----

|                                                                                                      | Page   |
|-----------------------------------------------------------------------------------------------------------|--------|
|                                                                                                      |   |
| REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS                                                 | 2      |
|                                                                                                      |   |
| FINANCIAL STATEMENTS:                                                                                     |   |
|                                                                                                      |   |
| Statements of Financial Condition as of December 31, 2010 and 2009                                   | 4      |
|                                                                                                      |   |
| Statements of Operations for the years ended December 31, 2010, 2009 and 2008                        | 5      |
|                                                                                                      |   |
| Statements of Changes in Members’ Capital for the years ended December 31, 2010, 2009 and 2008 | 6      |
|                                                                                                      |   |
| Financial Data Highlights for the years ended December 31, 2010, 2009 and 2008                       | 8      |
|                                                                                                      |   |
| Notes to Financial Statements                                                                             | 11     |

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|                                                                                                      |   | 2010          |          | 2009        |   |
|-----------------------------------------------------------------------------------------------------------|--------|---------------|---------------|-------------|--------|
| ASSETS:                                                                                                   |   |          |          |        |   |
|                                                                                                      |   |          |          |        |   |
| Cash and cash equivalents                                                                                 |   | $             | 312,720       |        | $      | 54,630,410 |   |
| Investment in Portfolio Funds (Cost $917,232,393 at 2010 and $757,978,343 at 2009)                        |   | 1,038,634,185 |          | 787,161,250 |   |
| Other assets                                                                                              |   | 120,000       |          | 58,216      |   |
| Accrued Interest Receivable                                                                               |   | 48            |          | 8,697       |   |
| Receivable from Portfolio Fund                                                                            |   | —       |          | 36,355,806  |   |
|                                                                                                      |   |          |          |        |   |
| TOTAL ASSETS                                                                                              |   | $             | 1,039,066,953 |        | $      | 878,214,379 |   |
|                                                                                                      |   |          |          |        |   |
| LIABILITIES AND MEMBERS’ CAPITAL:                                                                   |   |          |          |        |   |
| LIABILITIES:                                                                                              |   |          |          |        |   |
| Sponsor fee payable                                                                                       |   | $             | 1,718,827     |        | $      | 1,442,757 |   |
| Redemptions payable                                                                                       |   | 9,355,655     |          | 8,071,178   |   |
| Other liabilities                                                                                         |   | 580,585       |          | 399,200     |   |
|                                                                                                      |   |          |          |        |   |
| Total liabilities                                                                                         |   | 11,655,067    |          | 9,913,135   |   |
|                                                                                                      |   |          |          |        |   |
| MEMBERS’ CAPITAL:                                                                                   |   |          |          |        |   |
| Members’ Interest (803,714,707 Units and 742,615,122 Units outstanding, unlimited Units authorized) |   | 1,027,411,886 |          | 868,301,244 |   |
| Total members’ capital                                                                              |   | 1,027,411,886 |          | 868,301,244 |   |
|                                                                                                      |   |          |          |        |   |
| TOTAL LIABILITIES AND MEMBERS’ CAPITAL                                                              |   | $             | 1,039,066,953 |        | $      | 878,214,379 |   |
|                                                                                                      |   |          |          |        |   |
| NET ASSET VALUE PER UNIT:                                                                                 |   |          |          |        |   |
|                                                                                                      |   |          |          |        |   |
| Class A                                                                                              |   | $             | 1.2523        |        | $      | 1.1397 |   |
| Class C                                                                                              |   | $             | 1.2615        |        | $      | 1.1596 |   |
| Class D                                                                                              |   | $             | 1.4789        |        | $      | 1.3259 |   |
| Class I                                                                                              |   | $             | 1.3265        |        | $      | 1.2024 |   |
| Class D1                                                                                             |   | $             | 1.3199        |        | $      | 1.1833 |   |
| Class DA                                                                                             |   | $             | —       |        | $      | — |   |
|                                                                                                      |   |          |          |        |   |
| See notes to financial statements.                                                                        |   |          |          |        |   |

----

|                                         |   | 2010        |       | 2009        |   | 2008          |   |
|----------------------------------------------|--------|-------------|------------|-------------|--------|---------------|--------|
| TRADING PROFIT (LOSS):                       |   |        |       |        |   |          |   |
|                                         |   |        |       |        |   |          |   |
| Realized, net                                |   | $           | 16,360,846 |        | $      | (4,551,852    | )      | $ | 9,202,478 |   |
| Change in unrealized, net                    |   | 92,218,885  |       | (57,300,048 | )      | 71,910,257    |   |
|                                         |   |        |       |        |   |          |   |
| Total trading profit (loss)                  |   | 108,579,731 |       | (61,851,900 | )      | 81,112,735    |   |
|                                         |   |        |       |        |   |          |   |
| INVESTMENT INCOME:                           |   |        |       |        |   |          |   |
| Interest                                     |   | 3,003       |       | 100,827     |   | 97,972        |   |
|                                         |   |        |       |        |   |          |   |
| EXPENSES:                                    |   |        |       |        |   |          |   |
| Sponsor fee                                  |   | 18,769,349  |       | 14,993,578  |   | 6,953,728     |   |
| Other                                        |   | 1,451,397   |       | 1,066,617   |   | 632,387       |   |
| Total expenses                               |   | 20,220,746  |       | 16,060,195  |   | 7,586,115     |   |
|                                         |   |        |       |        |   |          |   |
| NET INVESTMENT INCOME (LOSS)                 |   | (20,217,743 | )          | (15,959,368 | )      | (7,488,143    | )      |
|                                         |   |        |       |        |   |          |   |
| NET INCOME (LOSS)                            |   | $           | 88,361,988 |        | $      | (77,811,268   | )      | $ | 73,624,592 |   |
|                                         |   |        |       |        |   |          |   |
| NET INCOME (LOSS) PER UNIT:                  |   |        |       |        |   |          |   |
|                                         |   |        |       |        |   |          |   |
| Weighted average number of Units outstanding |   |        |       |        |   |          |   |
| Class A                                 |   | 109,375,008 |       | 72,278,307  |   | 23,953,472    |   |
| Class C                                 |   | 531,784,589 |       | 424,839,320 |   | 198,139,920   |   |
| Class D                                 |   | 30,338,915  |       | 27,746,997  |   | 25,725,432    |   |
| Class I                                 |   | 79,536,161  |       | 68,216,740  |   | 40,873,271    |   |
| Class D1                                |   | 37,708,328  |       | 36,879,598  |   | 19,636,088    |   |
| Class DA*                               |   | —     |       | 46,290,806  |   | 56,445,187.00 |   |
|                                         |   |        |       |        |   |          |   |
| Net income (loss) per weighted average Unit  |   |        |       |        |   |          |   |
| Class A                                 |   | $           | 0.1146     |        | $      | (0.1065       | )      | $ | 0.2175 |   |
| Class C                                 |   | $           | 0.1053     |        | $      | (0.1252       | )      | $ | 0.2298 |   |
| Class D                                 |   | $           | 0.1602     |        | $      | (0.1098       | )      | $ | 0.2860 |   |
| Class I                                 |   | $           | 0.1255     |        | $      | (0.1129       | )      | $ | 0.2269 |   |
| Class D1                                |   | $           | 0.1317     |        | $      | (0.0941       | )      | $ | 0.2374 |   |
| Class DA*                               |   | $           | —    |        | $      | (0.0608       | )      | $ | 0.0282 |   |

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|                       |   | Members’ Capital |   |          |   |        |   | Members’ Capital |   |          |   |         |   | Members’ Capital |   |          |   |         |   | Members’ Capital |   |
|----------------------------|--------|-----------------------------|--------|---------------|--------|-------------|--------|-----------------------------|--------|---------------|--------|--------------|--------|-----------------------------|--------|---------------|--------|--------------|--------|-----------------------------|--------|
|                       |   | December 31, 2007 |   | Subscriptions |   | Redemptions |   | December 31, 2008 |   | Subscriptions |   | Redemptions  |   | December 31, 2009 |   | Subscriptions |   | Redemptions  |   | December 31, 2010 |   |
| Class A               |   | 5,078,646                   |   | 44,090,513    |   | (5,757,217  | )      | 43,411,942                  |   | 68,840,956    |   | (10,971,528  | )      | 101,281,370                 |   | 37,454,263    |   | (28,793,436  | )      | 109,942,197                 |   |
| Class C               |   | 69,888,701                  |   | 298,412,978   |   | (50,944,452 | )      | 317,357,227                 |   | 243,313,258   |   | (64,909,097  | )      | 495,761,388                 |   | 117,503,045   |   | (67,357,146  | )      | 545,907,287                 |   |
| Class D               |   | 16,803,705                  |   | 23,519,954    |   | (5,445,345  | )      | 34,878,314                  |   | 12,101,406    |   | (16,996,575  | )      | 29,983,145                  |   | 10,949,271    |   | (6,931,705   | )      | 34,000,711                  |   |
| Class I               |   | 14,757,114                  |   | 46,161,324    |   | (7,718,330  | )      | 53,200,108                  |   | 41,524,978    |   | (18,911,876  | )      | 75,813,210                  |   | 13,078,347    |   | (10,583,415  | )      | 78,308,142                  |   |
| Class D1              |   | 4,990,154                   |   | 28,477,949    |   | (2,428,057  | )      | 31,040,046                  |   | 10,873,640    |   | (2,137,677   | )      | 39,776,009                  |   | 2,388,929     |   | (6,608,568   | )      | 35,556,370                  |   |
| Class DA*             |   | —                     |   | 56,445,187    |   | (3,649,745  | )      | 52,795,442                  |   | —       |   | (52,795,442  | )      | —                     |   | —       |   | —      |   | —                     |   |
|                       |   |                        |   |          |   |        |   |                        |   |          |   |         |   |                        |   |          |   |         |   |                        |   |
| Total Members’ Units |   | 111,518,320                 |   | 497,107,905   |   | (75,943,146 | )      | 532,683,079                 |   | 376,654,238   |   | (166,722,195 | )      | 742,615,122                 |   | 181,373,855   |   | (120,274,270 | )      | 803,714,707                 |   |

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|                         |   |                        |         |          |   |        |   |            |        |                        |   |          |   |        |        |            |   |                        |   |          |         |        |   |            |   |                        |        |   |   |        |   |   |         |   |   |       |   |   |          |   |
|------------------------------|--------|-----------------------------|--------------|---------------|--------|-------------|--------|-----------------|-------------|-----------------------------|--------|---------------|--------|-------------|-------------|-----------------|--------|-----------------------------|--------|---------------|--------------|-------------|--------|-----------------|--------|-----------------------------|-------------|--------|--------|-------------|--------|--------|--------------|--------|--------|------------|--------|--------|---------------|--------|
|                         |   | Members’ Capital |         |          |   |        |   | Net Income |        | Members’ Capital |   |          |   |        |        | Net Income |   | Members’ Capital |   |          |         |        |   | Net Income |   | Members’ Capital |        |
|                         |   | December 31, 2007 |         | Subscriptions |   | Redemptions |   | (Loss)          |        | December 31, 2008 |   | Subscriptions |   | Redemptions |        | (Loss)          |   | December 31, 2009 |   | Subscriptions |         | Redemptions |   | (Loss)          |   | December 31, 2010 |        |
| Class A                 |   | $                           | 5,217,419.00 |          | $      | 50,773,605  |   | $               | (6,670,127  | )                           | $      | 5,208,770     |   | $           | 54,529,667  |            | $      | 81,493,093                  |   | $             | (12,896,520  | )           | $      | (7,692,771      | )      | $                           | 115,433,469 |   | $      | 43,208,239  |   | $      | (33,492,677  | )      | $      | 12,533,508 |   | $      | 137,682,539   |   |
| Class C                 |   | 74,531,573                  |         | 350,073,604   |   | (60,487,671 | )      | 45,528,837      |        | 409,646,343                 |   | 297,112,874   |   | (78,716,580 | )           | (53,153,380     | )      | 574,889,257                 |   | 137,194,846   |         | (79,462,491 | )      | 56,020,888      |   | 688,642,500                 |        |
| Class D                 |   | 19,442,860                  |         | 30,338,088    |   | (6,986,221  | )      | 7,357,954       |        | 50,152,681                  |   | 16,149,077    |   | (23,558,237 | )           | (2,989,145      | )      | 39,754,376                  |   | 15,063,878    |         | (9,395,654  | )      | 4,861,560       |   | 50,284,160                  |        |
| Class I                 |   | 15,867,209                  |         | 54,394,371    |   | (9,328,239  | )      | 9,275,144       |        | 70,208,485                  |   | 52,343,272    |   | (23,702,669 | )           | (7,693,014      | )      | 91,156,074                  |   | 15,803,018    |         | (13,065,374 | )      | 9,978,523       |   | 103,872,241                 |        |
| Class D1                |   | 5,165,016                   |         | 33,092,685    |   | (3,043,195  | )      | 4,661,767       |        | 39,876,273                  |   | 13,341,647    |   | (2,682,871  | )           | (3,466,981      | )      | 47,068,068                  |   | 2,952,144     |         | (8,057,275  | )      | 4,967,509       |   | 46,930,446                  |        |
| Class DA*               |   | —                     |         | 56,445,187    |   | (3,752,668  | )      | 1,592,120       |        | 54,284,639                  |   | —       |   | (51,468,662 | )           | (2,815,977      | )      | —                     |   | —       |         | —     |   | —         |   | —                     |        |
|                         |   |                        |         |          |   |        |   |            |        |                        |   |          |   |        |        |            |   |                        |   |          |         |        |   |            |   |                        |        |
| Total Members’ Capital |   | $                           | 120,224,077  |          | $      | 575,117,540 |   | $               | (90,268,121 | )                           | $      | 73,624,592    |   | $           | 678,698,088 |            | $      | 460,439,963                 |   | $             | (193,025,539 | )           | $      | (77,811,268     | )      | $                           | 868,301,244 |   | $      | 214,222,125 |   | $      | (143,473,471 | )      | $      | 88,361,988 |   | $      | 1,027,411,886 |   |

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|                                                            |   | Class A |   | Class C |   | Class D |   | Class I |   | Class D1 |   |
|-----------------------------------------------------------------|--------|--------------|--------|--------------|--------|--------------|--------|--------------|--------|---------------|--------|
| Per Unit Operating Performance:                                 |   |         |   |         |   |         |   |         |   |          |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Net asset value, beginning of year                              |   | $            | 1.1397 |         | $      | 1.1596       |   | $            | 1.3259 |          | $      | 1.2024 |   | $ | 1.1833 |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Net Realized and net unrealized change in trading profit (loss) |   | 0.1319       |   | 0.1333       |   | 0.1551       |   | 0.1396       |   | 0.1384        |   |
| Interest income                                                 |   | 0.0000       |   | 0.0000       |   | 0.0000       |   | 0.0000       |   | 0.0000        |   |
| Expenses                                                        |   | (0.0193      | )      | (0.0314      | )      | (0.0021      | )      | (0.0155      | )      | (0.0018       | )      |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Net asset value, end of year                                    |   | $            | 1.2523 |         | $      | 1.2615       |   | $            | 1.4789 |          | $      | 1.3265 |   | $ | 1.3199 |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Total Return: (a)                                               |   |         |   |         |   |         |   |         |   |          |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Total return                                                    |   | 9.88         | %      | 8.78         | %      | 11.54        | %      | 10.32        | %      | 11.54         | %      |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Ratios to Average Members’ Capital:                       |   |         |   |         |   |         |   |         |   |          |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Expenses                                                        |   | 1.66         | %      | 2.67         | %      | 0.15         | %      | 1.26         | %      | 0.15          | %      |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |
| Net investment income (loss)                                    |   | -1.66        | %      | -2.67        | %      | -0.15        | %      | -1.26        | %      | -0.15         | %      |

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|                                                            |   | Class A |   | Class C |   | Class D |   | Class I |   | Class D1 |   | Class DA* |   |
|-----------------------------------------------------------------|--------|--------------|--------|--------------|--------|--------------|--------|--------------|--------|---------------|--------|----------------|--------|
| Per Unit Operating Performance:                                 |   |         |   |         |   |         |   |         |   |          |   |           |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net asset value, beginning of year                              |   | $            | 1.2561 |         | $      | 1.2908       |   | $            | 1.4379 |          | $      | 1.3197         |   | $ | 1.2847 |   | $ | 1.0282 |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net Realized and net unrealized change in trading profit (loss) |   | (0.0971      | )      | (0.0995      | )      | (0.1119      | )      | (0.1022      | )      | (0.0998       | )      | 0.0073         |   |
| Interest income                                                 |   | 0.0001       |   | 0.0001       |   | 0.0002       |   | 0.0002       |   | 0.0001        |   | 0.0001         |   |
| Expenses                                                        |   | (0.0194      | )      | (0.0318      | )      | (0.0003      | )      | (0.0153      | )      | (0.0017       | )      | (0.0007        | )      |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net asset value, before liquidation                             |   | 1.1397       |   | 1.1596       |   | 1.3259       |   | 1.2024       |   | 1.1833        |   | 1.0349         |   |
| Less liquidating distribution                                   |   | —      |   | —      |   | —      |   | —      |   | —       |   | 1.0349         |   |
| Net asset value, end of year                                    |   | $            | 1.1397 |         | $      | 1.1596       |   | $            | 1.3259 |          | $      | 1.2024         |   | $ | 1.1833 |   | $ | — |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Total Return: (a)                                               |   |         |   |         |   |         |   |         |   |          |   |           |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Total return                                                    |   | -9.27        | %      | -10.17       | %      | -7.90        | %      | -8.90        | %      | -7.90         | %      | -5.50          | %      |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Ratios to Average Members’ Capital:                       |   |         |   |         |   |         |   |         |   |          |   |           |   |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Expenses                                                        |   | 1.64         | %      | 2.64         | %      | 0.14         | %      | 1.24         | %      | 0.14          | %      | 0.10           | %      |
|                                                            |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net investment income (loss)                                    |   | -1.63        | %      | -2.63        | %      | -0.13        | %      | -1.23        | %      | -0.13         | %      | -0.09          | %      |

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|                                                     |   | Class A |   | Class C |   | Class D |   | Class I |   | Class D1 |   | Class DA* |   |
|----------------------------------------------------------|--------|--------------|--------|--------------|--------|--------------|--------|--------------|--------|---------------|--------|----------------|--------|
| Per Unit Operating Performance:                          |   |         |   |         |   |         |   |         |   |          |   |           |   |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net asset value, beginning of year                       |   | $            | 1.0273 |         | $      | 1.0664       |   | $            | 1.1571 |          | $      | 1.0752         |   | $ | 1.0350 |   | $ | 1.0000 |   |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net Realized and net unrealized change in trading profit |   | 0.2494       |   | 0.2577       |   | 0.2846       |   | 0.2614       |   | 0.2532        |   | 0.0280         |   |
| Interest income                                          |   | 0.0003       |   | 0.0004       |   | 0.0004       |   | 0.0004       |   | 0.0003        |   | 0.0000         |   |
| Expenses                                                 |   | (0.0209      | )      | (0.0337      | )      | (0.0042      | )      | (0.0173      | )      | (0.0038       | )      | 0.0002         |   |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net asset value, end of year                             |   | $            | 1.2561 |         | $      | 1.2908       |   | $            | 1.4379 |          | $      | 1.3197         |   | $ | 1.2847 |   | $ | 1.0282 |   |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Total Return: (b)                                        |   |         |   |         |   |         |   |         |   |          |   |           |   |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Total return                                             |   | 22.20        | %      | 20.98        | %      | 24.05        | %      | 22.68        | %      | 24.05         | %      | 2.82           | %      |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Ratios to Average Members’ Capital:                |   |         |   |         |   |         |   |         |   |          |   |           |   |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Expenses                                                 |   | 1.85         | %      | 2.87         | %      | 0.34         | %      | 1.46         | %      | 0.34          | %      | -0.19          | %(a)   |
|                                                     |   |         |   |         |   |         |   |         |   |          |   |           |   |
| Net investment income (loss)                             |   | -1.82        | %      | -2.84        | %      | -0.31        | %      | -1.43        | %      | -0.31         | %      | 0.19           | %      |

----

----

| 1. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
|----|--------------------------------------------|

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|        |   | Percentage ofMembers’Capital |   | Fair Value |          | Profit (Loss) |   | Cost @ 12/31/10 |   | ManagementFees |        | PerformanceFees |   | Redemptions Permitted |   |
|-------------|--------|-----------------------------------------|--------|-----------------|---------------|--------------------|--------|---------------------------|--------|----------------|-------------|-----------------|--------|----------------------------|--------|
| Chesapeake* |   | 0.00                                    | %      | —         |          | (2,598,008         | )      | —                   |   | (144,407       | )           | —         |   | monthly                    |   |
| Transtrend  |   | 17.87                                   | %      | 183,615,388     |          | 29,487,583         |   | 170,118,192               |   | (3,404,718     | )           | —         |   | monthly                    |   |
| Altis       |   | 13.05                                   | %      | 134,073,398     |          | 12,597,945         |   | 104,309,484               |   | (2,445,604     | )           | —         |   | monthly                    |   |
| Winton      |   | 17.74                                   | %      | 182,231,744     |          | 20,913,669         |   | 159,384,935               |   | (3,399,640     | )           | —         |   | monthly                    |   |
| Aspect      |   | 10.04                                   | %      | 103,142,819     |          | 14,049,609         |   | 89,607,738                |   | (1,888,760     | )           | —         |   | monthly                    |   |
| John Locke  |   | 14.08                                   | %      | 144,651,209     |          | 10,500,284         |   | 135,795,468               |   | (2,627,905     | )           | —         |   | monthly                    |   |
| BlueTrend   |   | 15.53                                   | %      | 159,597,862     |          | 18,370,900         |   | 131,991,494               |   | (2,703,505     | )           | —         |   | monthly                    |   |
| Tudor       |   | 12.78                                   | %      | 131,321,765     |          | 5,257,749          |   | 126,025,082               |   | (2,391,031     | )           | —         |   | monthly                    |   |
|        |   |                                    |   |            |          |               |   |                      |   |           |        |            |   |                       |   |
|        |   | 101.09                                  | %      | $               | 1,038,634,185 |               | $      | 108,579,731               |   | $              | 917,232,393 |            | $      | (19,005,570                | )      | $ | — |   |   |   |
|        |   |                                    |   |            |          |               |   |                      |   |           |        |            |   |                       |   |   |   |   |   |   |

----

|         |   | Percentage ofMembers’Capital |   | Fair Value |        | Profit (Loss) |   | Cost @ 12/31/09 |   | ManagementFees |        | PerformanceFees |   | Redemptions Permitted |   |
|--------------|--------|-----------------------------------------|--------|-----------------|-------------|--------------------|--------|---------------------------|--------|----------------|-------------|-----------------|--------|----------------------------|--------|
| Chesapeake** |   | 8.01                                    | %      | 89,097,919      |        | 548,547            |   | 85,817,248                |   | (1,610,421     | )           | (66,420         | )      | monthly                    |   |
| Transtrend   |   | 13.69                                   | %      | 152,211,381     |        | (25,830,157        | )      | 159,370,194               |   | (2,728,503     | )           | (174            | )      | monthly                    |   |
| Altis        |   | 10.37                                   | %      | 115,332,711     |        | (8,896,043         | )      | 95,037,963                |   | (2,077,161     | )           | —         |   | monthly                    |   |
| Winton       |   | 14.26                                   | %      | 158,630,744     |        | (8,375,671         | )      | 155,014,029               |   | (2,753,086     | )           | (76             | )      | monthly                    |   |
| Aspect       |   | 7.75                                    | %      | 86,166,474      |        | (8,874,084         | )      | 85,326,225                |   | (1,594,961     | )           | (4,182          | )      | monthly                    |   |
| John Locke   |   | 11.22                                   | %      | 124,737,088     |        | (9,350,844         | )      | 126,419,973               |   | (2,692,888     | )           | —         |   | monthly                    |   |
| BlueTrend    |   | 5.48                                    | %      | 60,984,933      |        | 2,608,281          |   | 50,992,711                |   | (1,136,431     | )           | (575,116        | )      | monthly                    |   |
| GSA*         |   | 0.00                                    | %      | —         |        | (3,681,929         | )      | —                   |   | (690,487       | )           | —         |   | monthly                    |   |
|         |   | 70.78                                   | %      | $               | 787,161,250 |               | $      | (61,851,900               | )      | $              | 757,978,343 |            | $      | (15,283,938                | )      | $ | (645,968 | ) |   |   |
|         |   |                                    |   |            |        |               |   |                      |   |           |        |            |   |                       |   |   |   |   |   |   |

----

----

|       |   | As of December 31, 2010 |        |
|------------|--------|---------------------------------------------|-------------|
|       |   | Total Assets                           |        | Total Liabilities |   | Total Capital |   |
| Transtrend |   | $                                           | 258,918,312 |   | $ | 2,958,512 |   | $ | 255,959,800 |   |
|       |   |                                        |        |   |   |   |   |
| Total      |   | $                                           | 258,918,312 |   | $ | 2,958,512 |   | $ | 255,959,800 |   |

|       |   | As of December 31, 2009 |        |
|------------|--------|---------------------------------------------|-------------|
|       |   | Total Assets                           |        | Total Liabilities |   | Total Capital |   |
| Transtrend |   | $                                           | 238,072,475 |   | $ | 2,171,789 |   | $ | 235,900,686 |   |
|       |   |                                        |        |   |   |   |   |
| Total      |   | $                                           | 238,072,475 |   | $ | 2,171,789 |   | $ | 235,900,686 |   |

|       |   | For the year ended December 31,2010 |       |
|------------|--------|--------------------------------------------------------------|------------|
|       |   |                                                         |       |   |   |   |   | Net |   |
|       |   | Income (Loss)                                           |       | Commissions |   | Other |   | Income (Loss) |   |
| Transtrend |   | $                                                            | 35,391,195 |   | $ | (912,767 | ) | $ | (4,990,845 | ) | $ | 29,487,583 |   |
|       |   |                                                         |       |   |   |   |   |   |   |
| Total      |   | $                                                            | 35,391,195 |   | $ | (912,767 | ) | $ | (4,990,845 | ) | $ | 29,487,583 |   |

|       |   | For the year ended December 31, 2009 |        |
|------------|--------|--------------------------------------------------------------------|-------------|
|       |   |                                                               |        |   |   |   |   | Net |   |
|       |   | Income (Loss)                                                 |        | Commissions |   | Other |   | Income (Loss) |   |
| Transtrend |   | $                                                                  | (22,029,665 | ) | $ | (718,793 | ) | $ | (3,081,699 | ) | $ | (25,830,157 | ) |
|       |   |                                                               |        |   |   |   |   |   |   |
| Total      |   | $                                                                  | (22,029,665 | ) | $ | (718,793 | ) | $ | (3,081,699 | ) | $ | (25,830,157 | ) |

| 3. | FAIR VALUE OF INVESTMENTS |
|----|---------------------------|

----

----

| Investment in  |   |   |          |         |   |          |   |           |          |
|--------------------------|--------|--------|---------------|--------------|--------|---------------|--------|----------------|---------------|
| Portfolio Funds     |   | Total  |          | Level I |   | Level II |   | Level III |          |
|                     |   |   |          |         |   |          |   |           |          |
| December 31, 2010   |   | $      | 1,038,634,185 |         | $      | —       |   | $              | 1,038,634,185 |   | $ | — |   |
| December 31, 2009   |   | $      | 787,161,250   |         | $      | —       |   | $              | 787,161,250   |   | $ | — |   |

| 4. | RELATED PARTY TRANSACTIONS |
|----|----------------------------|

----

| 5. | ADVISORY AGREEMENTS |
|----|---------------------|

|                |   |                               |   | Next Renewal Date     |   |
|---------------------|--------|------------------------------------|--------|---------------------------------|--------|
| Portfolio Fund |   | Advisor                            |   | of Advisory Agreement |   |
| Altis               |   | Altis Partners (Jersey) Limited    |   | December 31, 2016          |   |
| Aspect              |   | Aspect Capital Management          |   | December 31, 2011          |   |
| Chesapeake**        |   | Chesapeake Capital Corporation     |   | December 31, 2016          |   |
| Transtrend          |   | Transtrend B.V.                    |   | December 31, 2012          |   |
| Winton              |   | Winton Capital Management Limited  |   | December 31, 2014          |   |
| John Locke          |   | John Locke Investments SA          |   | December 31, 2016          |   |
| GSA*                |   | GSA Capital Partner, LLP           |   | June 30, 2012              |   |
| BlueTrend           |   | BlueCrest Capital Management, L.P. |   | December 31, 2011          |   |
| Tudor               |   | Tudor Investment Corporation       |   | December 31, 2012          |   |

----

----

| 6. | WEIGHTED AVERAGE UNITS |
|----|------------------------|

| 7. | RECENT ACCOUNTING PRONOUNCEMENTS |
|----|----------------------------------|

| 8. | MARKET AND CREDIT RISK |
|----|------------------------|

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| 9. | SUBSEQUENT EVENTS |
|----|-------------------|

----

|   | /s/ Barbra E. Kocsis                      |   |
|--------|-------------------------------------------|--------|
|   | Barbra E. Kocsis                          |   |
|   | Chief Financial Officer                   |   |
|   | Merrill Lynch Alternative Investments LLC |   |
|   | Sponsor of                                |   |
|   | ML Systematic Momentum FuturesAccess LLC  |   |

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