | 1.31     |       | 6.76     |       |
| October                        |       | (3.37    | )          | 5.23     |       | 5.85     |       |
| November                       |       | 4.01     |       | 3.60     |       | (1.74    | )          |
| December                       |       | -3.39    |       | 2.69     |       | 1.83     |       |
|                           |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (9.27    | )%         | 22.21    | %          | 2.78     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since July 1, 2007 by the Fund; a drawdown is measured on thebasis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

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

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total equity of the Fund as of the beginning ofsuch month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.. The inception to date total return is 13.97%.

 

14

----

 

**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS CUNITS)**(5)

**December 31,2009**

 

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

*Inceptionof Trading:* June 1,2007

*AggregateSubscriptions:*   $719,845,732

*CurrentCapitalization: * $574,889,256

*WorstMonthly Drawdown(2): *(6.66)% (July 2008)

*WorstPeak-to-Valley Drawdown(3): *(10.46)% (January-October 2009)

* *

*NetAsset Value per Unit for Class C, December 31, 2009:*  $1.1596

** **

**MonthlyRates of Return (4)**

 

| **Month**                      | ** ** | **2009** | ** ** | **2008** | ** ** | **2007** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | (.79     | )%         | 1.27     | %          | —   |       |
| February                       |       | 0.01     |       | 10.40    |       | —   |       |
| March                          |       | (3.30    | )          | (2.38    | )          | —   |       |
| April                          |       | (3.00    | )          | (0.62    | )          | —   |       |
| May                            |       | 1.04     |       | 3.61     |       | —   |       |
| June                           |       | (2.27    | )          | 4.80     |       | 4.32     | %          |
| July                           |       | (1.33    | )          | (6.66    | )          | (4.20    | )          |
| August                         |       | 1.14     |       | (2.62    | )          | (5.27    | )          |
| September                      |       | 1.12     |       | 1.22     |       | 6.67     |       |
| October                        |       | (3.45    | )          | 5.15     |       | 5.76     |       |
| November                       |       | 3.92     |       | 3.51     |       | (1.82    | )          |
| December                       |       | -3.46    |       | 2.61     |       | 1.74     |       |
|                           |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (10.17   | )%         | 21.00    | %          | 6.68     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since June 1, 2007 by the Fund; a drawdown is measured on thebasis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

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

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total equity of the Fund as of the beginning ofsuch month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.. The inception to date total return is 15.95%.

 

15

----

 

**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS DUNITS)**(5)

**December 31,2009**

 

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

*Inceptionof Trading:* April 2,2007

*AggregateSubscriptions:*   $145,222,642

*CurrentCapitalization: * $39,754,375

*WorstMonthly Drawdown(2): *(6.46)% (July 2008)

*WorstPeak-to-Valley Drawdown(3): *(8.87)% (July-August 2007)

 

*NetAsset Value per Unit for Class D, December 31, 2009:*  $1.3259

** **

**MonthlyRates of Return (4)**

** **

| **Month**                      | ** ** | **2009** | ** ** | **2008** | ** ** | **2007** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | (.58     | )%         | 1.47     | %          | —   |       |
| February                       |       | 0.22     |       | 10.63    |       | —   |       |
| March                          |       | (3.10    | )          | (2.18    | )          | —   |       |
| April                          |       | (2.80    | )          | (0.41    | )          | 3.43     | %          |
| May                            |       | 1.26     |       | 3.83     |       | 3.64     |       |
| June                           |       | (2.08    | )          | 5.02     |       | 4.54     |       |
| July                           |       | (1.13    | )          | (6.46    | )          | (4.00    | )          |
| August                         |       | 1.36     |       | (2.42    | )          | (5.07    | )          |
| September                      |       | 1.33     |       | 1.43     |       | 6.90     |       |
| October                        |       | (3.25    | )          | 5.36     |       | 5.98     |       |
| November                       |       | 4.14     |       | 3.73     |       | (1.62    | )          |
| December                       |       | -3.26    |       | 2.82     |       | 1.96     |       |
|                           |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (7.90    | )%         | 24.06    | %          | 16.04    | %          |

** **

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since April 2, 2007 by the Fund; a drawdown is measured on thebasis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

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

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total equity of the Fund as of the beginning ofsuch month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.. The inception to date total return is 32.40%.

 

16

----

 

**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS IUNITS)**(5)

**December 31,2009**

 

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

*Inceptionof Trading:* June 1,2007

*AggregateSubscriptions:*   $122,231,597

*CurrentCapitalization: * $91,156,074

*WorstMonthly Drawdown(2): *(6.55)% (July 2008)

*WorstPeak-to-Valley Drawdown(3): *(9.40)% ( January-October 2009)

 

*NetAsset Value per Unit for Class I, December 31, 2009:  $1.2024*

 

**MonthlyRates of Return (4)**

 

| **Month**                      | ** ** | **2009** | ** ** | **2008** | ** ** | **2007** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | (.67     | )%         | 1.39     | %          | —   |       |
| February                       |       | 0.12     |       | 10.52    |       | —   |       |
| March                          |       | (3.18    | )          | (2.27    | )          | —   |       |
| April                          |       | (2.89    | )          | (0.51    | )          | —   |       |
| May                            |       | 1.16     |       | 3.74     |       | —   |       |
| June                           |       | (2.16    | )          | 4.93     |       | 4.44     | %          |
| July                           |       | (1.21    | )          | (6.55    | )          | (4.09    | )          |
| August                         |       | 1.27     |       | (2.50    | )          | (5.16    | )          |
| September                      |       | 1.24     |       | 1.33     |       | 6.80     |       |
| October                        |       | (3.34    | )          | 5.26     |       | 5.88     |       |
| November                       |       | 4.05     |       | 3.65     |       | (1.71    | )          |
| December                       |       | (3.35    | )          | 2.72     |       | 1.86     |       |
|                           |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (8.90    | )%         | 22.71    | %          | 7.56     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since June 1, 2007 by the Fund; a drawdown is measured on thebasis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

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

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total equity of the Fund as of the beginning ofsuch month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.. The inception to date total return is 20.23%.

 

17

----

 

**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS D1UNITS)**(5)

**December 31,2009**

 

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

*Inceptionof Trading:* July 1,2007

*AggregateSubscriptions:*   $51,434,332

*CurrentCapitalization: * $47,068,068

*WorstMonthly Drawdown(2): *(6.46)% ( July 2008)

*WorstPeak-to-Valley Drawdown(3): *(8.87)% (July-August 2007)

 

*NetAsset Value per Unit for Class D1, December 31, 2009:*  $1.1833

** **

**MonthlyRates of Return (4)**

** **

| **Month**                      | ** ** | **2009** | ** ** | **2008** | ** ** | **2007** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|----------|------------|
| January                        |       | (.58     | )%         | 1.47     | %          | —   |       |
| February                       |       | 0.21     |       | 10.62    |       | —   |       |
| March                          |       | (3.10    | )          | (2.18    | )          | —   |       |
| April                          |       | (2.79    | )          | (0.41    | )          | —   |       |
| May                            |       | 1.25     |       | 3.83     |       | —   |       |
| June                           |       | (2.07    | )          | 5.02     |       | —   |       |
| July                           |       | (1.13    | )          | (6.46    | )          | (4.00    | )          |
| August                         |       | 1.36     |       | (2.42    | )          | (5.07    | )          |
| September                      |       | 1.34     |       | 1.43     |       | 6.90     |       |
| October                        |       | (3.25    | )          | 5.36     |       | 5.98     |       |
| November                       |       | 4.15     |       | 3.74     |       | (1.62    | )          |
| December                       |       | (3.27    | )          | 2.83     |       | 1.96     |       |
|                           |       |     |       |     |       |     |       |
| Compound Annual Rate of Return |       | (7.90    | )%         | 24.07    | %          | 3.56     | %          |

** **

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since July 1, 2007 by the Fund; a drawdown is measured on thebasis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

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

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total equity of the Fund as of the beginning ofsuch month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.. The inception to date total return is 18.33%.

 

18

----

 

**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS DAUNITS)**(5)

**December 31,2009**

 

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

*Inceptionof Trading:* December 1,2008

*AggregateSubscriptions:*   $56,445,187

*CurrentCapitalization: * $0

*WorstMonthly Drawdown(2):*(3.09)% ( March 2009)

*WorstPeak-to-Valley Drawdown(3): *(7.99)% (Jan-July 2009)

 

*NetAsset Value per Unit for Class DA, December 31, 2009:  $0*

 

**MonthlyRates of Return (4)**

 

| **Month**                      | ** ** | **2009** | ** ** | **2008** | ** ** |
|--------------------------------|------------|----------|------------|----------|------------|
| January                        |       | (0.58    | )%         | —   |       |
| February                       |       | 0.22     |       | —   |       |
| March                          |       | (3.09    | )          | —   |       |
| April                          |       | (2.80    | )          | —   |       |
| May                            |       | 1.25     |       | —   |       |
| June                           |       | (2.07    | )          | —   |       |
| July                           |       | (1.13    | )          | —   |       |
| August                         |       | 1.35     |       | —   |       |
| September                      |       | 1.34     |       | —   |       |
| October                        |       | —   |       | —   |       |
| November                       |       | —   |       | —   |       |
| December                       |       | —   |       | 2.82     | %          |
|                           |       |     |       |     |       |
| Compound Annual Rate of Return |       | (5.50    | )%         | 2.82     | %          |

 

----

(1) Certainfunds are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the initial purchaseprice) as of a date certain after the date of investment.  The CFTC refers to such funds as “principalprotected”.

 

(2) WorstMonthly Drawdown represents the largest negative Monthly Rate of Returnexperienced since December 1, 2008 by the Fund; a drawdown is measured onthe basis of month-end Net Asset Value only, and does not reflect intra-monthfigures.

 

(3) WorstPeak-to-Valley Drawdown represents the greatest percentage decline since December 1,2008 from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was (1)% in each of January and February, 1% in March and(2)% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately (3)%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

 

(4) MonthlyRate of Return is the net performance of the Fund during the month ofdetermination (including interest income and after all expenses have beenaccrued or paid) divided by the total equity of the Fund as of the beginning ofsuch month*.*

 

(5) Theinformation presented is based on Net Asset Value and Net Asset Value per Unit.. The inception to date of liquidation total return is (2.84)%.  Class DA was liquidated on September 30,2009.

 

19

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**Item7:****                                      ****Management’s Discussionand Analysis of Financial Condition and Results of Operations**

 

***Operational Overview***

 

This performancesummary is an outline description of how the Fund performed in the past, notnecessarily any indication of how it will perform in the future.  In addition, the general causes to whichcertain price movements are attributed may or may not in fact have caused suchmovements, but simply occurred at or about the same time.

 

The PortfolioFunds are unlikely to be profitable in markets in which such trends do notoccur.  Static or erratic prices arelikely to result in losses.  Similarly,unexpected events (for example, a political upheaval, natural disaster orgovernmental intervention) can lead to major short-term losses, as well asgains.

 

While there can beno assurance that the Portfolio Funds will be profitable under any given marketcondition, markets in which substantial and sustained price movements occurtypically offer the best profit potential for the Portfolio Funds andconsequently the Fund.

 

***Results of Operations/Performance Summary***

 

***2009***

 

This performancesummary is an outline description of how the Fund performed in the past, notnecessarily any indication of how it will perform in the future.  In addition, the general causes to whichcertain price movements are attributed may or may not in fact have caused suchmovements, but simply occurred at or about the same time.

 
| ** **                             | ** ** | **Total Trading** | ** **  |
|----------------------------------------|------------|-------------------|-------------|
| **Year  ended December 31, 2009** | ** ** | **Profit (Loss)** | ** **  |
| Chesapeake                             |       | $                 | 548,547     |   |
| Transtrend                             |       | (25,830,157       | )           |
| Altis                                  |       | (8,896,043        | )           |
| Winton                                 |       | (8,375,671        | )           |
| Aspect                                 |       | (8,874,084        | )           |
| John  Locke                            |       | (9,350,844        | )           |
| BlueTrend                              |       | 2,608,281         |        |
| GSA*                                   |       | (3,681,929        | )           |
|                                   |       |              |        |
|                                   |       | $                 | (61,851,900 | ) |

----

*Liquidated as of May 30, 2009

 

The Fundexperienced a net trading loss for the year ended December 31, 2009 of$61,851,900

 

Performance of thePortfolio Funds was mixed in January which reflected the choppy marketsand diversification of the Portfolio Funds approach to trading. Winton was thebest performer, while Altis and GSA performed the worst. The Portfolio Fundsprofited from falling equities, with long-term managers capturing more of themove. 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. Time horizonfocus did not seem to be a driver of returns in the middle of the firstquarter, 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 downsignificantly relative to the U.S. dollar. Fixed income markets experiencedvolatile swings during the month as most of the Portfolio Funds ended withsmall losses in this sector. At the start of March, most of the Portfolio Fundshad long positions in the fixed income markets. and kept this positionthroughout the month of March and benefited from falling yields. JohnLocke was the exception, since as a shorter term manager, its positioning wasinfluenced significantly by intra-month choppiness in fixed income marketscausing large losses. All other sectors had posted losses in March as aresult of significant reversals in many markets. During March, equity marketsrallied following some positive corporate news in the first week. When the U.S.Federal Reserve announced the start of quantitative easing mid-month, the U.S.dollar began losing value against most major 

 

20

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currencies and thecommodity markets which are negatively correlated with the U.S. dollar and riskaversion moved up. Given that most managers in the vertical are medium to longterm trend followers, they were not in a position to cut exposures very fastand were negatively affected by these reversals.

 

The market environmentthat caused a loss for the Fund in March continued through April aswell. 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, long positions in fixed income proved to be a problem as global bondyields rose significantly, hurting those long positions. Overall, fixed incomewas the worst performing sector for the Portfolio Funds, followed by currencies.The Portfolio Funds approach to trading was mixed exposure in commodities,making money in some markets and losing money in others. In equities thepositioning was more on the short side, but with extremely small exposures;losses thus were muted. May was a continuation of March and April interms of market direction and moves. Equities and commodities were up, andbonds and the U.S. dollar was down. These new trends gave many Portfolio Fundmanagers a reason to adjust their portfolios to match the new environmentresulting in profits being posted to the Fund. Short and medium term PortfolioFunds were more in sync with markets given that they adjust faster to newtrends, while longer term Portfolio Funds have held on to their pre-March positioningsomewhat longer and were not able to avoid losses. So the main difference in May relativeto March and April was that many Portfolio Funds were now correctlypositioned to take advantage of current trends. Short to medium term managers(John Locke, BlueTrend, Altis, Transtrend) had better performance than longerterm managers (Winton, Chesapeake, Aspect). The shorter term managers adjustedbetter to the current market environment where equities and commoditiesperformed well and the U.S. dollar and bonds performed poorly. Risk by assetclass continued to be biased towards fixed income which had a roughly 50% riskallocation, down from more than 80% in April. Fixed income was the asset classwith the fewest reversals and thus risk had moved there as equities,commodities and currencies experienced changes in trend during March. But therisk allocated to other asset classes were moving up: commodities were a thirdof the total and the remainder was split between currencies and equities.March, April and May had been characterized by market moves mostcommonly seen during periods where investors were risk seeking. There were upmoves in equities and commodities and down moves in bonds and the U.S. dollar.The Portfolio Fund managers were just beginning to adjust their portfolios tomatch these new market directions. After suffering losses during March andApril (as they were not positioned for the new trends that began in earlyMarch), most managers had begun turning around their portfolios to be more inline with where markets were going and many were able to post gains in May, butcame to a stop in June as several events took place. First, short terminterest rates suffered a sharp reversal during the first week of the month andthe U.S. dollar had a similar reversal, gaining against most currencies. Then,mid-month, the up trends in equities and commodities reversed, as sentimentbecame risk averse again. As a result of these moves, most asset classes endedthe month with negative attribution. The worst were short term rates andcommodities. The second quarter ended with losses being posted to the Fund. Theworst were short term rates and commodities. Medium term managers had the worstperformance as they not only suffered from the rates and U.S. dollar moves, butalso the reversals in equities and commodities. John Locke, the manager withthe shortest time horizon was able to avoid big losses. Winton and Chesapeake,the longest term managers, had relatively smaller losses because the equity andcommodity reversals were actually good for them since they were still holdingon to their pre-March positions in those asset classes.

 

Losses were posted to theFund in July which was characterized by two types of moves in manymarkets. At the beginning of the month, equities, commodities and bond yieldswere moving lower while the United States dollar gained ground against othermajor currencies. In mid-July, sentiment reversed and equities and commoditiesresumed their up trends from prior month and the United States dollar lostvalue against other major currencies. The moves in the second part of the monthwere larger in magnitude, therefore, the Portfolio Funds who shifted towards ‘riskseeking’ trades faster performed better. Transtrend was an underperformerresulting in losses in the synthetic markets it trades in. Losses were postedto the Fund in August attributable to a continuation of trends from thesecond half of July. Equities and fixed income ended the month up. Similarly,most commodities finished up (except oil, natural gas and grains) and currencyperformance was mixed. Coming into August, Portfolio Funds had small longpositions in all geographies in equity indices. In commodities, the PortfolioFunds had more long positions than short positions i.e. long positions in crudeoil, softs and metals with short positions in natural gas, grains andlivestock. In currencies, the Portfolio Funds held short positions in theUnited States dollar and in fixed income; it was long across the yield curve.In general, the equity and fixed income positioning posted profits for thePortfolio Funds throughout the month of August. Similarly, the Portfolio Fundswere spot on in their commodity positioning except in crude oil. Currencieswere mixed and losses in some markets canceled out profits in others. Sugar,metals and equity positions were the best performers. In September, thePortfolio Funds made most of their profits in equity indices and currencies astrends from late summer continued. Short positions in the United States dollarperformed the best as the United States dollar continued to slide against othermajor currencies. Long equity index and long fixed income positions 

 

21

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also continued to beprofitable for the Portfolio Funds as there were neither reversals norchoppiness in those asset classes as trends from late summer continued.Commodities detracted from performance due to choppiness in crude oil and hugeadverse moves in natural gas. Transtrend was the only Portfolio Fund showing aloss for the month due to its short positions in natural gas.

 

In October thePortfolio Funds had the positioning that had been working in August and September withlong positions in equity indices and fixed income and short positions in theU.S. dollar. In commodities, there were long positions in metals with shortpositions in energy and grains. These positions worked in the first three weeksof the month. Equities and metals appreciated and the U.S. dollar continued itsdecline, so those positions posted profits to the Fund. However, the gains wereoffset by losses from the bond positions where yields rose and in the energypositions prices went up. Overall, the Portfolio Funds finished the first threeweeks of October slightly up. In the last week of October, big reversalshit most markets. Equities and commodities declined and the U.S. dollar andbonds rallied posting losses to the Fund. Those reversals proved to betemporary and trends that had been in place since earlier in the year resumedduring November. The Portfolio Funds kept their positioning during the week ofreversals and thus were able to capitalize on the resumption of trendsresulting in profits being posted to the Fund. In November, market moves were well aligned with positioning. Longpositions in equity indices and global equity markets ended the month upsignificantly, resulting in profits being posted to the Fund. Similarly, theU.S. dollar continued its slid and the Portfolio Funds benefiting from theshort positions in the U.S. dollar. In fixed income, global interest ratescontinued to come down, resulting in profits for the Portfolio Funds postingprofits to the Fund in their long positions in interest rates and bondpositions. Commodities also contributed positively to performance due to longpositions in precious metals. Overall, most managers made money in all assetclasses as trends continued in the direction of their positioning. Losses wereposted to the Fund in December. This was due primarily to reversals in three ofthe six major asset classes in which the Fund invests through the PortfolioFunds. Fixed income was the worst performer where yields rose sharply duringthe month, hurting long positioning in both interest rates and bonds.Currencies also saw a big reversal as the U.S. dollar appreciated sharplyagainst major foreign currencies which went against the Portfolio Funds shortpositions in the U.S. dollar. Finally in commodities, oil, natural gas andprecious metals saw big reversals, especially in the first part of December,hurting existing positions. Equity indices posted profits with the long term uptrend continued, generating profits. However, the profits were not enough tooffset the losses.

 

Most of the losses in2009 came during the March-July period. March marked the beginning ofsome significant reversals in equities, currencies and commodities which mediumand long term trend followers were not well prepared to deal with. Thesereversals caused relatively large losses at first until mid summer whenmanagers finally turned around their portfolios to match the new trends. Therest of the year was marked by choppiness in a very large number of markets andsmaller frequent reversals, which prevented funds from making back earlierlosses. Certain Portfolio Funds had relatively weak returns in 2009,underperforming their peers, and Transtrend and Aspect were two such PortfolioFunds. These Poftfolio Funds had some concentrated positions over the course ofthe year that went against them, causing them to have worse than averagereturns. BlueTrend was an outperformer as it dealt with reversal periods betterand was able to shift its exposures around faster during these periods.

 

***2008***

 
| ** **                             | ** ** | **Total Trading** | ** ** |
|----------------------------------------|------------|-------------------|------------|
| **Year  ended December 31, 2008** | ** ** | **Profit (Loss)** | ** ** |
| Chesapeake                             |       | $                 | 3,583,563  |   |
| Transtrend                             |       | 16,444,848        |       |
| Altis                                  |       | 29,676,850        |       |
| Winton                                 |       | 10,361,844        |       |
| Aspect                                 |       | 10,548,013        |       |
| John  Locke                            |       | 10,325,464        |       |
| BlueTrend                              |       | 7,948,538         |       |
| GSA                                    |       | (7,776,386        | )          |
|                                   |       |              |       |
|                                   |       | $                 | 81,112,735 |   |

 

The Fundexperienced a net trading profit for the year ended December 31, 2008 of$81,112,735

 

Profits were posted tothe Fund for the first quarter. The Portfolio Funds had long positions in fixedincome and precious metals, both of which benefited from fears of a UnitedStates recession, as well as sharp U.S. rate cuts. The continuing rally ingrain markets was another source of profit for the Portfolio Funds. Losses cameprimarily from energy markets as oil prices weakened and natural gas rebounded.Going into February, commodities and fixed income are the two

 

22

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largest risk allocationsfor the Portfolio Funds as they continue to be long in most fixed incomemarkets, while in commodities, they generally have long positions in grains,softs and precious metals, and shorts in livestock. Energy exposure has beencut back significantly after January’s losses. Profits continue to be posted tothe Fund in the middle of the quarter due to returns earned in surgingcommodity markets. Grains and softs rallied strongly due to low inventories andpositive forecasts of demand. Energy and metals climbed as these sectors areperceived as an inflation hedge. The other profitable trades included shortcurrency positions against the U.S. dollar. The Fund posted losses at the end of the quarter. The strong trends incommodity markets in February made a sharp reversal in March, hurting mostfunds in the vertical. The grains and precious metals sectors recordedparticularly large reversals. The Portfolio Funds were able to participate morein the upward move in February than in the March reversal therebypreserving its gains for the first quarter. The Portfolio Funds were able tolimit the damage in March by reducing leverage. Most managers scaled backpositions in inverse proportion to rising volatility in commodity markets.

 

Profits were posted tothe Fund for the second quarter. The Portfolio Funds made gains in their longenergy positions at the beginning of the quarter, as oil and natural gas hithistoric highs which were offset by losses from reversals in financial futuresmarkets. Most of the Portfolio Funds came into April with short positionsin the U.S. dollar, long positions in bonds and short positions in equities.However, markets experienced a relief rally in April as investors began tobelieve the  credit crisis might be over.This caused the U.S. dollar to rebound, bonds to fall and equities to rise,thus hurting the Portfolio Funds performance. The Portfolio Funds with moreenergy exposure did better in the month, as well as the Portfolio Funds who hadshort positions in the financial futures were able to unwind their positionsquickly. Profits continued to be posted to the Fund in the middle of thequarter. May was a month where energies jumped to record levels. Crude oilwas up 13% and natural gas was up 6.6%, continuing trends from previous months.The primary drivers of performance for the Fund was in the commodities andenergy sectors. Non-commodity markets were mixed as most of the Funds managedto be flat to positive in the financial markets overall. The second quarterended with profits being posted to the Fund. The Portfolio Funds made moneythrough long positions in commodities and short equities positions.

 

Losses were posted to theFund at the beginning of the third quarter. The Portfolio Funds posted lossesat the beginning of the quarter as bullish trends in commodities dramaticallyreversed. The Portfolio Funds came into the month of July with longpositions in most of the commodity markets. After having made most of theiryear-to-date gains in commodities, the Portfolio Funds had the largest lossesin these markets. Goldman Sachs Commodity Index was down for the month, as wellas the Energy sub-index and the correction was particularly severe in NaturalGas Index which was also down. The Portfolio Funds had a second month of poorperformance in August. There were two major trends that caused the PortfolioFunds to lose money. The first was the strengthening in the U.S. dollar,following a long period of declines against most major currencies. Typically,the Portfolio Funds will be short on the U.S. dollar positions which causedlosses to be posted to the Fund in the middle of the quarter. The second trendwas the continued decline in commodities, following the dramatic reversal fromJuly. Profits were posted to the Fund at the end of the third quarter. Septemberwitnessed an extended weakness in financial markets that was manifested in asharp sell-off in global equities and commodities, including energies, grains,and industrial metals. Bond yields fell moderately, while the U.S. dollarcontinued its upward move against other major currencies. The Portfolio Fundsperformance exhibited a fair amount of variance which was a function of thetime frame of the underlying strategy. Medium-term trend followers who form thebulk of Systematic Momentum, did quite well as they were correctly positionedfor the market moves.

 

Profits were posted tothe Fund in the fourth quarter. October was a story of two months. Thefirst half of the month was characterized by an acute panic in financialmarkets with global equities, commodities, and high yielding currenciesdropping and dollar rising. The second half that started with the equity marketrally on Monday October 13th was characterized by wild day to dayvolatility but kept most markets relatively range bound. Most Portfolio Fundsgenerated sizable returns in the first half of the month and then succeeded tokeep most of these gains. Altis, Bluetrend, and Transtrend were the bestperformers. All three benefited from bearish moves in commodities and equitiesand a strong U.S. dollar in the first half of the month. The majority of thelosses came from GSA short term models going long Japanese and Hong Kongequities towards the beginning of the month anticipating a bounce in stockmarkets. Unfortunately, these models were caught in a significant market dropand experienced sizable losses. All other Portfolio Funds had a positiveperformance in October. Profits were posted to the Fund in November inlieu of a stormy month in the financial markets.  Most of the Portfolio Funds stayed away fromvolatile equity markets and instead benefited from long positions in globalbonds as bonds rallied and short positions in commodities as commoditiescontinued to decline. On average, fixed income was the best contributor to theperformance, followed by commodities, and then currencies as a distant thirdplace. The Fund posted profits at the end of the year. The largest gains weremade in fixed income as the Portfolio Funds profited from long positions acrossthe curve as yields continued to fall dramatically. Short positions incommodities, particularly energy, and long positions in the Euro versus theshort British pound positions also proved profitable. Equity returns were flaton the month as risk in stocks was minimal.

 

23

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***2007***

 
| ** **                             | ** ** | **Total Trading**  | ** ** |
|----------------------------------------|------------|--------------------|------------|
| **Year ended December 31,  2007** | ** ** | **Profit  (Loss)** | ** ** |
| Chesapeake                             |       | $                  | 907,352    |   |
| Transtrend                             |       | 3,553,620          |       |
| Altis                                  |       | 2,911,774          |       |
| Winton                                 |       | 2,796,394          |       |
| Aspect                                 |       | 1,770,147          |       |
| John  Locke                            |       | 1,760,297          |       |
| Alphasimplex                           |       | (943,062           | )          |
| GSA                                    |       | 1,233,516          |       |
|                                   |       |               |       |
|                                   |       | $                  | 13,990,038 |   |

 

The Fundexperienced a net trading profit for the period ended December 31, 2007 of$13,990,038

 

The beginning of thesecond quarter profits were posted for the Fund through mid-quarter. However,as the second quarter ended there was resurgence in market volatility as bondssold off heavily in the first half of the month on growing optimism for globalgrowth and then rallied on renewed concerns in the sub-prime lending market.Similarly, equity markets experienced wide swings and ended the second quarterlower partly on concerns about the potential for contagion on the back of BearStearns’ troubled credit focused hedge funds. Although the core long term trendfollowers performed well throughout the month of June, the out-performance inthe portfolio came from the short term models of Altis and GSA. Both of thesemanagers captured reversals in equity markets and were able to profit both longand short over the course of the month. Natural gas shorts also generatedpositive results. In currencies, most managers were successful capturingstrength in the Australian dollar, Canadian dollar, and the British pound aswell as continuing to underweight the persistently weak Japanese yen.

 

The third quarter beganwith extreme market reversals. Practically all markets which were trendingupward retraced as investors exited in an attempt to reduce risk. Creditworries and a softening housing market finally caught up to the equity marketsand led to a big rally in global bonds. The Japanese yen, which has beenpersistently weak for years, suddenly rallied against all of its higheryielding counterparts. As a result of the reversals, losses were posted to theFund. Long term market trends continued to unwind at the middle part of thethird quarter as the long positions in the Foreign Exchange carry trades, longinternational equities, long energy and long metals due to a spike in risk aversionon August 16th caused significant losses in each of thesetrades posting losses for the Fund. The third quarter ended with a very strongperformance after a turbulent summer. Strong trends re-emerged in commoditiesin particular, as wheat gained 21%, and crude oil rose 11% due to supplyfactors. In addition, precious metals rallied, with gold up by 10% and silverup by 13% due to the U.S. dollar weakening which caused demand for preciousmetals as a store of value. The U.S Federal Reserve’s 50 basis points mid-monthrate cut also helped to invigorate investor risk appetite, helping FX carrytrades and boosting global equity markets.

 

The year ended with gainsbeing posted for the Fund (1.7% for December) bringing the return since its April 2007inception to 16.04%. Trends were particularly strong in commodities, withrallies in grains, oil and gold, as well as continued declines in base metals.Individual managers with a larger allocation to the commodity space tended tooutperform during the month of December. Financial futures markets were moredifficult to trade due to choppy conditions. In bonds, several managers cameinto December  with a long bias, but yields rose at the start of the monthdue to better than expected United States economic news, as well the decisionof the U.S. Federal Government to lower rates by only 25 basis points, whichwas less than some had expected. In Futures and Exchange currencies, an earlystrengthening of the U.S. dollar caught several managers by surprise, as they weregenerally positioned for further U.S. dollar weakness. Finally, in equities alack of trends meant that risk exposures were limited in this area.

 

VariablesAffecting Performance

 

The principal variablesthat determine the net performance of the Fund are gross profitability from thePortfolio Funds’ trading activities and interest income.

 

The Fund currently earnsinterest based on the prevailing Fed Funds rate plus a spread for short cash 

 

24

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positions and minus aspread for long cash positions.  Thecurrent short term interest rates have remained extremely low when comparedwith historical rates and thus has contributed negligible amounts to overallFund performance.

 

During the period setforth above in “Selected Financial Data”, the interest rates in many countrieswere at unusually low levels. In addition, low interest rates are frequently associatedwith reduced fixed income market volatility, and in static markets the Fund’sprofit potential generally tends to be diminished.  On the other hand, during periods of higherinterest rates, the relative attractiveness of a high risk investment such asthe Fund may be reduced as compared to high yielding and much lower riskfixed-income investments.

 

The Fund’s Sponsor Feesare a constant percentage of the Fund’s net assets.

 

Unlike many investmentfields, there is no meaningful distinction in the operation of the Fund betweenrealized and unrealized profits.  Most ofthe contracts traded by the Portfolio Funds are highly liquid and can be closedout at any time.

 

Except in unusualcircumstances, factors—regulatory approvals, cost of goods sold, employeerelations and the like—which often materially affect an operating business,have no material impact on the Fund.

 

***Liquidity; Capital Resources***

 

The PortfolioFunds borrow only to a limited extent and only on a strictly short-term basisin order to finance losses on non-U.S. dollar denominated trading positionspending the conversion of the U.S. dollar deposits. These borrowings are at aprevailing short-term rate in the relevant currency.

 

Substantially allof the Portfolio Funds’ assets are held in cash at the underlying Fund. The NetAsset Value of the Portfolio Funds’ cash is not affected by inflation. However,changes in interest rates could cause periods of strong up or down pricetrends, during which the profit potential generally increases. Inflation incommodity prices could also generate price movements, which the strategiesmight successfully follow.

 

Becausesubstantially all of the Portfolio Funds’ assets are held in cash at theunderlying Fund, the Portfolio Funds should be able to close out any or all ofits open trading positions and liquidate any or all of its securities holdingsquickly and at market prices, except in very unusual circumstances. Thispermits the advisors to limit losses as well as reduce market exposure on shortnotice should its strategies indicate doing so. In addition, because there is areadily available market value for the Portfolio Funds positions and assets,the Fund’s monthly Net Asset Value calculations are precise, and investors needonly wait ten business days to receive the full redemption proceeds of theirUnits.

 

(The Portfolio Funds andthe Fund have no applicable off-balance sheet arrangements or tabulardisclosure of contractual obligations of the type described in Items 3.03(a)(4) and3.03(a)(5) of Regulation S-K.)

 

***Recent Accounting Developments***

 

Recent accountingdevelopments are discussed in Exhibit 13.01.

 

**Item7A:****Quantitative and Qualitative Disclosures About MarketRisks**

 

Introduction

 

ThePortfolio Funds are a speculative commodity pools. The market sensitiveinstruments held by the Portfolio Funds are acquired for speculative tradingpurposes and all or substantially all of the Fund’s assets are subject to therisk of trading loss.  Unlike anoperating company, the risk of market sensitive instruments is integral, notincidental, to the Fund’s main line of business.

 

Marketmovements result in frequent changes in the fair market value of the PortfolioFund’s open positions and, consequently, in its earnings and cash flow. ThePortfolio Fund’s market risk is influenced by a wide variety of factors,including the level and volatility of interest rates, exchange rates, equityprice levels, the market value of financial instruments 

 

25

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and contracts, thediversification effects among the Portfolio Fund’s open positions and theliquidity of the markets in which it trades.

 

ThePortfolio Funds, under the direction of their respective advisors, rapidlyacquire and liquidate both long and short positions in currency markets.  Consequently, it is not possible to predicthow a particular future market scenario will affect performance, and the pastperformance is not necessarily indicative of its future results.

 

Valueat Risk is a measure of the maximum amount which the Portfolio Funds couldreasonably be expected to lose in a given market sector. However, the inherentuncertainty of the Portfolio Funds’ speculative trading and the recurrence inthe markets traded by the Portfolio Funds of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyondthe indicated Value at Risk or the experience to date (i.e., “risk of ruin”).In light of the foregoing, as well as the risks and uncertainties intrinsic toall future projections, the quantifications included in this section should notbe considered to constitute any assurance or representation that the PortfolioFunds’ losses in any market sector will be limited to Value at Risk or by eachPortfolio Funds’ attempts to manage its market risk.

 

**QuantifyingThe Fund’s Trading Value At Risk**

 

QuantitativeForward-Looking Statements

 

Thefollowing quantitative disclosures regarding the Fund’s market risk exposurescontain “forward-looking statement” within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the SecuritiesAct of 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.

 

ThePortfolio Fund’s risk exposure in the various market sectors traded by theadvisors is quantified below in terms of Value at Risk.  Due to the Portfolio Fund’s fair valueaccounting, any loss in the fair value of the Portfolio Fund’s open positionsis directly reflected in the Portfolio Fund’s earnings (realized or unrealized)and cash flow (at least in the case of exchange-traded contracts in whichprofits and losses on open positions are settled daily through variationmargin).

 

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

 

In the case ofmarket sensitive instruments which are not exchange-traded (almost exclusivelycurrencies in the case of the Portfolio Funds), the margin requirements for theequivalent futures positions have been used as Value at Risk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

 

100% positivecorrelation in the different positions held in each market risk category hasbeen assumed.  Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk.  The diversification effects resulting fromthe fact that the Fund’s positions are rarely, if ever, 100% positivelycorrelated have not been reflected.

 

26

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***The Fund’s Trading Value at Risk in Different Market Sectors***

 

Thefollowing information with respect to Value at Risk (“VAR”) is set forth inrespect of Portfolio Funds separately, rather than for the Partnership on astand alone basis.

 
| **Altis  Class DS (1)** | **December 31, 2009** |   |
|------------------------------|-----------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 143,099    |               | 0.14       | %                  | $          | 253,440           |       | $ | 30,906 |   |
| Energy                   |       | 173,925            |       | 0.17               | %          | 479,521            |       | 27,763            |       |
| Interest Rates           |       | 8,974,327          |       | 8.72               | %          | 11,279,824         |       | 6,852,385         |       |
| Metals                   |       | 377,634            |       | 0.37               | %          | 846,000            |       | 79,345            |       |
| Stock Indices            |       | 514,223            |       | 0.50               | %          | 1,284,200          |       | 32,824            |       |
| Currencies               |       | 268,591            |       | 0.26               | %          | 614,380            |       | 32,398            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 10,451,799 |               | 10.16      | %                  | $          | 14,757,365        |       | $ | 7,055,621 |   |

 

----

(1) Average capitalization of Altis Class DSis $102,900,268.

 
| **Altis  Class DS (1)** | **December 31, 2008** |   |
|------------------------------|-----------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 537,989    |               | 1.05       | %                  | $          | 1,457,645         |       | $ | 54,072 |   |
| Energy                   |       | 484,425            |       | 0.95               | %          | 1,866,010          |       | 12,268            |       |
| Interest Rates           |       | 5,445,032          |       | 10.64              | %          | 9,901,636          |       | 189,310           |       |
| Metals                   |       | 363,811            |       | 0.71               | %          | 1,102,077          |       | 76,849            |       |
| Stock Indices            |       | 454,286            |       | 0.89               | %          | 2,255,421          |       | 17,466            |       |
| Currencies               |       | 587,321            |       | 1.15               | %          | 3,175,386          |       | 60,466            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 7,872,864  |               | 15.39      | %                  | $          | 19,758,175        |       | $ | 410,431 |   |

 

----

(1) Average capitalization of Altis Class DSis $51,152,408.

 

27

----

 
| **Transtrend  Class DS (2)** | **December 31, 2009** |   |
|-----------------------------------|-----------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 287,291    |               | 0.21       | %                  | $          | 1,249,337         |       | $ | 25,964 |   |
| Energy                   |       | 473,736            |       | 0.35               | %          | 1,767,710          |       | 8,648             |       |
| Interest Rates           |       | 11,698,484         |       | 8.71               | %          | 17,620,289         |       | 6,258,260         |       |
| Metals                   |       | 184,060            |       | 0.14               | %          | 568,495            |       | 2,859             |       |
| Stock Indices            |       | 703,797            |       | 0.52               | %          | 1,882,750          |       | 35,158            |       |
| Currencies               |       | 551,625            |       | 0.41               | %          | 1,936,468          |       | 63,452            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 13,898,993 |               | 10.34      | %                  | $          | 25,025,049        |       | $ | 6,394,341 |   |

 

----

(2) Average capitalization of Transtrend Class DSis $134,299,237.

 
| **Transtrend  Class DS (2)** | **December 31, 2008** |   |
|-----------------------------------|-----------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 230,975    |               | 0.41       | %                  | $          | 737,580           |       | $ | 11,638 |   |
| Energy                   |       | 361,749            |       | 0.65               | %          | 1,088,792          |       | 7,598             |       |
| Interest Rates           |       | 4,203,179          |       | 7.55               | %          | 5,982,076          |       | 1,355,396         |       |
| Metals                   |       | 171,708            |       | 0.31               | %          | 464,718            |       | 6,735             |       |
| Stock Indices            |       | 340,747            |       | 0.61               | %          | 708,767            |       | 93,824            |       |
| Currencies               |       | 839,469            |       | 1.51               | %          | 2,386,648          |       | 28,161            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 6,147,827  |               | 11.04      | %                  | $          | 11,368,581        |       | $ | 1,503,352 |   |

 

----

(2) Average capitalization of Transtrend Class DSis $55,662,905.

 

28

----

 
| **Aspect  Class DS (3)** | **December 31, 2009** |   |
|-------------------------------|-----------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 80,011     |               | 0.10       | %                  | $          | 304,395           |       | $ | 2,532 |   |
| Energy                   |       | 64,288             |       | 0.08               | %          | 156,172            |       | 8,652             |       |
| Interest Rates           |       | 8,234,058          |       | 10.46              | %          | 15,531,929         |       | 4,899,067         |       |
| Metals                   |       | 160,258            |       | 0.20               | %          | 642,631            |       | 3,770             |       |
| Stock Indices            |       | 225,044            |       | 0.29               | %          | 874,765            |       | 6,162             |       |
| Currencies               |       | 417,518            |       | 0.53               | %          | 1,162,691          |       | 101,820           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 9,181,177  |               | 11.66      | %                  | $          | 18,672,583        |       | $ | 5,022,003 |   |

 

----

(3) Average Capitalization of Aspect Class DSis $78,704,541.

 
| **Aspect  Class DS (3)** | **December 31, 2008** |   |
|-------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 148,700    |               | 0.34       | %                  | $          | 714,478           |       | $ | 32,584 |   |
| Energy                   |       | 233,858            |       | 0.53               | %          | 986,545            |       | 34,838            |       |
| Interest Rates           |       | 4,320,580          |       | 9.83               | %          | 9,259,536          |       | 1,806,236         |       |
| Metals                   |       | 100,382            |       | 0.23               | %          | 453,072            |       | 30,959            |       |
| Stock Indices            |       | 286,373            |       | 0.65               | %          | 1,162,802          |       | 12,758            |       |
| Currencies               |       | 519,459            |       | 1.18               | %          | 1,999,966          |       | 21,707            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 5,609,352  |               | 12.76      | %                  | $          | 14,576,399        |       | $ | 1,939,082 |   |

 

----

(3) Average Capitalization of Aspect Class DSis $43,969,426.

 

29

----

 
| **Chesapeake  Class DS (4)** | **December 31, 2009** |   |
|-----------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 497,738    |               | 0.63       | %                  | $          | 1,421,839         |       | $ | 82,583 |   |
| Energy                   |       | 286,359            |       | 0.36               | %          | 1,259,154          |       | —            |       |
| Interest Rates           |       | 6,197,947          |       | 7.82               | %          | 12,519,402         |       | 3,643,951         |       |
| Metals                   |       | 749,491            |       | 0.95               | %          | 2,270,314          |       | 36,503            |       |
| Stock Indices            |       | 5,263              |       | 0.01               | %          | 60,929             |       | —            |       |
| Stock Futures            |       | 622,603            |       | 0.79               | %          | 2,759,350          |       | —            |       |
| Currencies               |       | 334,975            |       | 0.42               | %          | 1,066,633          |       | 24,613            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 8,694,376  |               | 10.98      | %                  | $          | 21,357,621        |       | $ | 3,787,650 |   |

 

----

(4) Average capitalization of Chesapeake Class DSis $79,257,947.

 
| **Chesapeake  Class DS (4)** | **December 31, 2008** |   |
|-----------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 424,562    |               | 0.97       | %                  | $          | 1,109,107         |       | $ | 37,416 |   |
| Energy                   |       | 326,563            |       | 0.75               | %          | 831,598            |       | —            |       |
| Interest Rates           |       | 3,795,627          |       | 8.70               | %          | 5,290,783          |       | 1,900,688         |       |
| Metals                   |       | 177,554            |       | 0.41               | %          | 463,991            |       | 16,817            |       |
| Stock Indices            |       | 0                  |       | 0.00               | %          | 0                  |       | —            |       |
| Stock Futures            |       | 77,646             |       | 0.18               | %          | 194,747            |       | —            |       |
| Currencies               |       | 563,387            |       | 1.29               | %          | 1,593,178          |       | 8,064             |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 5,365,339  |               | 12.30      | %                  | $          | 9,483,404         |       | $ | 1,962,985 |   |

 

----

(4) Average capitalization of Chesapeake Class DSis $43,646,766.

 

30

----

 
| **Winton  Class DS (5)** | **December 31, 2009** |   |
|-------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 58,746     |               | 0.04       | %                  | $          | 149,603           |       | $ | 2,205 |   |
| Energy                   |       | 31,407             |       | 0.02               | %          | 71,287             |       | 951               |       |
| Interest Rates           |       | 7,461,866          |       | 5.51               | %          | 8,893,168          |       | 6,431,814         |       |
| Metals                   |       | 154,343            |       | 0.11               | %          | 511,177            |       | 12,354            |       |
| Stock Indices            |       | 310,604            |       | 0.23               | %          | 1,122,663          |       | 55,130            |       |
| Currencies               |       | 645,294            |       | 0.48               | %          | 1,287,106          |       | 132,495           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 8,662,260  |               | 6.39       | %                  | $          | 12,035,004        |       | $ | 6,634,949 |   |

 

----

(5) Average capitalization of Winton Class DSis $135,368,736.

 
| **Winton  Class DS (5)** | **December 31, 2008** |   |
|-------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 214,796    |               | 0.39       | %                  | $          | 519,675           |       | $ | 18,738 |   |
| Energy                   |       | 225,550            |       | 0.41               | %          | 595,566            |       | 25,326            |       |
| Interest Rates           |       | 3,710,683          |       | 6.73               | %          | 5,492,995          |       | 2,436,724         |       |
| Metals                   |       | 142,340            |       | 0.26               | %          | 342,340            |       | 2,260             |       |
| Stock Indices            |       | 357,042            |       | 0.65               | %          | 1,461,669          |       | 13,188            |       |
| Currencies               |       | 633,040            |       | 1.15               | %          | 1,425,678          |       | 48,123            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 5,283,451  |               | 9.59       | %                  | $          | 9,837,923         |       | $ | 2,544,359 |   |

 

----

(5) Average capitalization of Winton Class DSis $55,171,794.

 

31

----

 
| **John  Locke Class DS (6)** | **December 31, 2009** |   |
|-----------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 313,590    |               | 0.24       | %                  | $          | 968,849           |       | $ | 6,390 |   |
| Energy                   |       | 403,371            |       | 0.31               | %          | 1,812,797          |       | 16,382            |       |
| Interest Rates           |       | 34,726,623         |       | 26.79              | %          | 305,915,780        |       | 1,922,404         |       |
| Metals                   |       | 553,205            |       | 0.43               | %          | 3,324,914          |       | 30,523            |       |
| Stock Indices            |       | 467,182            |       | 0.36               | %          | 1,976,182          |       | 10,675            |       |
| Currencies               |       | 2,189,133          |       | 1.69               | %          | 13,102,677         |       | 284,578           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 38,653,104 |               | 29.82      | %                  | $          | 327,101,199       |       | $ | 2,270,952 |   |

 

----

(6) Averagecapitalization of John Locke Class DS is $129,613,433.

 
| **John  Locke Class DS (6)** | **December 31, 2008** |   |
|-----------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 81,008     |               | 0.16       | %                  | $          | 264,554           |       | $ | 3,386 |   |
| Energy                   |       | 93,615             |       | 0.19               | %          | 368,725            |       | 9,148             |       |
| Interest Rates           |       | 2,846,509          |       | 5.78               | %          | 4,922,791          |       | 769,897           |       |
| Metals                   |       | 72,635             |       | 0.15               | %          | 221,857            |       | 24,169            |       |
| Stock Indices            |       | 79,826             |       | 0.16               | %          | 261,571            |       | 9,144             |       |
| Currencies               |       | 302,614            |       | 0.61               | %          | 585,364            |       | 36,707            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 3,476,207  |               | 7.05       | %                  | $          | 6,624,862         |       | $ | 852,451 |   |

 

----

(6) Average capitalization of John Locke Class DSis $49,220,916.

 

32

----

 
| **GSA  Class DS (7)** | **December 31, 2009** |   |
|----------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 435,011    |               | 0.46       | %                  | $          | 815,648           |       | $ | 3,108 |   |
| Energy                   |       | 526,153            |       | 0.56               | %          | 1,174,250          |       | 46,954            |       |
| Interest Rates           |       | 3,525,322          |       | 3.73               | %          | 5,661,734          |       | 60,305            |       |
| Metals                   |       | 340,934            |       | 0.36               | %          | 1,145,669          |       | 31,825            |       |
| Stock Indices            |       | 1,859,526          |       | 1.97               | %          | 4,304,255          |       | 49,439            |       |
| Currencies               |       | 631,915            |       | 0.67               | %          | 1,553,411          |       | 126,297           |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 7,318,861  |               | 7.75       | %                  | $          | 14,654,967        |       | $ | 317,928 |   |

 

----

(7) Average capitalization of GSA Class DSis $94,571,167

* Fund Liquidated as of May 2009

 
| **GSA  Class DS (7)** | **December 31, 2008** |   |
|----------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 285,166    |               | 0.64       | %                  | $          | 1,152,955         |       | $ | 2,042 |   |
| Energy                   |       | 202,513            |       | 0.46               | %          | 1,064,598          |       | 73                |       |
| Interest Rates           |       | 3,436,052          |       | 7.75               | %          | 6,162,630          |       | 733,412           |       |
| Metals                   |       | 95,405             |       | 0.22               | %          | 383,155            |       | 1,862             |       |
| Stock Indices            |       | 1,418,651          |       | 3.20               | %          | 4,930,657          |       | 32,488            |       |
| Currencies               |       | 796,969            |       | 1.80               | %          | 3,194,233          |       | 15,376            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 6,234,756  |               | 14.07      | %                  | $          | 16,888,228        |       | $ | 785,253 |   |

 

----

(7) Averagecapitalization of GSA Class DS is $44,330,539

 

33

----

 
| **BlueTrend  Class DS (8)** | **December 31, 2009** |   |
|----------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 8,854      |               | 0.02       | %                  | $          | 18,143            |       | $ | 1,911 |   |
| Energy                   |       | 73,830             |       | 0.13               | %          | 203,775            |       | 3,359             |       |
| Interest Rates           |       | 4,042,757          |       | 7.27               | %          | 7,381,548          |       | 2,075,299         |       |
| Metals                   |       | 16,462             |       | 0.03               | %          | 46,937             |       | 2,774             |       |
| Stock Indices            |       | 149,273            |       | 0.27               | %          | 503,568            |       | 6,718             |       |
| Currencies               |       | 36,183             |       | 0.07               | %          | 124,434            |       | 1,492             |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 4,327,359  |               | 7.79       | %                  | $          | 8,278,405         |       | $ | 2,091,553 |   |

 

----

(8) Average capitalization of BlueTrend Class DSis $55,643,996

 
| **BlueTrend  Class DS (8)** | **December 31, 2008** |   |
|----------------------------------|----------------------------|--------|

 
| ** **               | ** ** | **Average**        | ** ** | **% of  Average**  | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
|--------------------------|------------|--------------------|------------|--------------------|------------|--------------------|------------|-------------------|------------|
| **Market Sector**        | ** ** | **Value at  Risk** | ** ** | **Capitalization** | ** ** | **At Risk**        | ** ** | **At Risk**       | ** ** |
|                     |       |               |       |               |       |               |       |              |       |
| Agricultural Commodities |       | $                  | 9,193      |               | 0.02       | %                  | $          | 12,073            |       | $ | 5,601 |   |
| Energy                   |       | 19,281             |       | 0.05               | %          | 23,984             |       | 15,292            |       |
| Interest Rates           |       | 2,114,861          |       | 5.06               | %          | 2,819,418          |       | 1,731,202         |       |
| Metals                   |       | 12,429             |       | 0.03               | %          | 24,924             |       | 4,706             |       |
| Stock Indices            |       | 81,211             |       | 0.19               | %          | 193,271            |       | 23,960            |       |
| Currencies               |       | 23,859             |       | 0.06               | %          | 35,515             |       | 11,374            |       |
|                     |       |               |       |               |       |               |       |              |       |
| TOTAL                    |       | $                  | 2,260,834  |               | 5.41       | %                  | $          | 3,109,185         |       | $ | 1,792,135 |   |

 

----

(8) Average capitalization of BlueTrend Class DSis $44,805,928

 

**MaterialLimitations on Value at Risk as an Assessment of Market Risk**

 

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

 

**Non-TradingRisk**

 

ThePortfolio Funds have non-trading market risk on their foreign cash balances notneeded for margin.

 

34

----

 

 

Qualitative DisclosuresRegarding Primary Trading Risk Exposures

 

The following qualitativedisclosures regarding the Fund’s market risk exposures — except for (i) thosedisclosures that are statements of historical fact and (ii) thedescriptions of how the manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Fund’sprimary market risk exposures as well as the strategies used and to be used byMLAI and the Portfolio Funds’ advisors for managing such exposures are subjectto numerous uncertainties, contingencies and risks, any one of which couldcause the actual results of the Fund’s risk controls to differ materially from theobjectives of such strategies. Government interventions, defaults andexpropriations, illiquid markets, the emergence of dominant fundamentalfactors, political upheavals, changes in historical price relationships, aninflux of new market participants, increased regulation and many other factorscould result in material losses as well as in material changes to the riskexposures and the risk management strategies of the Fund. There can be noassurance that the Fund’s current market exposure and/or risk managementstrategies will not change materially or that any such strategies will beeffective in either the short- or long-term. Investors must be prepared to loseall or substantially all of the time value of their investment in the Fund.

 

**QualitativeDisclosures Regarding Means of Managing Risk Exposure**

 

#### Trading Risk

####  

MLAI has procedures inplace intended to control market risk, although there can be no assurance thatthey will, in fact, succeed in doing so. While MLAI does not itself intervenein the markets to hedge or diversify the Portfolio Funds’ market exposure, MLAImay urge the Portfolio Funds’ advisors to reallocate positions in an attempt toavoid over-concentrations.  However, suchinterventions are unusual, except in cases in which it appears that theadvisors have begun to deviate from past practice and trading policies or to betrading erratically, MLAI’s basic control procedures consist of simply of theongoing process of monitoring the advisors with the market risk controls beingapplied by the advisors themselves.

 

Risk Management

 

PortfolioFunds attempt to control risk in all aspects of the investment process — fromconfirmation of a trend to determining the optimal exposure in a given market,and to money management issues such as the startup or upgrade of investoraccounts.  Portfolio Funds double checkthe accuracy of market data, and will not trade a market without multiple pricesources for analytical input.  Inconstructing a portfolio, Portfolio Funds seek to control overall risk as wellas the risk of any one position, and Portfolio Funds trade only markets thathave been identified as having positive performance characteristics.  Trading discipline requires plans for theexit of a market as well as for entry. Portfolio Funds factor the point of exit into the decision to enter(stop loss).  The size of Portfolio Fund’spositions in a particular market is not a matter of how large a return can begenerated but of how much risk it is willing to take relative to that expectedreturn.

 

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

 

PortfolioFunds may determine that risks arise when markets are illiquid or erratic,which may occur cyclically during holiday seasons, or on the basis ofirregularly occurring market events.  Insuch cases, Portfolio Funds at its sole discretion may override computer-generatedsignals and may at times use discretion in the application of its quantitativemodels, which may affect performance positively or negatively.

 

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

 

35

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## Non-Trading Risk

##  

TheFund and the Portfolio Funds control the non-trading exchange rate risk byregularly converting foreign currency balances back into U.S. dollars at leastonce per week and more frequently if a particular foreign currency balancebecomes unusually high.

 

TheFund and the Portfolio Funds have cash flow interest rate risk on its cash ondeposit with MLPF&S and in the BlackRock sponsored money market fund inthat declining interest rates would cause the income from such cash todecline.  However, a certain amount ofcash or cash equivalents must be held by the Fund in order to facilitate marginpayments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on the cashheld on deposit at MLPF&S and in the BlackRock sponsored money market fund.

 

**Item8: Financial Statements and Supplementary Data**

Net Income (Loss) byQuarter

Eight Quarters through December 31,2009

 
| ** **                                           | ** ** | **Fourth**  | ** **  | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** **  | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** |
|------------------------------------------------------|------------|-------------|-------------|-------------|------------|-------------|------------|-------------|-------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                                           | ** ** | **Quarter** | ** **  | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** **  | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                                           | ** ** | **2009**    | ** **  | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** **  | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** |
| Total Income (Loss)                                  |       | $           | (21,795,932 | )           | $          | 13,613,925  |       | $           | (27,712,377 | )           | $          | (25,856,689 | )          | $           | 69,068,458 |        | $          | (29,629,492 | ) | $ | 28,127,418 |   | $ | 13,644,323 |   |
| Total Expenses                                       |       | 4,679,304   |        | 4,290,343   |       | 3,649,738   |       | 3,440,810   |        | 2,710,614   |       | 2,267,381   |       | 1,544,586   |       | 1,063,534   |       |
| Net Income (Loss)                                    |       | $           | (26,475,236 | )           | $          | 9,323,582   |       | $           | (31,362,115 | )           | $          | (29,297,499 | )          | $           | 66,357,844 |        | $          | (31,896,873 | ) | $ | 26,582,832 |   | $ | 12,580,789 |   |
|                                                 |       |        |        |        |       |        |       |        |        |        |       |        |       |        |       |        |       |
| Net Income (Loss) per weighted average Unit (a) |       | $           | (0.0359     | )           | $          | 0.0133      |       | $           | (0.0488     | )           | $          | (0.0504     | )          | $           | 0.1347     |        | $          | (0.0851 | ) | $ | 0.1059 |   | $ | 0.0942 |   |

 

----

(a) The Net Income (Loss) per weighted averageUnit is based on the weighted average of the total Units for each quarter.

 

The financialstatements required by this Item are included in Exhibit 13.01.

 

The supplementaryfinancial information (“information about oil and gas producing activities”)specified by Item 302(b) of Regulation S-K is not applicable.

 

**Item9: Changes in and Disagreements with Accountants on Accounting and FinancialDisclosure**

 

The Board ofManagers of MLAI, the Manager of the Fund, dismissed Deloitte & Toucheas the independent registered public accounting firm for the Fund, effective April 20,2009. The Board of Managers of the Manager, on behalf of the Fund, approved theengagement of PricewaterhouseCoopers LLP as the independent registered publicaccounting firm of the Fund effective April 20, 2009.

 

There were nodisagreements with the respective independent registered public accountingfirms on accounting and financial disclosure.

 

**Item9A(T): Controls and Procedures**

 

MLAI’s Chief ExecutiveOfficer and the Chief Financial Officer, on behalf of the Fund, has evaluatedthe effectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the year ended December 31,2009, and, based on its evaluation, has concluded that these disclosurecontrols and procedures are effective.

 

36

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*Changesin Internal Control over Financial Reporting*

 

No change in internalcontrol over financial reporting (as defined in Rule 13a-15(f) underthe Securities Exchange Act of 1934) occurred during the quarter ended December 31,2009 that has materially affected, or is reasonable likely to materiallyaffect, the Fund’s internal control, over financial reporting.

 

*Management’sReport on Internal Control over Financial Reporting*

 

The Fund’s management isresponsible for establishing and maintaining adequate internal control overfinancial reporting.  The Fund’s internal control over financial reportingis a process designed under the supervision of MLAI’s Chief Executive Officer andthe Chief Financial Officer, on behalf of the Fund and is effected bymanagement, other personnel and service providers to provide reasonableassurance regarding the reliability of financial reporting and the preparationof financial statements for external purposes in accordance with generallyaccepted accounting principles and included those policy and procedures that:

 

·                 Pertain to the maintenance of recordsthat in reasonable detail accurately and fairly reflect the transactions anddispositions of the assets of the Fund.

 

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

 

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

 

Because of its inherentlimitations, internal control over financial reporting can provide onlyreasonable assurance with respect to financial statement preparation andpresentation.  Projections of any evaluation of effectiveness to futureperiods are subject to the risks that controls may become inadequate because ofchanges in condition, or that the degree of compliance with the policies orprocedures may deteriorate.

 

The Fund’s managementassessed the effectiveness of the Funds’ internal control over financialreporting as of December 31, 2009.  In making this assessment, managementused the criteria set forth by the Committee of Sponsoring Organizations of theTreadway Commission (COSO) in “Internal Control-Integrated Framework”.

 

Based on its assessmentthe Fund’s management concluded that at December 31, 2009, the Fund’s internalcontrol over financial reporting was effective.

 

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

 

**Item9B:  Other Information**

 

  Notapplicable.

 

37

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**PART III**

 

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

 

10(a) and10(b)                 Identification of Directors and ExecutiveOfficers:

 

As a limited company, the Fund has no officers ordirectors and is managed by MLAI. Trading decisions are made by Portfolio Funds’Trading Advisors on behalf of the Fund.

 

The managers and executive officers of MLAI and theirrespective business backgrounds are as follows:

 

**Justin C. Ferri**                                                            Chief Executive Officer, President andManager

 

**Barbra E. Kocsis****                                                **Chief Financial Officer

(PrincipalFinancial and Accounting Officer)

 

**Deann Morgan****                                                           **Vice President and Manager

 

JustinC. Ferri is the Chief Executive Officer, President and Manager of MLAI. Mr. Ferri,34 years old,**has been the ChiefExecutive Officer and President of MLAI since August 2009. Mr. Ferrihas been a Manager of MLAI and has been listed as a principal of MLAI since July 29,2008. He has been registered with NFA as an associated person of MLAI since September 11,2009. He also serves as Managing Director within the Merrill Lynch GlobalWealth & Investment Management group and the Global InvestmentsSolutions group (“GWIM” and “GIS,” respectively), responsible for heading GWIM’sAlternative Investments business. In addition, Mr. Ferri serves as VicePresident of IQ Investment Advisors LLC (“IQ”), an indirect, wholly-ownedinvestment adviser subsidiary of Merrill Lynch & Co., and serves asPresident of each of IQ’s publicly traded closed-end mutual fund companies.Prior to his role in GIS, Mr. Ferri was a Director in the MLPF&SGlobal Private Client Market Investments & Origination group, andbefore that, he served as a Vice President and head of the MLPF&S GlobalPrivate Client Rampart Equity Derivatives team. Prior to joining Merrill Lynchin 2002, Mr. Ferri was a Vice President within the QuantitativeDevelopment group of mPower Advisors LLC from 1999 to 2002, and prior to that,he worked in the Private Client division of J.P. Morgan & Co. He holdsa B.A. degree from Loyola College in Maryland.

 

Barbra E. Kocsis**isthe Chief Financial Officer for MLAI. Ms. Kocsis,43 years old, has beenthe Chief Financial Officer of MLAI since October 2006. Ms. Kocsishas been listed with the NFA as a principal of MLAI since May 21, 2007 andis a Director within the Merrill Lynch Global Wealth Management InvestmentServices group, positions she has held since October 2006. Prior toserving in her current roles, she was the Fund Controller of MLAI from May 1999to September 2006. Before joining MLAI, Ms. Kocsis held variousaccounting and tax positions at Derivatives Portfolio Management LLC from May 1992until May 1999, at which time she held the position of accountingdirector. Prior to that, she was an associate at Coopers & Lybrand inboth the audit and tax practices from September 1988 to February 1992.She graduated *cum laude*fromMonmouth College with a Bachelor of Science in Business Administration -Accounting.

 

DeannMorgan**is a Vice President andManager of MLAI. Ms. Morgan, 40 years old, has been a Vice President ofMLAI and Managing Director of GIS since March 2008. As Managing Directorof GIS, Ms. Morgan heads Alternative Investments Origination. From April 2006until March 2008, Ms. Morgan was a Director for Merrill Lynch’sInvestments, Wealth Management & Insurance group, where she wasresponsible for origination of private equity and listed alternativeinvestments. Between August 2004 and April 2006, Ms. Morganworked for Merrill Lynch’s Investment Banking Group covering Asian corporateclients. She received her M.B.A. from University of Chicago and her B.B.A. fromUniversity of Michigan. Ms. Morgan has been registered with NFA as anassociated person and listed as a principal of MLAI since August 21, 2009.Ms. Morgan has also been registered with NFA as an associated person ofMLPF&S since April 13, 2009.

 

As of December 31,2009, the principals of MLAI had no investment in the Fund.

 

MLAIacts as the sponsor, general partner or manager to  seven public futures funds whose units oflimited

 

38

----

 

partner or memberinterests are registered under the Securities Exchange Act of 1934: ML AspectFuturesAccess LLC, ML Select Futures I L.P., ML Systematic MomentumFuturesAccess LLC, Bluetrend FuturesAccess LLC, ML Transtrend DTP EnhancedFuturesAccess LLC, ML Trend-Following Futures Fund L.P, and ML WintonFuturesAccess LLC. Because MLAI serves as the sole sponsor, general partner ormanager of each of these Funds, the officers and managers of MLAI effectivelymanage them as officers and directors of such funds.

 

(c)                                 Identification of Certain SignificantEmployees:

 

None.

 

(d)                                Family Relationships:

 

None.

 

(e)                                 Business Experience:

 

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

 

(f)                                   Involvement in Certain Legal Proceedings:

 

None.

 

(g)                                Promoters and Control Persons:

 

Not applicable.

 

(h)                                Section 16(a) BeneficialOwnership Reporting Compliance:

 

Not applicable.

 

Code of Ethics:

 

MLAI and Merrill Lynchhave adopted a code of ethics which applies to the Fund’s (MLAI’s) principalexecutive officer and principal financial officer or persons performing similarfunctions on behalf of the Fund.  A copyof the code of ethics is available to any person, without charge, upon requestby calling 1-866-MER-ALTS.

 

Nominating Committee:

 

Not applicable. (Neitherthe Fund nor MLAI has nominating committee.)

 

Audit Committee: AuditCommittee Financial Expert:

 

Not applicable. (Neitherthe Fund nor MLAI has an audit committee. There are no listed shares of the Fund or MLAI.)

 

39

----

 

**Item11: Executive Compensation**

 

The managers andofficers of MLAI are remunerated by Merrill Lynch in their respectivepositions. The Fund does not itself have any officers, managers oremployees.  The Portfolio Funds payBrokerage Commissions to an affiliate of MLAI and the Fund pays Sponsor Fees toMLAI.  MLAI or its affiliates may alsoreceive certain economic benefits from possession of the Fund’s and PortfolioFunds’ U.S. dollar assets.  The managersand officers receive no “other compensation” from the Fund, and the managersreceive no compensation for serving as managers of MLAI.  There are no compensation plans orarrangements relating to a change in control of either the Fund or MLAI.

 

**Item12: Security Ownership of Certain Beneficial Owners and Management andRelated Stockholder Matters**

 

(a)                                  Security Ownership of Certain BeneficialOwners:

 

Not applicable. (TheUnits are non-voting securities limited liability company interests. The Fundis managed by MLAI, its sponsor and manager.)

 

(b)                                 Security Ownership of Management:

 

As of December 31,2009, MLAI owned no Unit-equivalent member interests, and the principals ofMLAI did not own any Units.

 

(c)                                  Changes in Control:

 

None.

 

(d)                                 Securities Authorized of Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

**Item13: Certain Relationships and Related Transactions and Director Independence**

 

(a)                                  Transactions between Merrill Lynch andthe Fund

 

Some of the service providersto the Fund are affiliates of Merrill Lynch. However, none of the fees paid bythe Fund to such Merrill Lynch affiliates were negotiated and such fees chargedto the Fund might be higher than would have been obtained in arms-lengthnegotiations.

 

The Portfolio Funds payMLPF&S and its affiliates substantial Brokerage Commissions and Sponsor Fees as well as bid-askspreads on forward currency trades.  ThePortfolio Funds also pay MLPF&S interest on short-term loans extended byMLPF&S to cover losses on foreign currency positions.

 

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

 

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

 

MLAI pays substantialselling commissions and trailing commissions to MLPF&S for distributing theUnits.  MLAI is ultimately paid back forthese expenditures from the revenues it receives from the Fund.

 

40

----

 

(b)                                Certain Business Relationships:

 

MLPF&S, anaffiliate of MLAI, acts as the principal commodity broker for the PortfolioFunds.

 

In 2009, the Fundexpensed (i) Sponsor fees of $14,993,578 earned by MLAI.

 

The Fund holdscash at an unaffiliated bank which invests such cash in a money market fundwhich is managed by BlackRock, a related party to MLAI.  The Cash and cashequivalents as seen on the Statements of Financial Condition is the amount heldby the related party.

 

See Item 1(c), “NarrativeDescription of Business — Charges” and “— Description of Current Charges” for adiscussion of other business dealings between MLAI affiliates and the Fund.

 

(c)                                 Indebtedness of Management:

 

None.

 

(d)                                Transactions with Promoters:

 

Not applicable.

 

(e)                                 Director Independence

 

No person whoserved as a manager of MLAI during 2009 would be considered independent (basedon the definition of an independent director under the NASDAQ rules.)

 

**Item14: Principal Accountant Fees and Services**

 

(a)                                 Audit Fees

 

Aggregate fees billed for professional servicesrendered by PricewaterhouseCoopers LLP in connection with the audit of the Fund’sfinancial statements as of and for the year ended December 31, 2009 were$93,000.

 

Aggregate fees billed for professional servicesrendered by Deloitte & Touche LLP in connection with the audits of theFund’s financial statements as of and for the year ended December 31, 2008were $93,000, respectively.

 

(b)                                Audit-Related Fees

 

There were no other audit-related fees billed for the years ended December 31,2009 and 2008 related to the Fund.

 

(c)                                 Tax Fees

 

No fees were billed by PricewaterhouseCoopers LLP or any member firmsof PricewaterhouseCoopers and their respective affilitates for the year ended December 31,2009 for professional services rendered to the fund in connection with taxcompliance, tax advice and tax planning.

 

Aggregate fees billed for professional services rendered by DeloitteTax LLP in connection with the tax compliance, advice and preparation of theFund’s tax returns for the year ended December 31, 2009 were $52,250.

 

Aggregate fees billed for professional services rendered by DeloitteTax LLP in connection with the tax compliance, advice and preparation of theFund’s tax returns for the year ended December 31, 2008 were $65,000,respectively.

 

41

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(d)                                All Other Fees

 

Nofees were billed by PricewaterhouseCoopers LLP or any member firms ofPricewaterhouseCoopers and their respective affiliates for the year ended December 31,2009 and for any other professional services in relation to the Fund.

 

Nofees were billed by Deloitte & Touche LLP, Deloitte Tax LLP, or anymember firms of Deloitte Touche Tohmatsu and their respective affiliates duringthe year ended December 31, 2008 and the period ended December 31,2007 for any other professional services in relation to the Fund.

 

Neitherthe Fund nor MLAI has an audit committee to pre-approve principal accountantfees and services.  In lieu of an auditcommittee, the managers and the principal financial officer pre-approve allbillings prior to the commencement of services.

 

42

----

 

#### **PART IV**

####  

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

 
|   |                                                                                                                                                                                                                                                  | **Page:** |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|
| 1.     | Financial Statements  (found in Exhibit 13.01):                                                                                                                                                                                                  |      |
|   |                                                                                                                                                                                                                                                  |      |
|   | REPORTS OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRMS                                                                                                                                                                                            | 1         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Statements of Financial  Condition as of December 31, 2009 and 2008                                                                                                                                                                              | 3         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Statements of  Operations for the years ended December 31, 2009 and2008 and for the period April 2,  2007 (commencement of operations)to December 31, 2007:                                                                            | 4         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Statement of Changes in  Members’ Capital for the years ended December 31, 2009and 2008 and for the period  April 2, 2007 (commencement of operations)to December 31, 2007:                                                       | 5         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Financial Data  Highlights for the year ended December 31, 2009 and 2008and for the period April 2, 2007  (commencement of operations)to December 31, 2007:                                                                            | 7         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Notes to Financial  Statements                                                                                                                                                                                                                        | 10        |
|   |                                                                                                                                                                                                                                                  |      |
| 2.     | Financial Statement  Schedules:                                                                                                                                                                                                                       |      |
|   |                                                                                                                                                                                                                                                  |      |
|   | (a)   Financial Statements of ML TransTrend DTP Enhanced FuturesAccess LLC                                                                                                                                                                       |      |
|   |                                                                                                                                                                                                                                                  |      |
|   | Report of  Independent Registered Public Accounting Firm                                                                                                                                                                                              | 1         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Statements of Financial  Condition as of December 31, 2009 and 2008                                                                                                                                                                              | 2         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Statements of  Operations for the years ended December 31, 2009, 2008 andfor the period April 2, 2007  (commencement of operations) to December 31, 2007                                                                               | 3         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Statements of  Changes in Member’s Capital for the years ended December 31, 2009, 2008and for the period April 2, 2007  (commencement of operations) to December 31, 2007                                                         | 4         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Financial Data  Highlights for the years ended December 31, 2009, 2008and for period April 2, 2007  (commencement of operations) to December 31, 2007                                                                                  | 6         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Notes to Financial  Statements                                                                                                                                                                                                                        | 9         |
|   |                                                                                                                                                                                                                                                  |      |
|   | Financial statement  schedules not included in this Form 10-K have been omitted for the  reason that they are not required or are not applicable or that equivalent  information has been included in the financial statements or notes thereto. |

 

43

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3.                                      Exhibits:

 

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

 
| **Designation**     | ** ** | **Description**                                                                                                                                                                                                                                                          |
|---------------------|------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                |       |                                                                                                                                                                                                                                                                     |
| 3.01                |       | Certificate of  Formation of ML Systematic Momentum FuturesAccess LLC.                                                                                                                                                                                                   |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 3.01:  |       | Is incorporated herein  by reference from Exhibit 3.1 contained in the Registration Statement  (File No. 0-52505) filed on November 14, 2007, on Form 10  under the Securities Exchange Act of 1934 (the Registrant’s Registration  Statement). |
|                |       |                                                                                                                                                                                                                                                                     |
| 3.02                |       | Amended and Restated  Limited Liability Company Operating Agreement of ML Systematic Momentum  FuturesAccess LLC.                                                                                                                                                        |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 3.02   |       | Is filed herewith.                                                                                                                                                                                                                                                       |
|                |       |                                                                                                                                                                                                                                                                     |
| 13.01               |       | 2009 Annual Report and  Report of Independent Registered Public Accounting Firm.                                                                                                                                                                                         |
|                |       |                                                                                                                                                                                                                                                                     |
| 13.02               |       | Financial Statements of  ML TransTrend DTP Enhanced FuturesAccess LLC                                                                                                                                                                                                    |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 13.01  |       |                                                                                                                                                                                                                                                                     |
| Exhibit 13.02: |       | are filed herewith.                                                                                                                                                                                                                                                      |
|                |       |                                                                                                                                                                                                                                                                     |
| 31.01 and 31.02     |       | Rule 13a-14(a)/15d-14(a) Certifications                                                                                                                                                                                                                        |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 31.01  |       | Are filed herewith.                                                                                                                                                                                                                                                      |
| and 31.02:          |       |                                                                                                                                                                                                                                                                     |
|                |       |                                                                                                                                                                                                                                                                     |
| 32.01 and 32.02     |       | Section 1350  Certifications                                                                                                                                                                                                                                        |
|                |       |                                                                                                                                                                                                                                                                     |
| Exhibit 32.01  |       |                                                                                                                                                                                                                                                                     |
| and 32.02:          |       | Are filed herewith.                                                                                                                                                                                                                                                      |

 

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**SIGNATURES**

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of1934, the Registrant has duly caused this report to be signed on its behalf bythe undersigned, thereunto duly authorized.

 
| **ML  SYSTEMATIC MOMENTUM FUTURESACCESS LLC**             |
|-----------------------------------------------------------|
| By: **MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC,**Manager |
| By:                                                       | /s/Justin C. Ferri |   |
| Justin  C. Ferri                                          |   |
| Chief Executive  Officer, President and Manager           |   |
| (Principal Executive  Officer)                            |   |

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of1934, this report has been signed on March 31, 2010 by the followingpersons on behalf of the Registrant and in the capacities indicated.

 
| **Signature**        | ** ** | **Title**                                       | ** ** | **Date**             |
|----------------------|------------|-------------------------------------------------|------------|----------------------|
|                 |       |                                            |       |                 |
| /s/ Justin C. Ferri  |       | Chief Executive  Officer, President and Manager |       | March 31,  2010 |
| Justin C. Ferri      |       |                                            |       |                 |
|                 |       |                                            |       |                 |
| /s/ Barbra E. Kocsis |       | Chief Financial Officer                         |       | March 31,  2010 |
| Barbra E. Kocsis     |       | (Principal  Financial and Accounting Officer)   |       |                 |
|                 |       |                                            |       |                 |
| s/ Deann Morgan      |       | Vice President and  Manager                     |       | March 31,  2010 |
| Deann Morgan         |       |                                            |       |                 |

 

(Being theprincipal executive officer, the principal financial and accounting officer anda majority of the managers of Merrill Lynch Alternative Investments LLC)

 

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**ML SYSTEMATIC MOMENTUM FUTURESACCESSLLC**

 

2009 FORM 10-K

 

INDEX TO EXHIBITS

 
| ** **                    | ** ** | **Exhibit**                                                                                                                                                                                                                                                                                    |
|-------------------------------|------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                          |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 3.02             |       | Amended and Restated  Limited Liability Company Operating Agreement of ML Systematic Momentum  FuturesAccess LLC.                                                                                                                                                                              |
|                          |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 13.01            |       | 2009 Annual Report and  Report of Independent Registered Public Accounting Firm                                                                                                                                                                                                                |
|                          |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 13.02            |       | ML Transtrend DTP  Enchanced FuturesAccess LLC Financial Statements as of and for the years  ended December 31, 2009 and 2008 and for the period April 2, 2007  (Commencement of Operations) to December 31, 2007 and Report of  Independent Registered Public Accounting Firms |
|                          |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 31.01 and  31.02 |       | Rule 13a -  14(a) / 15d - 14(a) Certifications                                                                                                                                                                                                                                  |
|                          |       |                                                                                                                                                                                                                                                                                           |
| Exhibit 32.01 and  32.02 |       | Sections 1350  Certifications                                                                                                                                                                                                                                                                  |

 

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