**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.  20549**

** **

**FORM 10-K**

** **

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

** **

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

** **

**or**

** **

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

** **

**Commission file number: 0-52505**

** **

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

(Exact name of registrant as specified in itscharter)

 

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

 

**c/oMerrill Lynch Alternative Investments LLC**

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

**New York, New York 10281**

(Address of principal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephone 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 Liability Company Interest**

 

Indicate by check mark if the registrant is a well-known seasonedissuer, as defined in Rule 405 of the Securities Act.

Yes o   No x

 

Indicate by check mark if the registrant is not required to filereports pursuant to Section 13 or 15(d) of the Act.

Yes o   No x

 

Indicate by check mark whether the registrant (1) has filed allreports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

Yes x   No o

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 405 of Regulation S-K is not contained herein, and will not be contained,to the best of registrant’s knowledge, in definitive proxy or informationstatements incorporated by reference in Part III of this Form 10-K orany amendment to this Form 10-K. x

 

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

 
| Large accelerated filer  o | Accelerated filer o |
|----------------------------|---------------------|

 
| Non-accelerated filer x | Small reporting company  o |
|-------------------------|----------------------------|

(Do not check if asmaller reporting company)

 

Indicate by checkmark whether the registrant is a shell company (as defined by Rule 12b-2of the Act).

Yes o   No x

 

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

 

As January 31, 2009 units of limited liability company interestwith a Net Asset Value of$699,140,137 were outstanding and held by non-affiliates.

 

**Documents Incorporated byReference**

 

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

 

 

 

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**ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC**

 

ANNUAL REPORT FOR 2008 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.       | Submission  of Matters to a Vote of Security Holders                                                                | 8        |
|          |                                                                                                                |     |
| PART II  |
|          |                                                                                                                |     |
| Item 5.       | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities | 8        |
|          |                                                                                                                |     |
| Item 6.       | Selected Financial  Data                                                                                            | 10       |
|          |                                                                                                                |     |
| Item 7.       | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         | 19       |
|          |                                                                                                                |     |
| Item 7A.      | Quantitative  and Qualitative Disclosures about Market Risks                                                        | 22       |
|          |                                                                                                                |     |
| Item 8.       | Financial  Statements and Supplementary Data                                                                        | 27       |
|          |                                                                                                                |     |
| Item 9.       | Changes in  and Disagreements with Accountants on Accounting and Financial Disclosure                               | 27       |
|          |                                                                                                                |     |
| Item 9A(T).   | Controls and  Procedures                                                                                            | 28       |
|          |                                                                                                                |     |
| Item 9B.      | Other Information                                                                                                   | 28       |
|          |                                                                                                                |     |
| PART III |
|          |                                                                                                                |     |
| Item 10.      | Directors,  Executive Officers and Corporate Governance                                                             | 29       |
|          |                                                                                                                |     |
| Item 11.      | Executive  Compensation                                                                                             | 31       |
|          |                                                                                                                |     |
| Item 12.      | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    | 31       |
|          |                                                                                                                |     |
| Item 13.      | Certain  Relationships and Related Transactions and Director Independence                                           | 31       |
|          |                                                                                                                |     |
| Item 14.      | Principal  Accountant Fees and Services                                                                             | 32       |
|          |                                                                                                                |     |
| PART IV  |
|          |                                                                                                                |     |
| Item 15.      | Exhibits and  Financial Statement Schedules                                                                         | 33       |

 

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**PART I**

 

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

 

(a)           General Development of Business:

 

ML Systematic Momentum FuturesAccess LLC (the “Fund”) was organizedunder the Delaware Limited Liability Company Act on March 8, 2007 andcommenced activities on April 2, 2007. The Fund operates as a “fund offunds” allocating and reallocating its capital under the direction of MerrillLynch Alternate Investments LLC (“MLAI”), the sponsor and manager of the Fundamong seven underlying Futures Access Funds (each a “Portfolio Fund,” andcollectively the “Portfolio Funds”). The Fund issues new units of limited liabilitycompany interest (“Units”) at Net Asset Value per Unit (see Item 6 fordiscussion of net asset value and net asset value per unit for subscriptionsand redemptions purposes hereinafter referred to as Net Asset Value and NetAsset Value per Unit for all other purposes) as of the beginning of eachcalendar month.

 

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

 

As of December 31, 2008, the Net Asset Value of the Fund for allother purposes was $678,802,460 and the Net Asset Value per Unit for all otherpurposes, was $1.2561 for Class A, $1.2909 for Class C, $1.4396 for Class D,$1.3199 for Class I, $1.2848 for Class D1 and $1.0282 for Class DA.The Net Asset Value and the Net Asset Value per Unit for financial reportingpurposes in accordance with accounting principles generally accepted in theUnited States of America (“U.S. GAAP”) was $678,698,088 and $1.2561 for Class A,$1.2908 for Class C, $1.4379 for Class D, $1.3197 for Class I,$1.2847 for Class D1 and $1.0282 for Class DA.

 

The highest month-end Net Asset Value per Unit for all other purposesfor  Class A since the Fund beganoperations was $1.2561 (December 31, 2008) and the lowest was $0.9090 (August 31,2007.) The highest month-end Net Asset Value per Unit for all other purposes forClass C since the Fund began operations was $1.2909 (December 31,2008) and the lowest was $0.9467 (August 31, 2007).  The highest month-end Net Asset Value perUnit for all other purposes for Class D since the Fund began operationswas $1.4396 (December 31, 2008) and the lowest was $1.0000 (April 2,2007).The highest month-end Net Asset Value per Unit for all other purposes forClass I since the Fund began Operations was $1.3199 (December 31,2008) and the lowest was $0.9500 (August 31, 2007). The highest month-endNet Asset Value per Unit for all other purposes for Class D1 since theFund began 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 all other purposes for Class DAsince the Fund began Operations was $1.0282 December 31, 2008 And thelowest was $1.0000 (December 1, 2008)

 

(b)           Financial Information about Segments:

 

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

 

(c)           Narrative Description of Business:

 

***General***

 

The Fund may invest in sevenseparate funds which trade in the futures and forward markets with theobjective of achieving substantial capital appreciation.

 

1

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The Portfolio Funds in which the Fund mayinvest in as of December 31, 2008 are: ML Chesapeake FuturesAccess LLC (“Chesapeake”),ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), ML AltisFuturesAccess LLC (“Altis”), ML Winton FuturesAccess LLC (“Winton”), ML AspectFuturesAccess LLC (“Aspect”), ML John Locke FuturesAccess LLC (“John Locke”),  ML GSA FuturesAccess LLC (“GSA”) and MLBlueTrend Futures (“BlueTrend”). MLAI, the Sponsor of the Fund, may in itsdiscretion, change the Portfolio Funds at any time. MLAI, also at it discretionmay vary the percentage of the Fund’s total portfolio allocated to thedifferent Portfolio Funds. There is no pre-established range for the minimumand maximum allocations that may be made to any given Portfolio Fund.

 

TheFund has no Employees.

 

Asused 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.

 

Use of Proceeds and CashManagement Income

 

Subscription Proceeds

 

The Fund’s cash is used as security for andto pay the Fund’s trading losses as well as its expenses and redemptions. Theprimary use of the proceeds of the sale of the Units is to permit the PortfolioFunds to trade on a speculative basis in a wide range of different futures andforwards markets on behalf of the Fund (through the Portfolio Funds).  While being used for this purpose, the Fund’sassets are also generally available for cash management, as more fullydescribed below under “Cash Assets”.

 

Market Sectors

 

The respective advisors of the Portfolio Funds apply their proprietarysystems to a broadly-diversified portfolio of futures and forward markets.

 

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

 

Market Types

 

The Portfolio Funds trade on a variety of United States and foreignfutures exchanges.  Substantially all ofthe Portfolio Funds’ off-exchange trading takes place in the highly liquid,institutionally-based currency forward markets.

 

Many of the Portfolio Funds’ currency trades are executed in the spotand forward foreign exchange markets (the “FX Markets”) where there are nodirect execution costs.  Instead, theparticipants, banks and dealers in the FX markets take a “spread” between theprices at which they are prepared to buy and sell a particular currency andsuch spreads are built into the pricing of the spot or forward contracts withthe Portfolio Funds.

 

Custody of Assets

 

All of the Portfolio Funds’ assets arecurrently held in Commodity Futures Trading Commission (“CFTC”) regulatedcustomer accounts at MLPF&S.

 

CashAssets

 

Each Portfolio Fund will generally earn interest, as described below,on its “Cash Assets”, which can be generally described as the cash actuallyheld by the Portfolio Fund plus its “open trade equity” (unrealized gain andloss marked to market daily 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 

 

2

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opentrade equity on those exchanges which settle gains and losses on open positionsin such contracts prior to closing out such positions.  Cash Assets do not include and the PortfolioFunds do not earn interest income on the Portfolio Funds’ gains or losses onits open forward, commodity option and certain foreign futures positions sincesuch gains and losses are not collected or paid until such positions are closedout.

 

The Portfolio Funds’ Cash Assets may be greater than, less than orequal to the Portfolio Funds’ Net Asset Value (on which the redemption value ofthe Units is based) primarily because Net Asset Value reflects all gains andlosses on open positions as well as accrued but unpaid expenses.

 

Interest Earned on the Fund’s U.S. Dollar Cash Assets

 

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

 

Offset accounts are non-interest bearing demand deposit accountsmaintained with banks unaffiliated with Merrill Lynch.  An integral feature of the offsetarrangements is that the participating banks specifically acknowledge that theoffset accounts are MLPF&S customer accounts, not subject to any MerrillLynch liability.

 

MLPF&S credits the Portfolio Funds with interest at the mostfavorable rate payable by MLPF&S to accounts of Merrill Lynch affiliatesbut not less than 75% of such prevailing rate. The Portfolio Funds are credited with interest on any of their assetsand net gains actually held by MLPF&S non-U.S. dollar currencies at aprevailing local rate received by Merrill Lynch.  Merrill Lynch may derive certain economic benefit,in excess of the interest, which Merrill Lynch pays to the Portfolio Funds,from possession of such assets.

 

The use of the offset account arrangements for the Portfolio Funds’U.S. dollar Cash Assets may be discontinued by Merrill Lynch at any time.  If Merrill Lynch were to terminate the offsetarrangements, it would attempt to invest all of the Portfolio Funds’ U.S.dollar Cash Assets to the maximum practicable extent in short-term Treasurybills.  All interest earned on the U.S.dollar Available Assets so invested would be paid to the Portfolio Funds, butMLAI would expect the amount of such interest to be less than that available tothe Portfolio Funds under the offset account arrangements.  The remaining U.S. dollar Available Assets ofthe Portfolio Funds would be kept in cash to meet variation margin payments andpay expenses, but would not earn interest for the Portfolio Funds.

 

The banks at which the offset accounts are maintained make available toMerrill Lynch interest-free overnight credits, loans or overdrafts in theamount of the Portfolio Funds’ U.S. dollar Available Assets held in the offsetaccounts, charging Merrill Lynch a small fee for this service.  The economic benefits derived by MerrillLynch — net of the interest credits paid to the Portfolio Funds and the feepaid to the offset banks — from the offset accounts have not exceeded 0.75% perannum of the Portfolio Funds’ average daily U.S. dollar Available Assets heldin the offset accounts.  These revenuesto Merrill Lynch are in addition to the Brokerage Commissions and Sponsor Feespaid by the Portfolio Funds to MLPF&S and MLAI, respectively.

 

The Cash balance of the Fund held at an unaffiliated bank is investedin money market funds and it generates inome for the Fund

 

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

 

Under the single currencymargining system implemented for the Portfolio Funds, the Portfolio Funds donot deposit foreign currencies to margin trading in non-U.S. dollar denominatedfutures contracts and options, if any. MLPF&S provides the necessary margin, permitting the Portfolio Fundsto retain the monies which would otherwise be required for such margin as partof the Portfolios Funds’ U.S. dollar Cash Assets.  The Portfolio Funds do not earn interest onforeign margin deposits provided by MLPF&S. The Portfolio Funds do,however, earn interest on its non-U.S. dollar Cash Assets.  Specifically, the Portfolio Funds arecredited by Merrill Lynch with interest at prevailing short-term local rates onassets and net gains on non-U.S. dollar denominated positions for such gainsactually held in cash..  Merrill Lynchcharges the Portfolio Funds Merrill Lynch’s cost of financing realized andunrealized losses on such positions.

 

The Portfolio Funds holdforeign currency gains and finances foreign currency losses on an interim basisuntil converted into U.S. dollars and either paid into or out of the PortfolioFunds’ U.S. dollar Cash Assets.  Foreigncurrency gains or losses on open positions are not converted into U.S. dollarsuntil the positions are closed.  Assetsof the Portfolio Funds while held in foreign currencies are subject to exchangerate risk.

 

3

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*** Charges***

 

The following table summarizes the chargesincurred by the Fund for the year ended December 31, 2008 and for theperiod April 2, 2007 (commencement of operations) to December 31,2007.

 
| ** **     | ** ** | **2008**                 | ** ** | **2007**                                                        | ** ** |
|----------------|------------|--------------------------|------------|-----------------------------------------------------------------|------------|
| **Charges**    | ** ** | **Dollar   Amount** | ** ** | **% of Average  Month-End  Net Assets (1)** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End  Net Assets (1)** | ** ** |
| Other Expenses |       | $                        | 632,387    |                                                            | 0.18       | % | $ | 504,521 |   | 0.60 | % |
| Sponsor fees   |       | 6,953,728                |       | 1.97                                                            | %          | 485,354 |   | 0.58 | % |
| Total          |       | $                        | 7,586,115  |                                                            | 2.15       | % | $ | 989,875 |   | 1.18 | % |

 

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(1) Not annualized and do not reflect the proportionate share ofexpenses of the Portfolio Funds.

 

The foregoing table does not reflect the bid-ask spreads paid by thePortfolio Funds on their forward trading, or the benefits which may be derivedby Merrill Lynch from the deposit of certain of the Portfolio Funds’ U.S.dollar assets maintained at MLPF&S.

 

 TheFund’s average month-end Net Asset Values for all other purposes during 2008and 2007 equaled $352,254,725 and $83,843,527, respectively.

 

During 2008, the Fund earned $97,972 in interest income, orapproximately .028% of the Fund’s average month-end Net Asset Values for allother purposes. During 2007, the Fund earned $3,827 in interest income, orapproximately 0.005% of the Fund’s average month-end Net Asset Values for allother purposes.

 

**Description of 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 Merrill Lynch ranging from  1.0% to 2.5%. Class D, Class D1 and Class I Units are subject  to sales commissions up to 0.5%. The rate assessed to a given subscription is  based upon the subscription amount. Sales commissions are deducted from proceeds  prior to entering the fund. Shares purchased and reflected in the fund  records are net of any commissions charged by MLPF&S. Class C Units  are not subject to any sales commission.   |

 

4

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| Merrill  Lynch International Bank (“MLIB”) (or an affiliate); Other counterparties |   | Bid—ask spreads                                              |   | Bid—ask  spreads Portfolio Funds on forwards and related trades.                                                                                                                                                                                                                                                                                           |
|----------------------------------------------------------------------------------------------|--------|-------------------------------------------------------------------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                            |
| 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.                                                                                                                                                                                                          |
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                            |
| 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 fee. For  Certain Portfolio Funds MLAI receives 25% of the 20% or 25% performance fee.                                                                                                                                                                                          |

 

5

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***Regulation***

 

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

 

(d)           Financial Information about Geographic Areas

 

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

 

The Portfolio Funds may trade on a number of foreign commodityexchanges.  The Portfolio Funds and theFund do not engage in the sales of goods or services.

 

**Item 1A:  Risk Factors**

 

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

*** ***

Past performance is not necessarily indicative of futureresults.  The trading advisors’ pastperformance may not be representative of how it may trade in the future for thePortfolio Funds.

 

***Volatile Markets; Highly LeveragedTrading***

*** ***

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

 

***Importance of General MarketConditions***

*** ***

Overall market or economic conditions — which neitherMLAI nor the Sunrise advisor can predict or control — have a material effect onthe performance of any managed futures strategy.

 

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

*** ***

Market disruptions and the dramatic increase in thecapital allocated to alternative investment strategies during recent years haveled to increased governmental as well as self-regulatory scrutiny of thealternative investment funds industry in general.  In addition, certain legislation proposing greaterregulation of the industry periodically is considered by the U.S. Congress, aswell as the governing bodies of foreign jurisdictions. It is impossible topredict what, if any, changes in the regulations applicable to the Partnership,its general partner (MLAI), the markets in which they trade and invest or thecounterparties with which they do business may be instituted in the future. Anysuch regulation could have a material adverse impact on the profit potential ofthe Partnership, as well as require increased transparency as to the identityof the Partnership’s limited partners.

 

***Forward***Trading

*** ***

The Portfolio Funds will trade in theforward markets in addition to trading in the futures markets.  The forward markets are over-the-counter,non-exchange traded markets, and in trading in the 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.

 

6

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*** ***

***Increased Assets Under Management***

*** ***

There appears to be a tendency for therates of return achieved by managed futures advisors to decline as assets undermanagement increase.  The tradingadvisors have not agreed to limit the amount of additional equity which it maymanage.

 

## **Trading Advisor Risk**

##  

The Fund is subject to the risk of thebad judgment, negligence or misconduct of the trading advisors.  There have been a number of instances inrecent years in which private investment funds have incurred substantial lossesdue to manager misconduct.

 

## **Changes in Trading Strategy**

##  

The trading advisors maymake material changes in its trading strategies without the knowledge of MLAI.

 

## **Illiquid Markets**

##  

Certain positions held by the Fund maybecome illiquid, preventing the trading advisors from acquiring positionsotherwise indicated by its strategy or making it impossible for the tradingadvisors to close out positions against which the market is moving.

 

Certain futures markets are subject to “dailyprice limits,” restricting the maximum amount by which the price of aparticular contract can change during any given trading day.  Once a contract’s price has moved “the limit,”it may be impossible or economically non-viable to execute trades in suchcontract.  From time to time, prices havemoved “the limit” for a number of consecutive days, making it impossible fortraders against whose positions the market was moving to prevent large losses.

 

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

##  

The trading advisors may tradeextensively on non-U.S. exchanges.  Theseexchanges are not regulated by any United States governmental agency. ThePortfolio Funds and consequently the Fund could incur substantial lossestrading on foreign exchanges to which they would not have been subject hadtheir trading advisors limited their trading to U.S. markets.

 

The profits and losses derived fromtrading foreign futures and forwards will generally be denominated in foreigncurrencies; consequently, the Portfolio Funds will be subject to a certaindegree 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 PortfolioFunds’ are subject to the risk of insolvency of a counterparty, anexchange, a clearinghouse or MLPF&S. Portfolio Funds’ assets could be lostor impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the PortfolioFunds’ capital tied up in a bankruptcy, MLAI might suspend or limit trading,perhaps causing the Portfolio Funds’ to miss significant profit opportunities.There are increased risks in dealing with unregulated trading counterpartiesincluding the risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

7

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**Item 1B:  Unresolved StaffComments**

 

Not applicable.

 

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

 

The Fund and the Portfolio Funds do not use any physical properties inthe conduct of their business.

 

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

 

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

 

None

 

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

 

None.

 

**PART II**

 

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

 

Item 5(a)

 

(a)           Market Information:

 

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

 

(b)           Holders:

 

As of December 31, 2008, there were 5,512 holders of Units .

 

(c)           Dividends:

 

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

 

(d)           Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

(e)           Performance Graph

 

Not applicable.

 

8

----

 

(e)           Recent Sales of Unregistered Securities:

 

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

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       |             | $          | 490,879    |       | 477,602 |   | $ | 1.0278 |   |
| Feb-08     |       |             | 765,834    |       | 735,248    |   | 1.0416 |   |
| Mar-08     |       |             | 2,265,597  |       | 1,968,714  |   | 1.1508 |   |
| Apr-08     |       |             | 9,401,839  |       | 8,361,650  |   | 1.1243 |   |
| May-08     |       |             | 1,921,834  |       | 1,718,532  |   | 1.1183 |   |
| Jun-08     |       |             | 5,368,433  |       | 4,629,157  |   | 1.1597 |   |
| Jul-08     |       |             | 7,312,229  |       | 6,011,369  |   | 1.2164 |   |
| Aug-08     |       |             | 6,108,039  |       | 5,374,902  |   | 1.1364 |   |
| Sep-08     |       |             | 5,257,398  |       | 4,747,086  |   | 1.1075 |   |
| Oct-08     |       |             | 3,535,993  |       | 3,151,509  |   | 1.1220 |   |
| Nov-08     |       |             | 3,127,759  |       | 2,649,072  |   | 1.1807 |   |
| Dec-08     |       |             | 5,217,771  |       | 4,265,672  |   | 1.2232 |   |
| Jan-09     |       |             | 3,599,510  |       | 2,865,624  |   | 1.2561 |   |
| Feb-09     |       |             | 9,320,066  |       | 7,451,975  |   | 1.2473 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       |             | $          | 9,676,279  |       | 9,070,378 |   | $ | 1.0668 |   |
| Feb-08     |       |             | 10,615,351 |       | 9,826,299  |   | 1.0803 |   |
| Mar-08     |       |             | 13,574,098 |       | 11,381,937 |   | 1.1926 |   |
| Apr-08     |       |             | 59,470,138 |       | 51,082,407 |   | 1.1642 |   |
| May-08     |       |             | 28,399,000 |       | 24,545,376 |   | 1.1570 |   |
| Jun-08     |       |             | 33,020,433 |       | 27,544,572 |   | 1.1988 |   |
| Jul-08     |       |             | 24,702,976 |       | 19,661,713 |   | 1.2564 |   |
| Aug-08     |       |             | 44,522,346 |       | 37,965,674 |   | 1.1727 |   |
| Sep-08     |       |             | 58,565,580 |       | 51,283,345 |   | 1.1420 |   |
| Oct-08     |       |             | 24,917,384 |       | 21,556,695 |   | 1.1559 |   |
| Nov-08     |       |             | 22,418,438 |       | 18,445,317 |   | 1.2154 |   |
| Dec-08     |       |             | 20,191,581 |       | 16,049,265 |   | 1.2581 |   |
| Jan-09     |       |             | 28,240,030 |       | 21,876,234 |   | 1.2909 |   |
| Feb-09     |       |             | 54,268,072 |       | 42,199,527 |   | 1.2807 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       |             | $          | —     |       | — |   | $ | 1.1603 |   |
| Feb-08     |       |             | —     |       | —     |   | 1.1774 |   |
| Mar-08     |       |             | 1,270,999  |       | 975,814    |   | 1.3025 |   |
| Apr-08     |       |             | 974,999    |       | 765,246    |   | 1.2741 |   |
| May-08     |       |             | 11,777,257 |       | 9,281,470  |   | 1.2689 |   |
| Jun-08     |       |             | —     |       | —     |   | 1.3175 |   |
| Jul-08     |       |             | —     |       | —     |   | 1.3836 |   |
| Aug-08     |       |             | 994,999    |       | 768,814    |   | 1.2942 |   |
| Sep-08     |       |             | 2,474,506  |       | 1,959,384  |   | 1.2629 |   |
| Oct-08     |       |             | 6,343,408  |       | 4,951,919  |   | 1.2810 |   |
| Nov-08     |       |             | 6,501,920  |       | 4,817,307  |   | 1.3497 |   |
| Dec-08     |       |             | —     |       | —     |   | 1.4001 |   |
| Jan-09     |       |             | —     |       | —     |   | 1.4396 |   |
| Feb-09     |       |             | —     |       | —     |   | 1.4312 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       |             | $          | 175,293    |       | 162,972 |   | $ | 1.0756 |   |
| Feb-08     |       |             | 15,517,918 |       | 14,230,094 |   | 1.0905 |   |
| Mar-08     |       |             | 2,540,369  |       | 2,107,841  |   | 1.2052 |   |
| Apr-08     |       |             | 12,073,337 |       | 10,249,883 |   | 1.1779 |   |
| May-08     |       |             | 921,474    |       | 786,308    |   | 1.1719 |   |
| Jun-08     |       |             | 2,655,553  |       | 2,184,381  |   | 1.2157 |   |
| Jul-08     |       |             | 3,975,738  |       | 3,116,759  |   | 1.2756 |   |
| Aug-08     |       |             | 3,116,252  |       | 2,614,305  |   | 1.1920 |   |
| Sep-08     |       |             | 1,513,593  |       | 1,302,352  |   | 1.1622 |   |
| Oct-08     |       |             | 796,921    |       | 676,676    |   | 1.1777 |   |
| Nov-08     |       |             | 2,987,786  |       | 2,410,088  |   | 1.2397 |   |
| Dec-08     |       |             | 8,120,137  |       | 6,319,665  |   | 1.2848 |   |
| Jan-09     |       |             | 5,655,080  |       | 4,284,476  |   | 1.3199 |   |
| Feb-09     |       |             | 13,410,249 |       | 10,199,937 |   | 1.3110 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS D1

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       |             | $          | —     |       | — |   | $ | 1.0356 |   |
| Feb-08     |       |             | 11,999     |       | 11,419     |   | 1.0508 |   |
| Mar-08     |       |             | —     |       | —     |   | 1.1624 |   |
| Apr-08     |       |             | 899,999    |       | 791,487    |   | 1.1371 |   |
| May-08     |       |             | 12,100,000 |       | 10,685,270 |   | 1.1324 |   |
| Jun-08     |       |             | 3,853,340  |       | 3,277,206  |   | 1.1758 |   |
| Jul-08     |       |             | 5,005,971  |       | 4,054,074  |   | 1.2348 |   |
| Aug-08     |       |             | 5,055,000  |       | 4,376,623  |   | 1.1550 |   |
| Sep-08     |       |             | 3,782,861  |       | 3,356,279  |   | 1.1271 |   |
| Oct-08     |       |             | 242,090    |       | 211,765    |   | 1.1432 |   |
| Nov-08     |       |             | —     |       | —     |   | 1.2045 |   |
| Dec-08     |       |             | 2,141,425  |       | 1,713,826  |   | 1.2495 |   |
| Jan-09     |       |             | —     |       | —     |   | 1.2848 |   |
| Feb-09     |       |             | 3,722,356  |       | 2,914,238  |   | 1.2773 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

CLASS DA

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       |             | $          | —     |       | — |   | $ | — |   |
| Feb-08     |       |             | —     |       | —     |   | — |   |
| Mar-08     |       |             | —     |       | —     |   | — |   |
| Apr-08     |       |             | —     |       | —     |   | — |   |
| May-08     |       |             | —     |       | —     |   | — |   |
| Jun-08     |       |             | —     |       | —     |   | — |   |
| Jul-08     |       |             | —     |       | —     |   | — |   |
| Aug-08     |       |             | —     |       | —     |   | — |   |
| Sep-08     |       |             | —     |       | —     |   | — |   |
| Oct-08     |       |             | —     |       | —     |   | — |   |
| Nov-08     |       |             | —     |       | —     |   | — |   |
| Dec-08     |       |             | 56,445,187 |       | 56,445,187 |   | 1.0000 |   |
| Jan-09     |       |             | —     |       | —     |   | 1.0282 |   |
| Feb-09     |       |             | —     |       | —     |   | 1.0222 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

----

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

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

9

----

 

**Item 6:****  ****Selected Financial Data**

 

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

** **
| **Statement of Operations** | ** ** | **For the year   ended   December 31,  2008** | ** ** | **For the period April 2,  2007 (Commencement of   operations) to December  31, 2007** | ** ** |
|---------------------------------------|------------|------------------------------------------------------------------------|------------|------------------------------------------------------------------------------------------------------------------------------------------|------------|
| ** **                            | ** ** | ** **                                                             | ** ** | ** **                                                                                                                               | ** ** |
| Trading profit  (loss)                |       |                                                                   |       |                                                                                                                                     |       |
| Realized                              |       | $                                                                      | 9,202,478  |                                                                                                                                     | $          | (560,037 | ) |
| Change in  unrealized                 |       | 71,910,257                                                             |       | 14,550,075                                                                                                                               |       |
| Total trading  profit (loss)          |       | 81,112,735                                                             |       | 13,990,038                                                                                                                               |       |
|                                  |       |                                                                   |       |                                                                                                                                     |       |
| INVESTMENT  INCOME:                   |       |                                                                   |       |                                                                                                                                     |       |
| Interest                              |       | 97,972                                                                 |       | 3,827                                                                                                                                    |       |
|                                  |       |                                                                   |       |                                                                                                                                     |       |
| EXPENSES:                             |       |                                                                   |       |                                                                                                                                     |       |
| Sponsor fees                          |       | 6,953,728                                                              |       | 485,354                                                                                                                                  |       |
| Other                                 |       | 632,387                                                                |       | 504,521                                                                                                                                  |       |
| Total Expenses                        |       | 7,586,115                                                              |       | 989,875                                                                                                                                  |       |
|                                  |       |                                                                   |       |                                                                                                                                     |       |
| NET INVESTMENT  INCOME (LOSS)         |       | (7,488,143                                                             | )          | (986,048                                                                                                                                 | )          |
|                                  |       |                                                                   |       |                                                                                                                                     |       |
| NET INCOME  (LOSS)                    |       | $                                                                      | 73,624,592 |                                                                                                                                     | $          | 13,003,990 |   |

 
| **Balance Sheet Data**        | ** ** | **December 31,  2008** | ** **  | **December 31, 2007** | ** ** |
|-----------------------------------------|------------|-----------------------------|-------------|---------------------------------|------------|
|                                    |       |                        |        |                            |       |
| Members’ Capital                   |       | $                           | 678,698,088 |                            | $          | 120,224,077 |   |
| Net Asset Value  per Class A Unit  |       | 1.2561                      |        | 1.0273                          |       |
| Net Asset Value  per Class C Unit  |       | 1.2908                      |        | 1.0664                          |       |
| Net Asset Value  per Class D Unit  |       | 1.4379                      |        | 1.1571                          |       |
| Net Asset Value  per Class I Unit  |       | 1.3197                      |        | 1.0752                          |       |
| Net Asset Value  per Class D1 Unit |       | 1.2847                      |        | 1.0350                          |       |
| Net Asset Value  per Class DA Unit |       | 1.0282                      |        | 0                               |       |
|                                    |       |                        |        |                            |       |
| See notes to  financial statements      |       |                        |        |                            |       |
|                                         |            |                             |             |                                 |            |  |  |

 

10

----

 

For financial reporting purposes, in conformity with GAAP, the Fundamortizes initial offering costs payable to MLAI over twelve months forpurposes of determining Net Asset Value. For all other purposes, including computing Net Asset Value for purposesof member subscription and redemption activity, such payment is amortized over60 months.  Consequently, as of December 31,2008, the Net Asset Value and Net Asset Value per Unit of the different Classesfor financial reporting purposes and for all other purposes are as follows:

 

**December 31,2008**

 
| ** **    | ** ** | **Net Asset Value**                   | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other   Purposes  (unaudited)** | ** **  | **Financial  Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes  (unaudited)** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                                               | 54,531,772  |                     | $          | 54,529,667                                       |       | 43,411,942 |   | $ | 1.2561 |   | $ | 1.2561 |   |
| Class C  |       | 409,679,565                                     |        | 409,646,343              |       | 317,357,227                                      |       | 1.2909 |   | 1.2908 |   |
| Class D  |       | 50,209,935                                      |        | 50,152,681               |       | 34,878,314                                       |       | 1.4396 |   | 1.4379 |   |
| Class I  |       | 70,217,871                                      |        | 70,208,485               |       | 53,200,108                                       |       | 1.3199 |   | 1.3197 |   |
| Class D1 |       | 39,878,678                                      |        | 39,876,273               |       | 31,040,046                                       |       | 1.2848 |   | 1.2847 |   |
| Class DA |       | 54,284,639                                      |        | 54,284,639               |       | 52,795,442                                       |       | 1.0282 |   | 1.0282 |   |
|          |       | $                                               | 678,802,460 |                     | $          | 678,698,088                                      |       | 532,683,079 |   |   |   |   |   |
|               |            |                                                 |             |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

**December 31,2007**

 
| ** **    | ** ** | **Net Asset Value**             | ** **  | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------------------------|-------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes  (unaudited)** | ** **  | **Financial  Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes  (unaudited)** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                                         | 5,219,799   |                     | $          | 5,217,419                                        |       | 5,078,646 |   | $ | 1.0278 |   | $ | 1.0273 |   |
| Class C  |       | 74,560,703                                |        | 74,531,573               |       | 69,888,701                                       |       | 1.0668 |   | 1.0664 |   |
| Class D  |       | 19,497,806                                |        | 19,442,860               |       | 16,803,705                                       |       | 1.1603 |   | 1.1571 |   |
| Class I  |       | 15,872,806                                |        | 15,867,209               |       | 14,757,114                                       |       | 1.0756 |   | 1.0752 |   |
| Class D1 |       | 5,167,584                                 |        | 5,165,016                |       | 4,990,154                                        |       | 1.0356 |   | 1.0350 |   |
|          |       | $                                         | 120,318,698 |                     | $          | 120,224,077                                      |       | 111,518,320 |   |   |   |   |   |
|               |            |                                           |             |                          |            |                                                  |            |  |  |  |  |  |  |  |  |

 

11

----

 

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

 

MONTH-END NETASSET 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 |   |
|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
|   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

MONTH-END NETASSET 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 |   |
|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
|   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

MONTH-END NETASSET 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 |   |
|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
|   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

MONTH-END NETASSET 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 |   |
|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
|   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

MONTH-END NETASSET 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 |   |
|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
|   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |

MONTH-END NETASSET 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     |   |
|       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |       |   |

12

----

 

**ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC**

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

**December 31, 2008**

 

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

*Inception of Trading:*  July 1, 2007

*Aggregate Subscriptions* $55,751,001

*Current Capitalization: * $54,531,772

*Worst Monthly Drawdown(2): *(6.58)% (July 2008)

*Worst Peak-to-Valley Drawdown(3): *(9.10)%  (July-August 2007)

 

*Net Asset Value per Unitfor Class A, December 31, 2008:*   $1.2561

 

**MonthlyRates of Return (4)**

 
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 1.34     | %          | —   |       |
| February                        |       | 10.48    |       | —   |       |
| March                           |       | (2.29    | )          | —   |       |
| April                           |       | (0.54    | )          | —   |       |
| May                             |       | 3.70     |       | —   |       |
| June                            |       | 4.89     |       | —   |       |
| July                            |       | (6.58    | )          | -4.12    | %          |
| August                          |       | (2.54    | )          | (5.19    | )          |
| September                       |       | 1.31     |       | 6.76     |       |
| October                         |       | 5.23     |       | 5.85     |       |
| November                        |       | 3.60     |       | (1.74    | )          |
| December                        |       | 2.69     |       | 1.83     |       |
| Compound Annual  Rate of Return |       | 22.21    | %          | 2.78     | %          |

 

----

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

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since July 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since July 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

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

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP 25.61%.

 

13

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

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

**December 31, 2008**

 

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

*Inception of Trading:* June 1, 2007

*Aggregate Subscriptions:*   $422,732,632

*Current Capitalization: * $409,679,565

*Worst Monthly Drawdown(2): *(6.66)% (July 2008)

*Worst Peak-to-Valley Drawdown(3): *(9.25)%  (July-August 2007)

 

*Net Asset Value per Unitfor Class C, December 31, 2008:*   $1.2909

** **

**MonthlyRates of Return (4)**

** **
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 1.27     | %          | —   |       |
| February                        |       | 10.40    |       | —   |       |
| March                           |       | (2.38    | )          | —   |       |
| April                           |       | (0.62    | )          | —   |       |
| May                             |       | 3.61     |       | —   |       |
| June                            |       | 4.80     |       | 4.32     | %          |
| July                            |       | (6.66    | )          | (4.20    | )          |
| August                          |       | (2.62    | )          | (5.27    | )          |
| September                       |       | 1.22     |       | 6.67     |       |
| October                         |       | 5.15     |       | 5.76     |       |
| November                        |       | 3.51     |       | (1.82    | )          |
| December                        |       | 2.61     |       | 1.74     |       |
| Compound Annual  Rate of Return |       | 21.00    | %          | 6.68     | %          |

 

----

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

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since June 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since June 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

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

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 29.08%.

 

14

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

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

**December 31, 2008**

 

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

*Inception of Trading:* April 2, 2007

*Aggregate Subscriptions:*   $129,073,565

*Current Capitalization: * $50,209,935

*Worst Monthly Drawdown(2): *(6.46)% (July 2008)

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

 

*Net Asset Value per Unitfor Class D, December 31, 2008:*   $1.4396

** **

**MonthlyRates of Return (4)**

 
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 1.47     | %          | —   |       |
| February                        |       | 10.63    |       | —   |       |
| March                           |       | (2.18    | )          | —   |       |
| April                           |       | (0.41    | )          | 3.43     | %          |
| May                             |       | 3.83     |       | 3.64     |       |
| June                            |       | 5.02     |       | 4.54     |       |
| July                            |       | (6.46    | )          | (4.00    | )          |
| August                          |       | (2.42    | )          | (5.07    | )          |
| September                       |       | 1.43     |       | 6.90     |       |
| October                         |       | 5.36     |       | 5.98     |       |
| November                        |       | 3.73     |       | (1.62    | )          |
| December                        |       | 2.82     |       | 1.96     |       |
| Compound Annual  Rate of Return |       | 24.06    | %          | 16.04    | %          |

 

----

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

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since April 2, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since April 2, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

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

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 43.79%.

 

15

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

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

**December 31, 2008**

 

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

*Inception of Trading:* June 1, 2007

*Aggregate Subscriptions:*   $69,888,325

*Current Capitalization: * $70,217,871

*Worst Monthly Drawdown(2): *(6.55)% (July 2008)

*Worst Peak-to-Valley Drawdown(3): *(9.04)%  ( July-August 2007)

 

*Net Asset Value per Unitfor Class I, December 31, 2008: $1.3199*

 

**MonthlyRates of Return (4)**

 
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 1.39     | %          | —   |       |
| February                        |       | 10.52    |       | —   |       |
| March                           |       | (2.27    | )          | —   |       |
| April                           |       | (0.51    | )          | —   |       |
| May                             |       | 3.74     |       | —   |       |
| June                            |       | 4.93     |       | 4.44     | %          |
| July                            |       | (6.55    | )          | (4.09    | )          |
| August                          |       | (2.50    | )          | (5.16    | )          |
| September                       |       | 1.33     |       | 6.80     |       |
| October                         |       | 5.26     |       | 5.88     |       |
| November                        |       | 3.65     |       | (1.71    | )          |
| December                        |       | 2.72     |       | 1.86     |       |
| Compound Annual  Rate of Return |       | 22.71    | %          | 7.56     | %          |

 

----

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

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since June 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since June 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

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

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 31.97%.

 

16

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS D1 UNITS)**(5)

**December 31, 2007**

 

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

*Inception of Trading:* July 1, 2007

*Aggregate Subscriptions:*   $38,092,685

*Current Capitalization: * $39,878,678

*Worst Monthly Drawdown(2): *(6.46)% ( July 2008)

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

 

*Net Asset Value per Unitfor Class D1, December 31, 2007:*   $1.2848

** **

**MonthlyRates of Return (4)**

** **
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 1.47     | %          | —   |       |
| February                        |       | 10.62    |       | —   |       |
| March                           |       | (2.18    | )          | —   |       |
| April                           |       | (0.41    | )          | —   |       |
| May                             |       | 3.83     |       | —   |       |
| June                            |       | 5.02     |       | —   |       |
| July                            |       | (6.46    | )          | (4.00    | )          |
| August                          |       | (2.42    | )          | (5.07    | )          |
| September                       |       | 1.43     |       | 6.90     |       |
| October                         |       | 5.36     |       | 5.98     |       |
| November                        |       | 3.74     |       | (1.62    | )          |
| December                        |       | 2.83     |       | 1.96     |       |
| Compound Annual  Rate of Return |       | 24.07    | %          | 3.56     | %          |

** **

----

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

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since July 1, 2007 by the Fund; a drawdown ismeasured on the basis of month-end Net Asset Value only, and does not reflectintra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since July 1, 2007 from a month-end cumulative MonthlyRate of Return without such cumulative Monthly Rate of Return being equaled orexceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January andFebruary, 1% in March and (2)% in April, the Peak-to-Valley Drawdown wouldstill be continuing at the end of April in the amount of approximately(3)%, whereas if the Monthly Rate of Return had been approximately 3% in March,the Peak-to-Valley Drawdown would have ended as of the end of February atapproximately the (2)% level.

 

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

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 28.47%.

 

17

----

 

**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

**(CLASS DA UNITS)**(5)

**December 31, 2008**

 

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

*Inception of Trading:* December 1, 2008

*Aggregate Subscriptions:*   $56,445,187

*Current Capitalization: * $54,284,639

*Worst Monthly Drawdown(2):  N/A*

*Worst Peak-to-Valley Drawdown(3): N/A*

 

*Net Asset Value per Unitfor Class DA, December 31, 2008: $1.0282*

 

**MonthlyRates of Return (4)**

 

| **Month**                       | ** ** | **2008** | ** ** |
|---------------------------------|------------|----------|------------|
| January                         |       | —   |       |
| February                        |       | —   |       |
| March                           |       | —   |       |
| April                           |       | —   |       |
| May                             |       | —   |       |
| June                            |       | —   |       |
| July                            |       | —   |       |
| August                          |       | —   |       |
| September                       |       | —   |       |
| October                         |       | —   |       |
| November                        |       | —   |       |
| December                        |       | 2.82     | %          |
| Compound Annual  Rate of Return |       | 2.82     | %          |

 

----

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

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since December 1, 2008 by the Fund; a drawdownis measured on the basis of month-end Net Asset Value only, and does notreflect intra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since December 1, 2008 from a month-end cumulativeMonthly Rate of Return without such cumulative Monthly Rate of Return beingequaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Returnwas (1)% in each of January and February, 1% in March and (2)% inApril, the Peak-to-Valley Drawdown would still be continuing at the end of April inthe amount of approximately (3)%, whereas if the Monthly Rate of Return hadbeen approximately 3% in March, the Peak-to-Valley Drawdown would have ended asof the end of February at approximately the (2)% level.

 

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

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total returnbased on U.S. GAAP is 2.82%.

 

18

----

 

**Item 7:****         ****Management’s Discussion and Analysis of Financial Condition and Resultsof Operations**

 

***Operational Overview***

 

Thisperformance summary is an outline description of how the Fund performed in thepast, not necessarily 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.

 

ThePorfolio Funds are unlikely to be profitable in markets in which such trends donot occur.  Static or erratic prices arelikely to result in losses.  Similarly,unexpected events (for example, a political upheaval, natural disaster or governmentalintervention) can lead to major short-term losses, as well as gains.

 

Whilethere can be no assurance that the Portfolio Funds will be profitable under anygiven market condition, markets in which substantial and sustained pricemovements occur typically offer the best profit potential for the PortfolioFunds and consequently the Fund.

 

***2008***

 

The Fund posted profits for the year.

 

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 largest riskallocations for the Portfolio Funds as they continue to be long in most fixedincome markets, while in commodities, they generally have long positions ingrains, softs and precious metals, and shorts in livestock. Energy exposure hasbeen cut back significantly after January’s losses. Profits continue to beposted to the Fund in the middle of the quarter due to returns earned insurging commodity markets. Grains and softs rallied strongly due to lowinventories and positive forecasts of demand. Energy and metals climbed asthese sectors are perceived as an inflation hedge. The other profitable tradesincluded short currency positions against the U.S. dollar.  The Fund posted losses at the end of thequarter. The strong trends in commodity markets in February made a sharpreversal in March, hurting most funds in the vertical. The grains and preciousmetals sectors recorded particularly large reversals. The Portfolio Funds wereable to participate more in the upward move in February than in the March reversalthereby preserving its gains for the first quarter. The Portfolio Funds wereable to limit the damage in March by reducing leverage. Most managersscaled back positions in inverse proportion to rising volatility in commoditymarkets.

 

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  the credit crisis might beover. This caused the U.S. dollar to rebound, bonds to fall and equities torise, thus hurting the Portfolio Funds performance. The Portfolio Funds withmore energy exposure did better in the month, as well as the Portfolio Fundswho had short positions in the financial futures were able to unwind theirpositions quickly. Profits continued to be posted to the Fund in the middle ofthe quarter. May was a month where energies jumped to record levels. Crudeoil was up 13% and natural gas was up 6.6%, continuing trends from previousmonths. The primary drivers of performance for the Fund was in the commoditiesand energy sectors. Non-commodity markets were mixed as most of the Fundsmanaged to be flat to positive in the financial markets overall. The secondquarter ended with profits being posted to the Fund. The Portfolio Funds mademoney through 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

 

19

----

 

most major currencies. Typically, the Portfolio Funds will be short onthe U.S. dollar positions which caused losses to be posted to the Fund in themiddle of the quarter. The second trend was the continued decline incommodities, following the dramatic reversal from July. Profits were posted tothe Fund at the end of the third quarter. September witnessed an extendedweakness in financial markets that was manifested in a sharp sell-off in globalequities and commodities, including energies, grains, and industrial metals.Bond yields fell moderately, while the U.S. dollar continued its upward moveagainst other major currencies. The Portfolio Funds performance exhibited afair amount of variance which was a function of the time frame of theunderlying strategy. Medium-term trend followers who form the bulk ofSystematic Momentum, did quite well as they were correctly positioned for themarket 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.

 

***2007***

 

SystematicMomentum FuturesAccess LLC is a fund of funds investing in eight separateaccounts which are domiciled at Merrill Lynch Futures. The Fund commencedoperations on April 2, 2007. The Fund posted gains for the year except forAlpha Simplex, which was liquidated prior to year end.

 

Thebeginning of the second quarter profits were posted for the Fund throughmid-quarter. However, as the second quarter ended there was resurgence inmarket volatility as bonds sold off heavily in the first half of the month ongrowing optimism for global growth and then rallied on renewed concerns in thesub-prime lending market. Similarly, equity markets experienced wide swings andended the second quarter lower partly on concerns about the potential forcontagion on the back of Bear Stearns’ troubled credit focused hedge funds.Although the core long term trend followers performed well throughout the monthof June, the out-performance in the portfolio came from the short term modelsof Altis and GSA. Both of these managers captured reversals in equity marketsand were able to profit both long and short over the course of the month.Natural gas shorts also generated positive results. In currencies, mostmanagers were successful capturing strength in the Australian dollar, Canadiandollar, and the British pound as well as continuing to underweight thepersistently weak Japanese yen.

 

Thethird quarter began with extreme market reversals. Practically all marketswhich were trending upward retraced as investors exited in an attempt to reducerisk. Credit worries and a softening housing market finally caught up to theequity markets and led to a big rally in global bonds. The Japanese yen, whichhas been persistently weak for years, suddenly rallied against all of itshigher yielding counterparts. As a result of the reversals, losses were postedto the Fund. Long term market trends continued to unwind at the middle part ofthe third quarter as the long positions in the Foreign Exchange carry trades,long international equities, long energy and long metals due to a spike in riskaversion on 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.

 

20

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Theyear ended with gains being posted for the Fund (1.7% for December) bringingthe return since its April 2007 inception to 16.04%. Trends wereparticularly strong in commodities, with rallies in grains, oil and gold, aswell as continued declines in base metals. Individual managers with a largerallocation to the commodity space tended to outperform during the month ofDecember. Financial futures markets were more difficult to trade due to choppyconditions. In bonds, several managers came into December  with a longbias, but yields rose at the start of the month due to better than expectedUnited States economic news, as well the decision of the U.S. FederalGovernment to lower rates by only 25 basis points, which was less than some hadexpected. In Futures and Exchange currencies, an early strengthening of theU.S. dollar caught several managers by surprise, as they were generallypositioned for further U.S. dollar weakness. Finally, in equities a lack oftrends meant that risk exposures were limited in this area.

 

Variables AffectingPerformance

 

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

 

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

 

TheFund’s Sponsor Fees are a constant percentage of the Fund’s net assets.

 

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

 

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

 

***Liquidity; Capital Resources***

 

ThePortfolio Funds borrow only to a limited extent and only on a strictlyshort-term basis in order to finance losses on non-U.S. dollar denominatedtrading positions pending the conversion of the U.S. dollar deposits. Theseborrowings are at a prevailing short-term rate in the relevant currency.

 

Substantiallyall of the Portfolio Funds’ assets are held in cash. The Net Asset Value of thePortfolio Funds’  cash is not affected byinflation. However, changes in interest rates could cause periods of strong upor down price trends, during which the profit potential generally increases.Inflation in commodity prices could also generate price movements, which thestrategies might successfully follow.

 

Becausesubstantially all of the Portfolio Funds’ assets are held in cash, thePortfolio Funds should be able to close out any or all of its open tradingpositions and liquidate any or all of its securities holdings quickly and atmarket prices, except in very unusual circumstances. This permits the advisorsto limit losses as well as reduce market exposure on short notice should itsstrategies indicate doing so. In addition, because there is a readily availablemarket value for the Portfolio Funds positions and assets, the Fund’s monthlyNet Asset Value calculations are precise, and investors need only wait tenbusiness days to receive the full redemption proceeds of their Units.

 

(The Portfolio Funds and the Fund have noapplicable off-balance sheet arrangements or contractual obligations andtabular disclosures of the type described in Items 3.03(a)(4) and 3.03(a)(5) ofRegulation S-K.)

 

21

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**Item 7A:****          ****Quantitative and QualitativeDisclosures About Market Risks**

 

Introduction

 

TheFund is a speculative commodity pool. The market sensitive instruments held bythe Portfolio Funds are acquired for speculative trading purposes and all orsubstantially all of the Fund’s assets are subject to the risk of tradingloss.  Unlike an operating company, therisk of market sensitive instruments is integral, not incidental, to the Fund’smain line of business.

 

Marketmovements result in frequent changes in the fair market value of the PortfolioFund’s open positions and, consequently, in its earnings and cash flow. ThePortfolio 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 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.

 

Quantifying The 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 formcivil 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.

 

TheFund’s risk exposure in the various market sectors traded by the advisors isquantified below in terms of Value at Risk. Due to the Fund’s mark-to-market accounting, any loss in the fair valueof the Fund’s open positions is directly reflected in the Fund’s earnings(realized or unrealized) and cash flow (at least in the case of exchange-tradedcontracts in which profits and losses on open positions are settled dailythrough variation margin).

 

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.

 

Inthe case of market sensitive instruments which are not exchange-traded (almostexclusively currencies in the case of the Portfolio Funds), the marginrequirements for the equivalent futures positions have been used as Value atRisk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

 

100%positive correlation in the different positions held in each market riskcategory has been assumed.  Consequently,the margin requirements applicable to the open contracts have been aggregatedto determine each trading category’s aggregate Value at Risk.  The diversification effects resulting fromthe fact that the Fund’s positions are rarely, if ever, 100% positively correlatedhave not been reflected.

 

22

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***The Fund’s Trading Value at Risk in DifferentMarket Sectors***

 

Thefollowing table indicates the average, highest and lowest trading Value at Riskassociated with the Fund’s open positions by market for the fiscal periods.

 

**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 |   |

 

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

 

**Altis Class DS(1)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 175,713    |   | 1.26 | % | $ | 485,895 |   | $ | — |   |
| Energy                    |       | 161,412                         |       | 1.15 | % | 494,674 |   | — |   |
| Interest Rates            |       | 1,800,229                       |       | 12.88 | % | 3,182,159 |   | 1,107,918 |   |
| Metals                    |       | 110,296                         |       | 0.79 | % | 379,314 |   | — |   |
| Stock Indices             |       | 134,091                         |       | 0.96 | % | 432,125 |   | 24,194 |   |
| Currencies                |       | 216,373                         |       | 1.55 | % | 617,564 |   | 32,981 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 2,598,114  |   | 18.59 | % | $ | 5,591,731 |   | $ | 1,165,093 |   |

 

----

(1) Average capitalization of Altis Class D-SM is$13,980,880.

 

**TranstrendClass 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 DS is$55,662,905.

 

**TranstrendClass DS (2)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 134,302    |   | 0.98 | % | $ | 381,539 |   | $ | 404 |   |
| Energy                    |       | 228,207                         |       | 1.66 | % | 935,201 |   | 1,012 |   |
| Interest Rates            |       | 1,003,110                       |       | 7.32 | % | 2,468,174 |   | 307,293 |   |
| Metals                    |       | 106,957                         |       | 0.78 | % | 261,195 |   | 1,046 |   |
| Stock Indices             |       | 289,208                         |       | 2.11 | % | 659,872 |   | 14,837 |   |
| Currencies                |       | 366,538                         |       | 2.67 | % | 1,277,943 |   | 16,232 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 2,128,322  |   | 15.52 | % | $ | 5,983,924 |   | $ | 340,824 |   |

 

----

(2) Average capitalization of Transtrend Class DS is$13,708,296.

 

23

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**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 DS is $43,969,426.

 

**Aspect Class DS(3)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 55,976     |   | 0.39 | % | $ | 185,649 |   | $ | 2,962 |   |
| Energy                    |       | 104,385                         |       | 0.73 | % | 387,662 |   | 898 |   |
| Interest Rates            |       | 1,385,196                       |       | 9.65 | % | 2,387,159 |   | 803,935 |   |
| Metals                    |       | 46,038                          |       | 0.32 | % | 182,601 |   | 1,318 |   |
| Stock Indices             |       | 74,630                          |       | 0.52 | % | 134,548 |   | 6,491 |   |
| Currencies                |       | 168,487                         |       | 1.17 | % | 485,517 |   | 28,531 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 1,834,712  |   | 12.78 | % | $ | 3,763,136 |   | $ | 844,135 |   |

 

----

(3) Average Capitalization of Aspect Class DS is $14,351,511.

 

**ChesapeakeClass 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             |       | —                          |       | 0.00 | % | — |   | — |   |
| 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 DS is$43,646,766.

 

**                                      (4)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 87,625     |   | 0.61 | % | $ | 141,578 |   | $ | 5,556 |   |
| Energy                    |       | 59,450                          |       | 0.42 | % | 125,728 |   | 486 |   |
| Interest Rates            |       | 1,985,662                       |       | 13.93 | % | 3,838,109 |   | 347,204 |   |
| Metals                    |       | 31,412                          |       | 0.22 | % | 83,565 |   | 8,772 |   |
| Stock Indices             |       | 74,778                          |       | 0.52 | % | 197,450 |   | — |   |
| Stock Futures             |       | 59,815                          |       | 0.42 | % | 107,712 |   | 10,392 |   |
| Currencies                |       | 165,188                         |       | 1.15 | % | 291,437 |   | 11,320 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 2,463,930  |   | 17.27 | % | $ | 4,785,579 |   | $ | 383,730 |   |

 

----

(4) Average capitalization of Chesapeake Class DS is$14,252,644.

 

24

----

 

**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 DS is $55,171,794.

 

**Winton Class DS(5)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 26,018     |   | 0.18 | % | $ | 53,438 |   | $ | 6,723 |   |
| Energy                    |       | 16,814                          |       | 0.12 | % | 39,688 |   | 1,683 |   |
| Interest Rates            |       | 962,466                         |       | 6.72 | % | 1,152,865 |   | 778,385 |   |
| Metals                    |       | 17,798                          |       | 0.12 | % | 34,193 |   | 6,680 |   |
| Stock Indices             |       | 56,528                          |       | 0.39 | % | 101,375 |   | 16,703 |   |
| Currencies                |       | 122,966                         |       | 0.86 | % | 206,667 |   | 49,205 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 1,202,590  |   | 8.39 | % | $ | 1,588,226 |   | $ | 859,379 |   |

 

----

(5) Average capitalization of Winton Class DS is $14,329,688.

 

**JohnLocke 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 DS is$49,220,916.

 

**JohnLocke Class DS (6)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 29,396     |   | 0.30 | % | $ | 62,746 |   | $ | 1,134 |   |
| Energy                    |       | 38,993                          |       | 0.39 | % | 77,712 |   | 6,359 |   |
| Interest Rates            |       | 504,853                         |       | 5.08 | % | 837,912 |   | 279,802 |   |
| Metals                    |       | 30,093                          |       | 0.30 | % | 70,896 |   | 1,381 |   |
| Stock Indices             |       | 115,618                         |       | 1.16 | % | 290,112 |   | 12,552 |   |
| Currencies                |       | 146,192                         |       | 1.47 | % | 241,874 |   | 23,203 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 865,145    |   | 8.70 | % | $ | 1,581,252 |   | $ | 324,431 |   |

 

----

(6) Average capitalization of John Locke Class DS is $9,945,177.

 

25

----

 

**GSAClass 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) Average capitalization of GSA Class DS is $44,330,539

 

**GSA Class DS(7)**

 
| ** **                | ** ** | **December 31, 2007** | ** ** |
|---------------------------|------------|---------------------------------|------------|
| ** **                | ** ** | **Average**                     | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**    | ** ** | **Value at Risk**     | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                      |       |                            |       |   |   |   |   |   |   |
| Agricultural  Commodities |       | $                               | 1,895      |   | 0.02 | % | $ | 3,707 |   | $ | 264 |   |
| Energy                    |       | 1,303                           |       | 0.01 | % | 4,998 |   | 1 |   |
| Interest Rates            |       | 1,488,990                       |       | 16.79 | % | 1,680,785 |   | 1,172,265 |   |
| Metals                    |       | 2,900                           |       | 0.03 | % | 10,233 |   | 307 |   |
| Stock Indices             |       | 63,062                          |       | 0.71 | % | 79,077 |   | 42,441 |   |
| Currencies                |       | 28,796                          |       | 0.32 | % | 51,029 |   | 2,614 |   |
|                      |       |                            |       |   |   |   |   |   |   |
| TOTAL                     |       | $                               | 1,586,946  |   | 17.88 | % | $ | 1,829,829 |   | $ | 1,217,892 |   |

 

----

(7) Average capitalization of GSA Class DS is $8,868,926.

 

**BlueTrendClass 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 DS is$44,805,928

 

Material Limitations onValue at Risk as an Assessment of Market Risk

 

Theface value of the market sector instruments held by the Portfolio Funds are typicallymany times the applicable maintenance margin requirement (maintenance marginrequirements generally ranging between approximately 1% and 10% of contractface value) as well as many times the capitalization of the Portfolio Funds.  The magnitude of the Portfolio Funds’ openpositions creates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Portfolio Funds to incur severe losses over ashort period of time.   The foregoingValue at Risk table — as well as the past performance of the Portfolio Funds —gives no indication of this “risk of ruin.”

 

**Non-TradingRisk**

 

ThePortfolio Funds have non-trading market risk on their foreign cash balances notneeded for margin. However, these balances (as well as the market risk theyrepresent) are immaterial.

 

26

----

 

Qualitative Disclosures Regarding Primary Trading RiskExposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures — exceptfor (i) those disclosures that are statements of historical fact and (ii) thedescriptions of how the 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 fromthe objectives of such strategies. Government interventions, defaults andexpropriations, illiquid markets, the emergence of dominant fundamentalfactors, political upheavals, changes in historical price relationships, aninflux of new market participants, increased regulation and many other factorscould result in material losses as well as in material changes to the riskexposures and the risk management strategies of the 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.

 

Thefollowing were the primary trading risk exposures of the Fund as of December 31,2008, by market sector.

 

**Qualitative Disclosures Regarding Means of Managing Risk Exposure**

** **

#### **TradingRisk**

#### ** **

MLAI has procedures in place intended to control market risk, althoughthere can be no assurance that they will, in fact, succeed in doing so. WhileMLAI does not itself intervene in the markets to hedge or diversify thePortfolio Funds’ market exposure, MLAI may urge the Portfolio Funds’ advisorsto reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are unusual,except in cases in which it appears that the advisors have begun to deviatefrom past practice and trading policies or to be trading erratically, MLAI’sbasic control procedures consist of simply of the ongoing process of monitoringthe advisors with the market risk controls being applied by the advisorsthemselves.

 

**Item 8:  Financial Statementsand Supplementary Data**

 

Net Income (Loss) by Quarter

Seven Quarters through December 31, 2008 (commencement ofoperations April 2, 2007)

 
| ** **                                       | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** |
|--------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                                       | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                                       | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2007**    | ** ** | **2007**    | ** ** | **2007**    | ** ** |
| Total Income  (Loss)                             |       | $           | 69,068,458 |        | $          | (29,629,492 | )          | $           | 28,127,418 |        | $          | 13,644,323  |       | $           | 6,588,526  |   | $ | (2,327,810 | ) | $ | 9,733,149 |   |
| Total Expenses                                   |       | 2,710,614   |       | 2,267,381   |       | 1,544,586   |       | 1,063,534   |       | 689,246     |       | 199,487     |       | 101,142     |       |
| Net Income (Loss)                                |       | $           | 66,357,844 |        | $          | (31,896,873 | )          | $           | 26,582,832 |        | $          | 12,580,789  |       | $           | 5,899,280  |   | $ | (2,527,297 | ) | $ | 9,632,007 |   |
|                                             |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Net Income (Loss)  per weighted average Unit (a) |       | $           | 0.1347     |        | $          | (0.0851     | )          | $           | 0.1059     |        | $          | 0.0942      |       | $           | 0.0602     |   | $ | (0.0291 | ) | $ | 0.1202 |   |

 

----

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

 

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

 

The supplementary financial information specified by Item 302 ofRegulation S-K is not applicable.

 

**Item 9:  Changes in andDisagreements with Accountants on Accounting and Financial Disclosure**

 

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

 

27

----

 

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

 

                                                            MLAI’s Chief Executive Officer and the ChiefFinancial Officer, on behalf of the Fund, has evaluated the effectiveness ofthe design and operation of its disclosure controls and procedures with respectto the Fund as of and for the year which ended December 31, 2008, and,based on its evaluation, has concluded that these disclosure controls andprocedures are effective. Additionally, there were no significant changes inthe Funds’ internal controls over financial reporting which materially affectsuch internal control.

 

*Changes in Internal Control over Financial Reporting*

 

No change in internal control over financialreporting (as defined in Rule 13a-15(f) under the Exchange Act )occurred during the year ended December 31, 2008 that has materiallyaffected, or is reasonable likely to materially affect, the Funds’ internalcontrol, over financial reporting.

 

*Management’s Report on Internal Control over FinancialReporting:*

 

The Fund’s management is responsible for establishingand maintaining adequate internal control over financial reporting.  TheFund’s internal control over financial reporting is a process designed underthe supervision of MLAI’s Chief Executive Officer and the Chief FinancialOfficer, on behalf of the Fund and is effected by management, other personneland service providers to provide reasonable assurance regarding the reliabilityof financial reporting and the preparation of financial statements for externalpurposes in accordance with generally accepted accounting principles andincluded those policy and procedures that:

 

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

 

·                                          Provide reasonable assurance thattransactions are recorded as necessary to permit preparation of financialstatements in accordance with generally accepted accounting principles, andthat  receipts and expenditures of the Fund are being made only 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 inherent limitations, internal controlover financial reporting can provide only reasonable assurance with respect tofinancial statement preparation and presentation.  Projections of anyevaluation of effectiveness to future periods are subject to the risks thatcontrols may become inadequate because of changes in condition, or that thedegree of compliance with the policies or procedures may deteriorate.

 

The Fund’s management assessed the effectiveness ofthe Funds’ internal control over financial reporting at December 31,2008.  In making this assessment, management used the criteria set forthby the Committee of Sponsoring Organizations of the Treadway Commission (COSO)in “Internal Control-Integrated Framework”.

 

Based on its assessment the Fund’s managementconcluded that at December 31, 2008, the Fund’s internal control overfinancial report was effective.

 

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

 

**Item 9B:  Other Information**

 

**                                               **Not applicable.

 

28

----

 

**PART III**

 

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

 

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

 

 The managers and executiveofficers of MLAI and their respective business backgrounds are as follows:

 

**Paul Morton**                            Chief Executive Officer, President andManager

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

 

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

 

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

 

Thomas W. Lee**is VicePresident and Manager of MLAI. He also is a Managing Director in Merrill Lynch’sMarket Investments and Origination Group, responsible for Global Private Client’sequity and debt new issue businesses, and is a Vice President and Manager ofthe Manager, and his registration as a principal of the Manager is pending withNFA.  Prior to joining Merrill Lynch in1998, Mr. Lee was a corporate securities attorney at the law firm of Brown &Wood.  Mr. Lee received his J.D.from Emory University School of Law and a B.S. from Cornell University.

 

JustinC. Ferri is Vice President and Manager of MLAI. He also is a Managing Directorwithin the MLPF&S Structured and Alternative Solutions (SAS) group and is aVice President of IQ Investment Advisors LLC. Prior to his role in SAS, Mr. Ferri was a Director in theMLPF&S Global Private Client Market Investments & Originationgroup, and before that, he served as a Vice President and Head of Global PrivateClient Rampart Equity Derivatives group. Prior to joining Merrill Lynch in 2002, Mr. Ferri was a VicePresident within the Quantitative Development group of mPower Advisors LLC from1999 to 2002. He graduated with a Bachelor of Arts Degree from Loyola Collegein Baltimore, Maryland.

 

29

----

 

As of December 31, 2008, the principals of MLAIhad no investment in the Fund.

 

MLAI acts as the sponsor, general partner or managerto  seven public futures fundswhose units of limited partner or member interests are registered under theSecurities Exchange Act of 1934: ML Apect FuturesAccess LLC, ML Select FuturesI L.P., ML Systematic Momentum FuturesAccess LLC, Systematic MomentumFuturesAccess II LLC, ML Transtrend DTP Enhanced FuturesAccess LLC, MLTrend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAIserves as the sole sponsor, general partner or manager of each of these Funds,the officers and managers of MLAI effectively manage them as officers anddirectors 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.

 

Section 16(a) BeneficialOwnership Reporting Compliance:

 

Notapplicable.

 

Code of Ethics:

 

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

 

NominatingCommittee:

 

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

 

AuditCommittee: Audit Committee Financial Expert:

 

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

 

30

----

 

**Item 11: Executive Compensation**

 

The managers and officers of MLAI are remunerated by Merrill Lynch intheir respective positions. The Fund does not itself have any officers,managers or employees.  The PortfolioFunds pay Brokerage Commissions to an affiliate of MLAI and the Fund paysSponsor Fees to MLAI.  MLAI or itsaffiliates may also receive certain economic benefits from possession of theFund’s and Portfolio Funds’ U.S. dollar assets. The managers and officers receive no “other compensation” from the Fund,and the managers receive 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.

 

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

 

(a)                                  Security Ownership of Certain BeneficialOwners:

 

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

 

(b)                                 Security Ownership of Management:

 

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

 

(c)                                  Changes in Control:

 

None.

 

(d)                                 Securities Authorized of Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

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

 

(a)                                  Transactions between Merrill Lynch and theFund

 

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

 

The Portfolio Funds pay Merrill Lynch substantialBrokerage Commissions and Sponsor Fees as well as bid-ask spreads on forwardcurrency trades.  The Portfolio Fundsalso pay MLPF&S interest on short-term loans extended by MLPF&S tocover losses on foreign currency positions.

 

Within the Merrill Lynch organization, MLAI is the beneficiaryof the revenues received by different Merrill Lynch entities from the Fund andPortfolio Funds.  MLAI controls themanagement of the Fund and serves as its promoter.  Although MLAI has not sold any assets,directly or indirectly, to the Fund, MLAI makes substantial profits from theFund due to the foregoing revenues.

 

No loans have been, are or will beoutstanding between MLAI or any of its principals and the Fund.

 

MLAI pays substantial selling commissions and trailing commissionsto MLPF&S for distributing the Units. MLAI is ultimately paid back for these expenditures from the revenues itreceives from the Fund.

 

31

----

 

(b)                                 Certain Business Relationships:

 

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

 

In 2008, the Fund expensed (i) Sponsor fees of $6,953,728 earnedby MLAI.

 

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

 

(c)                                  Indebtedness of Management:

 

None.

 

(d)                                 Transactions with Promoters:

 

Not applicable.

 

(e)                                  Director Independence

 

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

 

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

 

(a)                                  Audit Fees

 

Aggregate fees billed for professionalservices rendered by Deloitte & Touche LLP in connection with theaudits of the Fund’s financial statements as of and for the year ended December 31,2008 and for the period ended December 31, 2007 were $93,000 and $93,000,respectively.

 

(b)                                 Audit-Related Fees

 

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

 

(c)                                  Tax Fees

 

Aggregate fees billed for professional services rendered by DeloitteTax LLP in connection with the tax compliance, advice and preparation of theFund’s tax returns for the year ended December 31, 2008  and for the period ended December 31,2007 were $65,000 and $80,000, respectively.

 

(d)                                 All Other Fees

 

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

 

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

 

32

----

 

#### **PART IV**

#### ** **

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

 
| ** ** | ** **                                                                                                                                                                                                                                            | **Page:** |
|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|
|       |                                                                                                                                                                                                                                                  |      |
| 1.         | Financial Statements (found in Exhibit 13.01):                                                                                                                                                                                                   |      |
|       |                                                                                                                                                                                                                                                  |      |
|       | Report of Independent Registered Public Accounting Firm                                                                                                                                                                                               | 1         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Statements of Financial Condition as of December 31, 2008 and  2007                                                                                                                                                                              | 2         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Statements  of Operations for the year ended December 31, 2008and for the period April 2, 2007  (commencement of operations) to  December 31, 2007:                                                                                    | 3         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Statement  of Changes in Members’ Capital for the year ended December 31, 2008and for the period  April 2, 2007 (commencement of operations) to December 31, 2007:                                                           | 4         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Financial  Data Highlights for the year ended December 31, 2008and for the period April 2, 2007  (commencement of operations) to  December 31, 2007:                                                                                   | 5         |
|       |                                                                                                                                                                                                                                                  |      |
|       | Notes to Financial Statements                                                                                                                                                                                                                         | 7         |
|       |                                                                                                                                                                                                                                                  |      |
| 2.         | Financial Statement Schedules:                                                                                                                                                                                                                        |      |
|       |                                                                                                                                                                                                                                                  |      |
|       | 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. |      |
|       |                                                                                                                                                                                                                                                  |      |
| 3.         | Exhibits:                                                                                                                                                                                                                                             |      |
|       |                                                                                                                                                                                                                                                  |      |
|       | The following exhibits are incorporated by reference or are filed herewith  to this Annual Report 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 3.01 contained  in the Registration Statement (File No. 0-52505) filed on  December 20, 2007, on Form 10 under the Securities Exchange Act of  1934 (the Registrant’s Registration Statement). |
|                                                                                                                                                                  |       |                                                                                                                                                                                                                                                                     |
| 3.02                           3.02 |       | Limited Liability Company Operating Agreement of ML Systematic  Momentum FuturesAccess LLC.                                                                                                                                                                              |
|                                                                                                                                                                  |       |                                                                                                                                                                                                                                                                     |
| Exhibit 3.02                                                                                                                                                     |       | Is incorporated by reference from Exhibit 3.02 contained in the  Registrant’s Registration Statement                                                                                                                                                           |

 

33

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| 3.03                           10.01 |   | Selling Agreement by and among ML Systematic Momentum FuturesAccess  LLC and Merrill Lynch Alternative Investments LLC  |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                   |   |                                                                                                                    |
| Exhibit 10.01:                                                                                                                                                    |   | Is incorporated hereby by reference from Exhibit 10.01 contained  in the Registrant’s Registration Statement. |
|                                                                                                                                                                   |   |                                                                                                                    |
| 13.01                                                                                                                                                                  |   | 2008 Annual Report and Report of Independent Registered Public  Accounting Firm.                                        |
|                                                                                                                                                                   |   |                                                                                                                    |
| Exhibit 13.01:                                                                                                                                                    |   | Is filed herewith.                                                                                                      |
|                                                                                                                                                                   |   |                                                                                                                    |
| 31.01  and 31.02                                                                                                                                                       |   | Rule 13a-14(a)/15d-14(a) Certifications                                                                       |
|                                                                                                                                                                   |   |                                                                                                                    |
| Exhibit 31.01and 31.02:                                                                                                                                           |   | Are  filed herewith.                                                                                                    |
|                                                                                                                                                                   |   |                                                                                                                    |
| 32.01  and 32.02                                                                                                                                                       |   | Section 1350  Certifications                                                                                       |
|                                                                                                                                                                   |   |                                                                                                                    |
| Exhibit 32.01and 32.02:                                                                                                                                           |   | Are  filed herewith.                                                                                                    |

 

34

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**SIGNATURES**

 

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

 

**ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC**

By:  **MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC,**Manager
| By:                                            | /s/Paul Morton |   |
|------------------------------------------------|----------------|--------|
| Paul Morton                                    |
| Chief Executive Officer, President and Manager |
| (Principal Executive Officer)                  |

 

 

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

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

 

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

 

35

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**MLSYSTEMATIC MOMENTUM FUTURESACCESS LLC**

 

2008FORM 10-K

 

INDEXTO EXHIBITS

 
| ** **                    | ** ** | **Exhibit**                                                                     |
|-------------------------------|------------|---------------------------------------------------------------------------------|
|                          |       |                                                                            |
| Exhibit 13.01            |       | 2008 Annual Report and Report of Independent Registered Public  Accounting Firm |
|                          |       |                                                                            |
| Exhibit 31.01  and 31.02 |       | Rule 13a -  14(a) / 15d - 14(a) Certifications                   |
|                          |       |                                                                            |
| Exhibit 32.01  and 32.02 |       | Sections 1350  Certifications                                                   |

 

36

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