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EX-31.1 - EXHIBIT 31.1 - MLM INDEX FUNDex31_1.htm
EX-32.2 - EXHIBIT 32.2 - MLM INDEX FUNDex32_2.htm
EX-31.2 - EXHIBIT 31.2 - MLM INDEX FUNDex31_2.htm
EX-32.1 - EXHIBIT 32.1 - MLM INDEX FUNDex32_1.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q

x Quarterly report pursuant to Section 13 or 15(d) of the Securities
Exchange Act of 1934


For the quarterly period ended June 30, 2011

or

o Transition report pursuant to Section 13 or 15(d) of the Securities
Exchange Act of 1934

For the transition period from ____________ to _____________


COMMISSION FILE NUMBER 0-49767

MLM INDEX™ FUND
 (Exact name of registrant as specified in its charter)


DELAWARE
 
Unleveraged Series: 22-2897229
   
Leveraged Series: 22-3722683
   
Commodity L/S Unleveraged Series: 20-8806944
   
Commodity L/N Unleveraged Series: 27-1198002
(State or other jurisdiction of incorporation or organization)
 
(IRS Employer Identification Number)


405 South State Street, Newtown, PA
(Address of principal executive offices)
 
 
18940
(Zip Code)
 
 
(267) 759-3500
(Registrant's telephone number including area code)
N/A
(Former name, former address and former fiscal year, if changed since last report)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months, and (2) has been subject to such filing requirements for the past 90 days.

Yes x  No  o
 
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes  o  No  o
 


 
1

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer,  a non-accelerated filer or a smaller reporting company. See definition of “accelerated filer,”  “large accelerated filer,” and “smaller reporting company” “ in Rule 12-b-2 of the Exchange Act. (Check One):
Large Accelerated Filer o  Accelerated Filer o  Non-Accelerated Filer x  Smaller Reporting Company o

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

 
2

 
 
MLM Index™ Fund
Index to FORM 10-Q
June 30, 2011


PART I – FINANCIAL INFORMATION
 
     
Page
Number
Item 1
 
4-10
   
11-17
   
18-24
   
25-31
   
32-38
   
39-49
Item 2
 
51-56
Item 3
 
56-58
Item 4
 
58-59
PART II – OTHER INFORMATION
 
Item 1
 
59
Item 1A
 
59
Item 2
 
59
Item 3
 
59
Item 4
 
59
Item 5
 
59
Item 6
 
60

 
3


Item 1.
Financial Statements.
 
MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION


MLM IndexTM Unleveraged Series

As of June 30, 2011 (Unaudited) and December 31, 2010

ASSETS
 
June 30,
2011
   
December 31,
2010
 
             
Cash and cash equivalents
  $ 34,296,488     $ 45,401,720  
Due from broker
    5,533,812       4,045,381  
Net unrealized gain on open futures contracts, at fair value
    345,875       1,516,918  
Interest receivable
    17       -  
Other assets
    -       440  
                 
Total assets
  $ 40,176,192     $ 50,964,459  
                 
LIABILITIES AND INVESTORS’ INTEREST
               
                 
Liabilities
               
Redemptions payable
  $ 122,859     $ 428,614  
Brokerage commissions payable
    15,816       19,861  
Management fee payable
    19,746       23,873  
Subscriptions received in advance
    225,942       11,622  
Accrued expenses
    11,768       21,900  
                 
Total liabilities
    396,131       505,870  
                 
Investors’ interest
    39,780,061       50,458,589  
                 
Total liabilities and investors’ interest
  $ 40,176,192     $ 50,964,459  
 
See Notes to Unaudited Condensed Financial Statements.

 
4


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS


MLM IndexTM Unleveraged Series

June 30, 2011 (Unaudited)

Description
 
Number of contracts
   
Unrealized gain (loss)
   
Percentage of investors’ interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Financial
    196     $ 259,157       0.65 %
Commodity
    104       16,540       0.04  
      300       275,697       0.69  
                         
Short futures contracts
                       
Commodity
    (76 )     70,178       0.18  
      (76 )     70,178       0.18  
                         
Net unrealized gain on open futures contracts, at fair value
          $ 345,875       0.87 %

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

 
5


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS


MLM IndexTM Unleveraged Series

December 31, 2010

   
Number of
   
Unrealized
   
Percentage of
 
Description
 
contracts
   
(loss)
   
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Financial
    224     $ 283,890       0.56 %
Commodity
    252       1,545,069       3.06  
      476       1,828,959       3.62  
                         
Short futures contracts
                       
Financial
    (99 )     (188,711 )     (0.37 )
Commodity
    (35 )     (123,330 )     (0.24 )
      (134 )     (312,041 )     (0.61 )
                         
Net unrealized gain on open futures contracts, at fair value
          $ 1,516,918       3.01 %

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

 
6


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS


MLM IndexTM Unleveraged Series

For the three and six months ended June 30, 2011 and 2010 (Unaudited)

   
For the three
months ended
June 30,
2011
   
For the three
months ended
June 30,
2010
   
For the six
months ended
June 30,
2011
   
For the six
months ended
June 30,
2010
 
Investment income
                       
Interest
  $ 4,535     $ 7,803     $ 18,616     $ 15,411  
                                 
Expenses
                               
Brokerage commissions
    49,826       55,843       115,620       117,362  
Management fee
    58,552       62,443       136,425       131,632  
Operating expenses
    44,244       40,943       105,116       107,588  
                                 
Total expenses
    152,622       159,229       357,161       356,582  
                                 
Net investment loss
    (148,087 )     (151,426 )     (338,545 )     (341,171 )
                                 
Realized and unrealized gain (loss) on investments
                               
Net realized gain (loss) on investments
    563,106       735,728       1,504,806       (54,760 )
Net change in unrealized appreciation and depreciation on investments
    (43,346 )     (949,874 )     (1,177,845 )     264,596  
                                 
Net realized and unrealized gain on investments
    519,760       (214,146 )     326,961       209,836  
                                 
Net income (loss)
  $ 371,673     $ (365,572 )   $ (11,584 )   $ (131,335 )
 
See Notes to Unaudited Condensed Financial Statements.

 
7


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST


MLM IndexTM Unleveraged Series

For the six months ended June 30, 2011 (Unaudited)

   
Unleveraged Series
 
                               
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Total
Unleveraged
Series
 
Investors’ interest at December 31, 2010
  $ 3,830,270     $ 6,168,071     $ 1,281     $ 40,458,967     $ 50,458,589  
Subscriptions
    -       32,662       -       15,455,000       15,487,662  
Redemptions
    (65,302 )     (971,168 )     -       (118,764 )     (1,155,234 )
Transfers
    22,864       (2,414 )     -       (25,019,822 )     (24,999,372 )
Net income (loss)
    (26,150 )     (12,123 )     (3 )     26,692       (11,584 )
                                         
Investors’ interest at June 30, 2011
  $ 3,761,682     $ 5,215,028     $ 1,278     $ 30,802,073     $ 39,780,061  
                                         
Shares at December 31, 2010
    33,625       48,074       11       349,853          
Subscriptions
    -       255       -       133,755          
Redemptions
    (580 )     (7,593 )     -       (1,032 )        
Transfers
    202       (19 )     -       (216,358 )        
                                         
Shares at June 30, 2011
    33,247       40,717       11       266,218          
Net asset value per share:
                                       
June 30, 2011
  $ 113.14     $ 128.08     $ 112.44     $ 115.70          
 
See Notes to Unaudited Condensed Financial Statements.

 
8


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST


MLM IndexTM Unleveraged Series

For the six months ended June 30, 2010 (Unaudited)
 
       
                               
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Total
Unleveraged
Series
 
Investors’ interest at December 31, 2009
  $ 4,636,414     $ 9,124,592     $ 1,262     $ 32,673,423     $ 46,435,691  
Subscriptions
    -       462,701       -       1,275,000       1,737,701  
Redemptions
    (519,020 )     (1,652,279 )     -       (7,330,952 )     (9,502,251 )
Transfers
    5,000       8,116       -       157,943       171,059  
Net (loss)
    (44,497 )     (38,065 )     (7 )     (48,766 )     (131,335 )
                                         
Investors’ interest at June 30, 2010
  $ 4,077,897     $ 7,905,065     $ 1,255     $ 26,726,648     $ 38,710,865  
                                         
Shares at December 31, 2009
    40,930       72,234       11       288,259          
Subscriptions
    -       3,667       -       11,206          
Redemptions
    (4,608 )     (13,064 )     -       (64,395 )        
Transfers
    44       65       -       1,401          
                                         
Shares at June 30, 2010
    36,366       62,902       11       236,471          
Net asset value per share:
                                       
June 30, 2010
  $ 112.14     $ 125.67     $ 110.39     $ 113.02          
 
See Notes to Unaudited Condensed Financial Statements.

 
9

 
MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS


MLM IndexTM Unleveraged Series

For the six months ended June 30, 2011 and 2010
(Unaudited)

   
June 30,
2011
   
June 30,
2010
 
             
Cash flows from operating activities
           
Net loss
  $ (11,584 )   $ (131,335 )
Adjustments to reconcile net  loss to net cash and cash equivalents used in operating activities
               
Net change in operating assets and liabilities
               
Due from broker
    (1,488,431 )     31,887  
Net unrealized (gain) loss on open futures contracts
    1,171,043       (265,257 )
Interest receivable
    (17 )     3,638  
Other assets
    440       (3,466 )
Brokerage commissions payable
    (4,045 )     (7,896 )
Management fee payable
    (4,127 )     (12,788 )
Accrued expenses
    (10,132 )     (32,937 )
                 
Net cash and cash equivalents used in operating activities
    (346,853 )     (418,154 )
                 
Cash flows from financing activities
               
Subscriptions received, net of selling commissions
    15,701,982       1,908,760  
Redemptions paid
    (26,460,361 )     (30,932,779 )
                 
Net cash and cash equivalents used in financing activities
    (10,758,379 )     (29,024,019 )
                 
Net decrease in cash and cash equivalents
    (11,105,232 )     (29,442,173 )
                 
Cash and cash equivalents at beginning of period
    45,401,720       56,122,787  
                 
Cash and cash equivalents at end of period
  $ 34,296,488     $ 26,680,614  
Supplemental disclosure of non-cash financing activities:
               
Redemptions payable
  $ 122,859     $ 1,719,048  
Subscriptions recorded which were received in advance
  $ 11,622     $ -  
 
See Notes to Unaudited Condensed Financial Statements.

 
10


MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION


MLM IndexTM Leveraged Series

As of June 30, 2011 (Unaudited) and December 31, 2010
 
ASSETS
 
June 30,
2011
   
December 31,
2010
 
             
Cash and cash equivalents
  $ 21,791,066     $ 24,445,088  
Due from broker
    12,247,346       9,246,484  
Net unrealized gain on open futures contracts, at fair value
    859,468       3,156,243  
Interest receivable
    1       -  
                 
Total assets
  $ 34,897,881     $ 36,847,815  
                 
LIABILITIES AND INVESTORS’ INTEREST
               
                 
Liabilities
               
Redemptions payable
  $ 1,145,790     $ 714,354  
Brokerage commissions payable
    31,661       33,114  
Management fee payable
    40,690       40,502  
Subscriptions received in advance
    -       21,106  
Accrued expenses
    8,930       13,419  
                 
Total liabilities
    1,227,071       822,495  
                 
Investors’ interest
    33,670,810       36,025,320  
                 
Total liabilities and investors’ interest
  $ 34,897,881     $ 36,847,815  
 
See Notes to Unaudited Condensed Financial Statements.

 
11


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS


MLM IndexTM Leveraged Series

June 30, 2011 (Unaudited)
 
   
Number of
   
Unrealized gain
   
Percentage of investors’
 
Description
 
contracts
   
(loss)
   
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Financial
    496     $ 650,229       1.93 %
Commodity
    261       29,275       0.09  
      757       679,504       2.02  
                         
Short futures contracts
                       
Commodity
    (189 )     179,964       0.53  
      (189 )     179,964       0.53  
                         
Net unrealized gain on open futures contracts, at fair value
          $ 859,468       2.55 %

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

 
12


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS


MLM IndexTM Leveraged Series

December 31, 2010

   
Number of
   
Unrealized gain
   
Percentage of investors’
 
Description
 
contracts
   
(loss)
   
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Financial
    372     $ 595,510       1.65 %
Commodity
    416       3,183,564       8.84  
      788       3,779,074       10.49  
                         
Short futures contracts
                       
Financial
    (167 )     (367,351 )     (1.02 )
Commodity
    (57 )     (255,480 )     (0.71 )
      (224 )     (622,831 )     (1.73 )
                         
Net unrealized gain on open futures contracts, at fair value
          $ 3,156,243       8.76 %

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

 
13


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS


MLM IndexTM Leveraged Series

For the three and six months ended June 30, 2011 and 2010 (Unaudited)

   
For the three
months ended
June 30,
2011
   
For the three
months ended
June 30,
2010
   
For the six
months ended
June 30,
2011
   
For the six
months ended
June 30,
2010
 
Investment income
                       
Interest
  $ 840     $ 4,411     $ 7,474     $ 8,539  
                                 
Expenses
                               
Brokerage commissions
    103,271       120,292       210,467       248,189  
Management fee
    123,034       140,740       250,414       293,702  
Operating expenses
    39,398       42,349       76,124       94,546  
                                 
Total expenses
    265,703       303,381       537,005       636,437  
                                 
Net investment loss
    (264,863 )     (298,970 )     (529,531 )     (627,898 )
                                 
Realized and unrealized gain (loss) on investments
                               
Net realized gain (loss) on investments
    1,564,876       2,070,226       3,009,559       (478,837 )
Net change in unrealized appreciation  and depreciation on investments
    (166,455 )     (2,688,841 )     (2,282,387 )     808,906  
                                 
Net realized and unrealized gain (loss) on investments
    1,398,421       (618,615 )     727,172       330,069  
                                 
Net income (loss)
  $ 1,133,558     $ (917,585 )   $ 197,641     $ (297,829 )
 
See Notes to Unaudited Condensed Financial Statements.

 
14

 
MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST


MLM IndexTM Leveraged Series

For the six months ended June 30, 2011 (Unaudited)

                               
                               
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Total
Leveraged
Series
 
Investors’ interest at December 31, 2010
  $ 2,704,543     $ 9,562,485     $ 1,238     $ 23,757,054     $ 36,025,320  
Subscriptions
    -       31,588       -       50,000       81,588  
Redemptions
    (110,079 )     (834,794 )     -       (1,668,416 )     (2,613,289 )
Transfers
    (22,864 )     2,414       -       -       (20,450 )
Net income (loss)
    (12,967 )     29,019       5       181,584       197,641  
                                         
Investors’ interest at June 30, 2011
  $ 2,558,633     $ 8,790,712     $ 1,243     $ 22,320,222     $ 33,670,810  
                                         
Shares at December 31, 2010
    28,468       85,250       14       206,739          
Subscriptions
    -       283       -       430          
Redemptions
    (1,183 )     (7,453 )     -       (14,420 )        
Transfers
    (243 )     21       -       -          
                                         
Shares at June 30, 2011
    27,042       78,101       14       192,749          
Net asset value per share:
                                       
June 30, 2011
  $ 94.62     $ 112.56     $ 92.11     $ 115.80          

See Notes to Unaudited Condensed Financial Statements.

 
15


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST


MLM IndexTM Leveraged Series

For the six months ended June 30, 2010 (Unaudited)

                               
                               
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Total
Leveraged
Series
 
Investors’ interest at December 31, 2009
  $ 4,638,578     $ 11,469,894     $ 1,164     $ 30,186,250     $ 46,295,886  
Subscriptions
    -       327,957       -       50,000       377,957  
Redemptions
    (1,589,246 )     (870,249 )     -       (6,796,300 )     (9,255,795 )
Transfers
    (5,000 )     (8,116 )     -       (157,943 )     (171,059 )
Net loss
    (69,309 )     (78,104 )     (8 )     (150,408 )     (297,829 )
                                         
Investors’ interest at June 30, 2010
  $ 2,975,023     $ 10,841,382     $ 1,156     $ 23,131,599     $ 36,949,160  
                                         
Shares at December 31, 2009
    51,127       108,685       14       281,580          
Subscriptions
    -       3,095       -       474          
Redemptions
    (17,779 )     (8,179 )     -       (64,042 )        
Transfers
    (54 )     (78 )     -       (1,496 )        
                                         
Shares at June 30, 2010
    33,294       103,523       14       216,516          
Net asset value per share:
                                       
June 30, 2010
  $ 89.36     $ 104.72     $ 85.62     $ 106.84          

See Notes to Unaudited Condensed Financial Statements.

 
16


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS


MLM IndexTM Leveraged Series

For the six months ended June 30, 2011 and 2010
 (Unaudited)

   
June 30,
2011
   
June 30,
2010
 
             
Cash flows from operating activities
           
Net income (loss)
  $ 197,641     $ (297,829 )
Adjustments to reconcile net income (loss) to net cash and cash equivalents used in operating activities
               
Net change in operating assets and liabilities
               
Due from broker
    (3,000,862 )     499,236  
Net unrealized (gain) loss on open futures contracts
    2,296,775       (816,071 )
Interest receivable
    (1 )     1,773  
Brokerage commissions payable
    (1,453 )     (5,026 )
Management fee payable
    188       (13,484 )
Accrued expenses
    (4,489 )     (38,687 )
                 
Net cash and cash equivalents used in operating activities
    (512,201 )     (670,088 )
                 
Cash flows from financing activities
               
Subscriptions received, net of selling commissions
    60,482       377,957  
Redemptions paid
    (2,202,303 )     (9,692,948 )
                 
Net cash and cash equivalents used in financing activities
    (2,141,821 )     (9,314,991 )
                 
Net decrease in cash and cash equivalents
    (2,654,022 )     (9,985,079 )
                 
Cash and cash equivalents at beginning of period
    24,445,088       27,107,971  
                 
Cash and cash equivalents at end of period
  $ 21,791,066     $ 17,122,892  
Supplemental disclosure of non-cash financing activities:
               
Redemptions payable
  $ 1,145,790     $ 418,700  
Subscriptions recorded which were received in advance
  $ 21,106     $ -  

See Notes to Unaudited Condensed Financial Statements.

 
17


MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION


MLM Commodity L/N Index Unleveraged Series

As of June 30, 2011 (Unaudited) and December 31, 2010

ASSETS
 
June 30,
2011
   
December 31,
2010
 
             
Cash and cash equivalents
  $ 71,427,312     $ 39,805,018  
Due from broker
    7,530,944       3,678,857  
Net unrealized gain on open futures contracts, at fair value
    101,113       5,506,195  
Interest receivable
    349       1  
Other assets
    -       18  
                 
Total assets
  $ 79,059,718     $ 48,990,089  
                 
LIABILITIES AND INVESTORS’ INTEREST
               
                 
Liabilities
               
Brokerage commissions payable
  $ 21,961     $ 14,711  
Management fee payable
    33,445       18,588  
Accrued expenses
    10,733       10,200  
                 
Total liabilities
    66,139       43,499  
                 
Investors’ interest
    78,993,579       48,946,590  
                 
Total liabilities and investors’ interest
  $ 79,059,718     $ 48,990,089  

See Notes to Unaudited Condensed Financial Statements.

 
18


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS


MLM Commodity L/N Index Unleveraged Series

June 30, 2011 (Unaudited)

   
Number of
   
Unrealized gain
   
Percentage of investors’
 
Description
 
contracts
   
(loss)
   
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Commodity
    814     $ 101,113       0.13 %
                         
Net unrealized gain on open futures contracts, at fair value
          $ 101,113       0.13 %

* Derivatives are not designated as hedging instruments.
 
See Notes to Unaudited Condensed Financial Statements.

 
19


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS


MLM Commodity L/N Index Unleveraged Series

December 31, 2010

   
Number of
   
Unrealized gain
   
Percentage of investors’
 
Description
 
contracts
   
(loss)
   
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Commodity
    753     $ 5,506,195       11.25 %
                         
Net unrealized gain on open futures contracts, at fair value
          $ 5,506,195       11.25 %

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

 
20


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS


MLM Commodity L/N Index Unleveraged Series

For the three and six months ended June 30, 2011 and 2010 (Unaudited)

   
For the three
months ended
June 30,
2011
   
For the three
months ended
June 30,
2010
   
For the six
months ended
June 30,
2011
   
For the six
months ended
June 30,
2010
 
                   
Investment income
                 
Interest
  $ 7,726     $ 30     $ 18,559     $ 31  
                                 
Expenses
                               
Brokerage commissions
    81,710       16,729       132,755       25,100  
Management fee
    102,136       20,911       165,942       31,374  
Operating expenses
    82,096       15,075       137,151       22,731  
Total expenses
    265,942       52,715       435,848       79,205  
                                 
Net investment loss
    (258,216 )     (52,685 )     (417,289 )     (79,174 )
                                 
Realized and unrealized gain (loss) on investments
                               
Net realized gain (loss) on investments
    (1,562,868 )     (954,123 )     3,870,898       (1,245,638 )
Net change in unrealized appreciation and depreciation on investments
    (1,288,949 )     (289,974 )     (5,406,620 )     (223,344 )
Net realized and unrealized loss on investments
    (2,851,817 )     (1,244,097 )     (1,535,722 )     (1,468,982 )
                                 
Net loss
  $ (3,110,033 )   $ (1,296,782 )   $ (1,953,011 )   $ (1,548,156 )

See Notes to Unaudited Condensed Financial Statements.

 
21


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST


MLM Commodity L/N Index Unleveraged Series

For the six months ended June 30, 2011 (Unaudited)

   
 
Total
Commodity L/N
Unleveraged Series
 
Investors’ interest at December 31, 2010
  $ 48,946,590  
Subscriptions
    32,000,000  
Net loss
    (1,953,011 )
         
Investors’ interest at June 30, 2011
  $ 78,993,579  
         
Shares at December 31, 2010
    436,372  
Subscriptions
    278,782  
         
Shares at June 30, 2011
    715,154  
Net asset value per share:
       
June 30, 2011
  $ 110.46  

See Notes to Unaudited Condensed Financial Statements.

 
22


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/N Index Unleveraged Series

For the six months ended June 30, 2010 (Unaudited)

   
 
Total
Commodity L/N
Unleveraged Series
 
Investors’ interest at December 31, 2009
  $ 8,601,217  
Subscriptions
    16,000,000  
Net loss
    (1,548,156 )
         
Investors’ interest at June 30, 2010
  $ 23,053,061  
         
Shares at December 31, 2009
    84,322  
Subscriptions
    163,480  
         
Shares at June 30, 2010
    247,802  
Net asset value per share:
       
June 30, 2010
  $ 93.03  

See Notes to Unaudited Condensed Financial Statements.

 
23


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS


MLM Commodity L/N Index Unleveraged Series

For the six months ended June 30, 2011 and 2010
 (Unaudited)

   
June 30,
2011
   
June 30,
2010
 
             
Cash flows from operating activities
           
Net loss
  $ (1,953,011 )   $ (1,548,156 )
Adjustments to reconcile net loss to net cash and cash equivalents used in operating activities
               
Net change in operating assets and liabilities
               
Due from broker
    (3,852,087 )     (301,919 )
Net unrealized loss on open futures contracts
    5,405,082       223,224  
Interest receivable
    (348 )     (29 )
Other assets
    18       -  
Brokerage commissions payable
    7,250       5,550  
Management fee payable
    14,857       7,666  
Accrued expenses
    533       120  
                 
Net cash and cash equivalents used in operating activities
    (377,706 )     (1,613,544 )
                 
Cash flows from financing activities
               
Subscriptions received, net of selling commissions
    32,000,000       16,000,000  
                 
Net cash and cash equivalents provided by financing activities
    32,000,000       16,000,000  
                 
Net increase  in cash and cash equivalents
    31,622,294       14,386,456  
                 
Cash and cash equivalents at beginning of period
    39,805,018       7,999,557  
                 
Cash and cash equivalents at end of period
  $ 71,427,312     $ 22,386,013  

See Notes to Unaudited Condensed Financial Statements.

 
24


MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION


MLM Commodity L/S Index Unleveraged Series

As of June 30, 2011 (Unaudited) and December 31, 2010

ASSETS
 
June 30,
2011
   
December 31,
2010
 
             
Cash and cash equivalents
  $ 38,827,850     $ 10,576,394  
Due from broker
    4,166,340       1,822,731  
Net unrealized gain on open futures contracts, at fair value
    323,456       1,526,224  
Interest receivable
    237       -  
Other assets
    -       39  
                 
Total assets
  $ 43,317,883     $ 13,925,388  
                 
LIABILITIES AND INVESTORS’ INTEREST
               
                 
Liabilities
               
Brokerage commissions payable
  $ 11,073     $ 4,198  
Management fee payable
    17,898       5,306  
Accrued expenses
    4,043       3,600  
                 
Total liabilities
    33,014       13,104  
                 
Investors’ interest
    43,284,869       13,912,284  
                 
Total liabilities and investors’ interest
  $ 43,317,883     $ 13,925,388  

See Notes to Unaudited Condensed Financial Statements.

 
25


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS


MLM Commodity L/S Index Unleveraged Series

June 30, 2011 (Unaudited)

   
Number of
   
Unrealized gain
   
Percentage of investors’
 
Description
 
contracts
   
(loss)
   
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Commodity
    442     $ 4,426       0.01 %
                         
Short futures contracts
                       
Commodity
    (324 )     319,030       0.74  
                         
Net unrealized gain on open futures contracts, at fair value
          $ 323,456       0.75 %

* Derivatives are not designated as hedging instruments.
 
See Notes to Unaudited Condensed Financial Statements.

 
26


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

 
MLM Commodity L/S Index Unleveraged Series

December 31, 2010

   
Number of
   
Unrealized gain
   
Percentage of investors’
 
Description
 
contracts
   
(loss)
   
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Commodity
    216     $ 1,658,684       11.92  
                         
Short futures contracts
                       
Commodity
    (30 )     (132,460 )     (0.95 )
                         
Net unrealized gain on open futures contracts, at fair value
          $ 1,526,224       0.25 %

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

 
27


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS


MLM Commodity L/S Index Unleveraged Series

For the three and six months ended June 30, 2011 and 2010 (Unaudited)

   
For the three
months ended
June 30,
2011
   
For the three
months ended
June 30,
2010
   
For the six
months ended
June 30,
2011
   
For the six
months ended
June 30,
2010
 
Investment income
                       
Interest
  $ 2,857     $ 15     $ 6,549     $ 15  
                                 
Expenses
                               
Brokerage commissions
    40,115       13,517       62,590       16,714  
Management fee
    50,145       16,896       78,237       20,892  
Operating expenses
    22,709       12,249       46,295       15,364  
Total expenses
    112,969       42,662       187,122       52,970  
                                 
Net investment loss
    (110,112 )     (42,647 )     (180,573 )     (52,955 )
                                 
Realized and unrealized gain (loss) on investments
                               
Net realized gain (loss) on investments
    (484,831 )     (720,626 )     736,922       (761,608 )
Net change in unrealized appreciation  and depreciation on investments
    233,289       (396,502 )     (1,203,586 )     (226,119 )
Net realized and unrealized loss on investments
    (251,542 )     (1,117,128 )     (466,664 )     (987,727 )
                                 
Net loss
  $ (361,654 )   $ (1,159,775 )   $ (647,237 )   $ (1,040,682 )

See Notes to Unaudited Condensed Financial Statements.

 
28


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST


MLM Commodity L/S Index Unleveraged Series

For the six months ended June 30, 2011 (Unaudited)

   
 
Total
Commodity L/S
Unleveraged Series
 
Investors’ interest at December 31, 2010
  $ 13,912,284  
Subscriptions
    5,000,000  
Transfers
    25,019,822  
Net loss
    (647,237 )
         
Investors’ interest at June 30, 2011
  $ 43,284,869  
         
Shares at December 31, 2010
    123,631  
Subscriptions
    44,805  
Transfers
    216,479  
         
Shares at June 30, 2011
    384,915  
Net asset value per share:
       
June 30, 2011
  $ 112.45  

See Notes to Unaudited Condensed Financial Statements.

 
29


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST


MLM Commodity L/S Index Unleveraged Series

For the six months ended June 30, 2010 (Unaudited)

   
 
Total
Commodity L/S
Unleveraged Series
 
Investors’ interest at December 31, 2009
  $ 3,246,160  
Subscriptions
    10,500,000  
Net loss
    (1,040,682 )
         
Investors’ interest at June 30, 2010
  $ 12,705,478  
         
Shares at December 31, 2009
    30,009  
Subscriptions
    93,622  
         
Shares at June 30, 2010
    123,631  
Net asset value per share:
       
June 30, 2010
  $ 102.77  

See Notes to Unaudited Condensed Financial Statements.

 
30


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Commodity L/S Index Unleveraged Series

For the six months ended June 30, 2011 and 2010
(Unaudited)

   
June 30,
2011
   
June 30,
2010
 
             
Cash flows from operating activities
           
Net loss
  $ (647,237 )   $ (1,040,682 )
Adjustments to reconcile net loss to net cash and cash equivalents used in operating activities
               
Net change in operating assets and liabilities
               
Due from broker
    (2,343,609 )     767,154  
Net unrealized loss on open futures contracts
    1,202,768       224,984  
Interest receivable
    (237 )     (14 )
Other assets
    39       -  
Brokerage commissions payable
    6,875       2,421  
Management fee payable
    12,592       4,202  
Accrued expenses
    443       (387 )
                 
Net cash and cash equivalents used in operating activities
    (1,768,366 )     (42,322 )
                 
Cash flows from financing activities
               
Subscriptions received, net of selling commissions
    30,019,822       10,500,000  
                 
Net cash and cash equivalents provided by financing activities
    30,019,822       10,500,000  
                 
Net increase in cash and cash equivalents
    28,251,456       10,457,678  
                 
Cash and cash equivalents at beginning of period
    10,576,394       186,896  
                 
Cash and cash equivalents at end of period
  $ 38,827,850     $ 10,644,574  

See Notes to Unaudited Condensed Financial Statements.

 
31


MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

Trust Total

As of June 30, 2011 (Unaudited) and December 31, 2010

ASSETS
 
June 30,
2011
   
December 31,
2010
 
             
Cash and cash equivalents
  $ 166,342,716     $ 120,228,220  
Due from broker
    29,478,442       18,793,453  
Net unrealized gain on open futures contracts, at fair value
    1,629,912       11,705,580  
Interest receivable
    604       1  
Other assets
    -       497  
                 
Total assets
  $ 197,451,674     $ 150,727,751  
                 
LIABILITIES AND INVESTORS’ INTEREST
               
                 
Liabilities
               
Redemptions payable
  $ 1,268,649     $ 1,142,968  
Brokerage commissions payable
    80,511       71,884  
Management fee payable
    111,779       88,269  
Subscriptions received in advance
    225,942       32,728  
Accrued expenses
    35,474       49,119  
                 
Total liabilities
    1,722,355       1,384,968  
                 
Investors’ interest
    195,729,319       149,342,783  
                 
Total liabilities and investors’ interest
  $ 197,451,674     $ 150,727,751  

See Notes to Unaudited Condensed Financial Statements.

 
32


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

June 30, 2011 (Unaudited)

Description
 
Number of
contracts
   
Unrealized
gain
(loss)
   
Percentage of
investors’
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Financial
    692     $ 909,386       0.46 %
Commodity
    1,621       151,354       0.08  
      2,313       1,060,740       0.54  
                         
Short futures contracts
                       
Commodity
    (589 )     569,172       0.29  
      (589 )     569,172       0.29  
                         
Net unrealized gain on open futures contracts, at fair value
          $ 1,629,912       0.83 %

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

 
33


MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

December 31, 2010

Description
 
Number of
contracts
   
Unrealized
gain
(loss)
   
Percentage of
investors’
interest
 
                   
Futures*
                 
                   
Long futures contracts
                 
Financial
    596     $ 879,400       0.59 %
Commodity
    1,637       11,893,512       7.96  
      2,233       12,772,912       8.55  
                         
Short futures contracts
                       
Financial
    (266 )     (556,062 )     (0.37 )
Commodity
    (123 )     (511,270 )     (0.34 )
      (389 )     (1,067,332 )     (0.71 )
                         
Net unrealized gain on open futures contracts, at fair value
          $ 11,705,580       7.84 %

* Derivatives are not designated as hedging instruments.
 
See Notes to Unaudited Condensed Financial Statements.

 
34


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

Trust Total

For the three and six months ended June 30, 2011 and 2010 (Unaudited)

   
For the three
months ended
June 30,
2011
   
For the three
months ended
June 30,
2010
   
For the six
months ended
June 30,
2011
   
For the six
months ended
June 30,
2010
 
Investment income
                       
Interest
  $ 15,958     $ 12,259     $ 51,198     $ 23,996  
                                 
Expenses
                               
Brokerage commissions
    274,922       206,381       521,432       407,365  
Management fee
    333,867       240,990       631,018       477,600  
Operating expenses
    188,447       110,616       364,686       240,229  
Total expenses
    797,236       557,987       1,517,136       1,125,194  
                                 
Net investment loss
    (781,278 )     (545,728 )     (1,465,938 )     (1,101,198 )
                                 
Realized and unrealized gain (loss) on investments
                               
Net realized gain (loss) on investments
    80,283       1,131,205       9,122,185       (2,540,843 )
Net change in unrealized appreciation  and depreciation on investments
    (1,265,461 )     (4,325,191 )     (10,070,438 )     624,039  
                                 
Net realized and unrealized loss on investments
    (1,185,178 )     (3,193,986 )     (948,253 )     (1,916,804 )
                                 
Net loss
  $ (1,966,456 )   $ (3,739,714 )   $ (2,414,191 )   $ (3,018,002 )

See Notes to Unaudited Condensed Financial Statements.

 
35


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

Trust Total

For the six months ended June 30, 2011 (Unaudited)

   
 
Total
investor interest
($100 par value per share)
 
Investors’ interest at December 31, 2010
  $ 149,342,783  
Subscriptions
    52,569,250  
Redemptions
    (3,768,523 )
Net loss
    (2,414,191 )
Investors’ interest at June 30, 2011
  $ 195,729,319  
 
See Notes to Unaudited Condensed Financial Statements.

 
36


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

Trust Total

For the six months ended June 30, 2010 (Unaudited)

   
 
Total
investor interest
($100 par value per share)
 
Investors’ interest at December 31, 2009
  $ 104,578,954  
Subscriptions
    28,615,658  
Redemptions
    (18,758,046 )
Net loss
    (3,018,002 )
Investors’ interest at June 30, 2010
  $ 111,418,564  

See Notes to Unaudited Condensed Financial Statements.

 
37


MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

Trust Total

For the six months ended June 30, 2011 and 2010
(Unaudited)

   
June 30,
2011
   
June 30,
2010
 
             
Cash flows from operating activities
           
Net loss
  $ (2,414,191 )   $ (3,018,002 )
Adjustments to reconcile net loss to net cash and cash equivalents used in operating activities
               
Net change in operating assets and liabilities
               
Due from broker
    (10,684,989 )     996,358  
Net unrealized (gain) loss on open futures contracts
    10,075,668       (633,120 )
Interest receivable
    (603 )     5,368  
Other assets
    497       (3,466 )
Brokerage commissions payable
    8,627       (4,951 )
Management fee payable
    23,510       (14,404 )
Accrued expenses
    (13,645 )     (71,891 )
                 
Net cash and cash equivalents used in operating activities
    (3,005,126 )     (2,744,108 )
                 
Cash flows from financing activities
               
Subscriptions received, net of selling commissions
    52,762,464       28,615,658  
Redemptions paid
    (3,642,842 )     (40,454,668 )
                 
Net cash and cash equivalents provided by (used in) financing activities
    49,119,622       (11,839,010 )
                 
Net increase (decrease) in cash and cash equivalents
    46,114,496       (14,583,118 )
                 
Cash and cash equivalents at beginning of period
    120,228,220       91,417,211  
                 
Cash and cash equivalents at end of period
  $ 166,342,716     $ 76,834,093  
Supplemental disclosure of non-cash financing activities:
               
Redemptions payable
  $ 1,268,649     $ 2,137,748  
Subscriptions recorded which were received in advance
  $ 32,728     $ -  


See Notes to Unaudited Condensed Financial Statements.

 
38


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements
June 30, 2011

The following discussion of the notes to financial statements is applicable to both the MLM Index Fund and each of its Series (the MLM Index Unleveraged Series, the MLM Index Leveraged Series, the MLM Commodity L/N Index Unleveraged Series and the MLM Commodity L/S Index Unleveraged Series).

1. Organization

MLM Index™ Fund was formed under the Business Trust Statute of the State of Delaware as a business trust in December 1997 and commenced operations on January 4, 1999.  The  MLM Index™ Fund was organized for the primary purpose of seeking capital appreciation through the speculative trading of a diversified portfolio of futures contracts using the MLM Index™ Trading Program, which is based upon the MLM Index™ (the “Index”). The Index is a benchmark of the hypothetical returns available to a futures investor. The Index is comprised of a diverse portfolio of futures markets, including both financial and tangible markets.

At June 30, 2011, the MLM Index™ Fund is comprised of four series: the MLM Index™ Unleveraged Series (“Unleveraged Series”), the MLM Index™  Leveraged Series (“Leveraged Series”), the MLM Commodity L/N  Index Unleveraged Series (“Commodity L/N” or “Commodity L/N Unleveraged Series”) and the MLM Commodity L/S Index Unleveraged Series (“Commodity L/S” or “Commodity L/S Unleveraged Series”).  MLM Index™ Fund and its series are collectively referred to herein as the “Trust”.

Prior to January 3, 2011, Mount Lucas Management Corporation was the investment manager of the Trust and each Series and was responsible for the allocation of the Trust’s interest among a mix of trading strategies. Mount Lucas Management Corporation underwent a reorganization effective January 3, 2011, as a result of which Mount Lucas Management LP (the “Manager”) is now the successor Manager for the Trust and its Series.  The terms of the reorganization are set forth in the Form 8-K filed on January 25, 2011 (incorporated by reference). The Manager is a registered investment advisor under the Investment Advisers Act of 1940, is registered as a commodity pool operator and a commodity trading advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association.

2. Summary of Significant Accounting Policies

Basis of Presentation

The Trust is comprised of four series: the Unleveraged Series, which attempts to replicate the Index without leverage, the Leveraged Series, which attempts to replicate the Index at three times leverage, the MLM Commodity L/S Unleveraged Series which attempts to replicate the MLM Commodity Long/Short Index without leverage and the Commodity L/N Unleveraged Series which attempts to replicate the MLM Commodity Long/Neutral Index without leverage (collectively, the “Series”).  The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP).  The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with US GAAP have been omitted.  In the opinion of the Manager, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial positions of the Trust and each Series as of June 30, 2011 and the results of its operations for the three months and six months ended June 30, 2011 and 2010.  The operating results for these interim periods may not be indicative of the results expected for a full year.  These financial statements should be read in conjunction with the audited financial statements and accompanying notes included in the Annual Report on Form 10-K for the year ended December 31, 2010.

 
39


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

2. Summary of Significant Accounting Policies (continued)

Use of Estimates

The preparation of the accompanying financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.

Cash and Cash Equivalents

Cash and cash equivalents consist of highly liquid financial instruments with maturities of three months or less, when purchased.  Certain of each Series' cash at broker is restricted to meet margin requirements (see Note 5).

Due from Brokers

Each Series' trading activities utilize one broker located in the United States. Due from broker represents cash balances held, and amounts receivable or payable for transactions not settled at June 30, 2011 and December 31, 2010.

Fair Value Measurements

Each Series has categorized its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument.

Financial assets and liabilities recorded on the statement of assets and liabilities are categorized based on the inputs to the valuation techniques as follows:
 
Level 1:

Financial assets and liabilities whose values are based on unadjusted quoted prices for identical assets or liabilities in an active market (examples include active exchange-traded equity securities, listed derivatives, most U.S. government and agency securities, and certain other sovereign government obligations).

Level 2:

Financial assets and liabilities whose values are based on the following:
 
a)
Quoted prices for similar assets or liabilities in active markets (for example, restricted stock);
 
b)
Quoted prices for identical or similar assets or liabilities in non-active markets (examples include corporate and municipal bonds, which trade infrequently);
 
c)
Pricing models whose inputs are observable for substantially the full term of the asset or liability (examples include most over-the-counter derivatives, including interest rate and currency swaps); and
 
d)
Pricing models whose inputs are derived principally from or corroborated by observable market data through correlation or other means for substantially the full term of the asset or liability (for example, certain mortgage loans).

 
40


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

2. Summary of Significant Accounting Policies (continued)

Fair Value Measurements (continued)

Level 3:
 
Financial assets and liabilities whose values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management's own assumptions about the assumptions a market participant would use in pricing the asset or liability (examples include private equity investments, certain commercial mortgage whole loans and long-dated or complex derivatives, including certain foreign exchange options and long-dated options on gas and power).

As required by US GAAP, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. As of June 30, 2011 and December 31, 2010, all of the derivative instruments held by the Series are fair valued based on quoted prices in active markets (Level 1).

Each Series' trading positions are valued at fair value and cash equivalents are carried at their net asset value per share including accrued interest, as applicable. All positions including the net unrealized appreciation or depreciation are included under the caption “net unrealized gain/(loss) on open futures contracts” on the statements of financial condition. Fair value is principally based on listed market prices or broker or dealer price quotations. The resulting change in unrealized profit or loss is reflected in net gain (loss) on change in unrealized appreciation (depreciation) on investments on the statements of operations.

Investment Transactions and Investment Income

All securities transactions are recorded on a trade-date basis. Realized gain and loss are recorded using specific identification method. Interest income is recorded using the accrual basis of accounting.

Income Taxes

All of the Series of the Trust are classified for Federal income tax purposes as separate partnerships. Investors in each Series will reflect their proportionate share of realized profit or loss on their separate tax returns. Accordingly, no provisions for income taxes are required for the Trust or any Series.

All of the Series of the Trust recognized tax benefits or expenses of uncertain tax positions in the year; such determination is made when the positions were “more likely than not” to be sustained assuming examination by tax authorities.  The Manager has reviewed all of the Series of the Trust’s tax positions for all open years (after December 31, 2006) and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements.  The Trust has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense.  The 2007 through 2010 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

Redemptions Payable

For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value of each Series by the number of outstanding investors’ interests for that Series.

 
41


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

3. Cash and Cash Equivalents

The Trust’s cash and cash equivalents consisted of:

June 30, 2011
 
Unleveraged Series
   
Leveraged Series
   
Commodity L/N Unleveraged Series
   
Commodity L/S Unleveraged Series
   
Trust Total
 
Overnight money markets
  $ 2,075,000     $ 115,000     $ 42,395,000     $ 28,816,000     $ 73,401,000  
U.S. Government Agency Securities
    32,188,827       21,654,065       29,008,824       9,974,595       92,826,311  
Cash
    30,669       19,594       22,447       35,637       108,347  
Cash in Checking Account
    1,992       2,407       1,041       1,618       7,058  
Total
  $ 34,296,488     $ 21,791,066     $ 71,427,312     $ 38,827,850     $ 166,342,716  


December 31, 2010
 
Unleveraged Series
   
Leveraged Series
   
Commodity L/N Unleveraged Series
   
Commodity L/S Unleveraged Series
   
Trust Total
 
Overnight money markets
  $ 820,000     $ 231,000     $ 10,789,000     $ 570,000     $ 12,410,000  
U.S. Government Agency Securities
    44,554,919       24,181,209       28,996,480       9,998,786       107,731,394  
Cash
    25,603       30,967       18,420       6,005       80,995  
Cash in Checking Account
    1,198       1,912       1,118       1,603       5,831  
Total
  $ 45,401,720     $ 24,445,088     $ 39,805,018     $ 10,576,394     $ 120,228,220  

4. Investors’ Interest

The Trust is comprised of four series: the Unleveraged Series, which attempts to replicate the Index without leverage, the Leveraged Series, which attempts to replicate the Index at three times leverage, the MLM Commodity L/S Unleveraged Series which attempts to replicate the MLM Commodity Long/Short Index without leverage and the Commodity L/N Unleveraged Series which attempts to replicate the MLM Commodity Long/Neutral Index without leverage (collectively, the “Series”).  The MLM Commodity L/S Index is a subset of the MLM Index and contains only the commodity futures contracts of the entire MLM Index.  The MLM Commodity L/N Index contains the same commodity futures contracts, but does not have short positions when the MLM Index algorithm indicates a short position in a particular contract.  Class A, Class B, Class C and Class D shares are sold by authorized selling agents appointed by the Manager to accredited investors at a price equal to each Class’s net asset value. Shares may be redeemed at net asset value as of the last day of any month upon at least ten business days’ written notice to the Manager. As of June 30, 2011, the MLM Commodity L/S Leveraged Series and the MLM Commodity L/N Leveraged Series have not commenced trading and have no assets. In addition, as of June 30, 2011 and December 31, 2010, the MLM Commodity L/S Unleveraged Series and the MLM Commodity L/N Unleveraged Series have never had any investors in classes A, B or C.

The Manager allocates profits and losses among the investors of a Series based on the balance in each investor’s capital account.

 
42


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

4. Investors’ Interest (continued)

The Class A and Class C shares are subject to a sales commission of 0% to 4% of the subscription amount, payable to the selling agent from the investor’s investment for each series. The amount of the sales commission will be determined by the selling agent.

5. Margin Requirements

The Trust had margin requirements as follows at June 30, 2011 and December 31, 2010:

   
June 30, 2011
   
December 31, 2010
 
             
Unleveraged Series
  $ 854,931     $ 1,907,683  
Leveraged Series
    2,137,280       3,050,071  
Commodity L/N Series
    3,485,543       2,904,759  
Commodity L/S Series
    1,934,701       866,708  
Total
  $ 8,412,455     $ 8,729,221  

Each Series' margins requirements were satisfied by net unrealized profits and cash at the broker.

6. Management Fee and Other Fees and Expenses

Each Series pays the Manager a management fee and the introducing broker a brokerage fee as a percentage of net assets, as of the first day of each month at the annualized rates as follows:

   
Leveraged Series
 
   
Brokerage
   
Management
   
Organizational
   
Operating
   
Selling
   
Total fees and
 
   
fee
   
fee
   
fee
   
expense
   
expense
   
commissions
 
                                     
Class A
    1.75 %     2.80 %     N/A *     0.35 %     4.00 %     8.90 %
Class B
    1.75 %     1.30 %     N/A *     0.35 %     N/A       3.40 %
Class C
    0.90 %     2.05 %     N/A       0.35 %     4.00 %     7.30 %
Class D
    0.90 %     1.30 %     N/A       0.35 %     N/A       2.55 %

*effective January 1, 2010


   
Unleveraged, Commodity L/S Unleveraged Series, and Commodity L/N Unleveraged Series
 
   
Brokerage
   
Management
   
Organizational
   
Operating
   
Selling
   
Total fees and
 
   
fee
   
fee
   
fee
   
expense
   
expense
   
commissions
 
                                     
Class A
    0.85 %     1.50 %     0.50 %     0.35 %     4.00 %     7.20 %
Class B
    0.85 %     0.50 %     0.50 %     0.35 %     N/A       2.20 %
Class C
    0.40 %     1.00 %     N/A       0.35 %     4.00 %     5.75 %
Class D
    0.40 %     0.50 %     N/A       0.35 %     N/A       1.25 %

Each Series pays 0.35% of average net assets for the Trust’s legal, accounting, auditing and other operating expenses and fees. The Trust also pays the cash manager and banking fees directly.

 
43

 
MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

7. Derivative Financial Instruments

Derivatives are subject to various risks similar to non-derivative financial instruments including market, credit, liquidity and operational risk. The risks of derivatives should not be viewed in isolation but rather should be considered on an aggregate basis along with the Trust’s other trading-related activities.

Each Series purchases and sells futures in financial instruments and commodities.  Each Series records its derivative activities on a mark-to-market basis with realized and unrealized gains (losses) recognized currently in the statements of operations and in due from brokers on the statements of financial condition.

The following tables reflect the fair value of each Series derivative financial instruments at June 30, 2011 and December 31, 2010:

   
June 30, 2011
   
December 31, 2010
 
Unleveraged Series
 
Asset
   
Liability
   
Asset
   
Liability
 
Financial futures
  $ 297,304     $ (38,147 )   $ 380,310     $ (285,131 )
Commodity futures
    208,778       (122,060 )     1,545,069       (123,330 )
Total
  $ 506,082     $ (160,207 )   $ 1,925,379     $ (408,461 )

   
June 30, 2011
   
December 31, 2010
 
Leveraged Series
 
Asset
   
Liability
   
Asset
   
Liability
 
Financial futures
  $ 746,432     $ (96,203 )   $ 785,841     $ (557,681 )
Commodity futures
    520,364       (311,125 )     3,183,563       (255,480 )
Total
  $ 1,266,796     $ (407,328 )   $ 3,969,404     $ (813,161 )

   
June 30, 2011
   
December 31, 2010
 
Commodity L/N Unleveraged Series
 
Asset
   
Liability
   
Asset
   
Liability
 
Commodity futures
  $ 708,538     $ (607,425 )   $ 5,506,195     $ -  
Total
  $ 708,538     $ (607,425 )   $ 5,506,195     $ -  

   
June 30, 2011
   
December 31, 2010
 
Commodity L/S Unleveraged Series
 
Asset
   
Liability
   
Asset
   
Liability
 
Commodity futures
  $ 851,996     $ (528,540 )   $ 1,658,684     $ (132,460 )
Total
  $ 851,996     $ (528,540 )   $ 1,658,684     $ (132,460 )

   
June 30, 2011
   
December 31, 2010
 
Trust Total
 
Asset
   
Liability
   
Asset
   
Liability
 
Financial futures
  $ 1,043,736     $ (134,350 )   $ 1,166,151     $ (842,812 )
Commodity futures
    2,289,676       (1,569,150 )     11,893,511       (511,270 )
Total
  $ 3,333,412     $ (1,703,500 )   $ 13,059,662     $ (1,354,082 )

 
44


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

7. Derivative Financial Instruments (continued)

The following tables reflect the realized and unrealized gains (losses) on derivative financial instruments for the three months ended June 30, 2011 and 2010.

   
Three months ended June 30, 2011
   
Three months ended June 30, 2010
 
Unleveraged
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Financial futures
  $ 570,546     $ 23,919     $ 594,465     $ 722,360     $ (98,272 )   $ 624,088  
Commodity futures
    (7,440 )     (57,797 )     (65,237 )     16,182       (854,307 )     (838,125 )
Total
  $ 563,106     $ (33,878 )   $ 529,228     $ 738,542     $ (952,579 )   $ (214,037 )

   
Three months ended June 30, 2011
   
Three months ended June 30, 2010
 
Leveraged
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Financial futures
  $ 1,563,348     $ 20,614     $ 1,583,962     $ 2,083,669     $ (266,709 )   $ 1,816,960  
Commodity futures
    1,528       (175,270 )     (173,742 )     (1,546 )     (2,420,078 )     (2,421,624 )
Total
  $ 1,564,876     $ (154,656 )   $ 1,410,220     $ 2,082,123     $ (2,686,787 )   $ (604,664 )

   
Three months ended June 30, 2011
   
Three months ended June 30, 2010
 
Commodity L/N
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Commodity futures
  $ (1,562,868 )   $ (1,301,971 )   $ (2,864,839 )   $ (954,122 )   $ (290,080 )   $ (1,244,202 )
Total
  $ (1,562,868 )   $ (1,301,971 )   $ (2,864,839 )   $ (954,122 )   $ (290,080 )   $ (1,244,202 )

   
Three months ended June 30, 2011
   
Three months ended June 30, 2010
 
Commodity L/S
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Commodity futures
  $ (484,831 )   $ 233,682     $ (251,149 )   $ (720,626 )   $ (396,141 )   $ (1,116,767 )
Total
  $ (484,831 )   $ 233,682     $ (251,149 )   $ (720,626 )   $ (396,141 )   $ (1,116,767 )

   
Three months ended June 30, 2011
   
Three months ended June 30, 2010
 
Trust Total
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Financial futures
  $ 2,133,894     $ 44,533     $ 2,178,427     $ 2,806,029     $ (364,981 )   $ 2,441,048  
Commodity futures
    (2,053,611 )     (1,301,356 )     (3,354,967 )     (1,660,112 )     (3,960,606 )     (5,620,718 )
Total
  $ 80,283     $ (1,256,823 )   $ (1,176,540 )   $ 1,145,917     $ (4,325,587 )   $ (3,179,670 )

 
45


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

7. Derivative Financial Instruments (continued)

The following tables reflect the realized and unrealized gains (losses) on derivative financial instruments for the six months ended June 30, 2011 and 2010.

   
Six months ended June 30, 2011
   
Six months ended June 30, 2010
 
Unleveraged
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Financial futures
  $ (97,043 )   $ 163,978     $ 66,935     $ 14,016     $ 600,670     $ 614,686  
Commodity futures
    1,601,849       (1,335,021 )     266,828       (64,476 )     (335,681 )     (400,157 )
Total
  $ 1,504,806     $ (1,170,043 )   $ 333,763     $ (50,460 )   $ 264,989     $ 214,529  

   
Six months ended June 30, 2011
   
Six months ended June 30, 2010
 
Leveraged
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Financial futures
  $ 71,589     $ 422,431     $ 494,020     $ (28,556 )   $ 1,790,855     $ 1,762,299  
Commodity futures
    2,937,970       (2,718,844 )     219,126       (432,448 )     (974,512 )     (1,406,960 )
Total
  $ 3,009,559     $ (2,296,413 )   $ 713,146     $ (461,004 )   $ 816,343     $ 355,339  

   
Six months ended June 30, 2011
   
Six months ended June 30, 2010
 
Commodity L/N
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Commodity futures
  $ 3,870,898     $ (5,405,082 )   $ (1,534,184 )   $ (1,245,637 )   $ (223,226 )   $ (1,468,863 )
Total
  $ 3,870,898     $ (5,405,082 )   $ (1,534,184 )   $ (1,245,637 )   $ (223,226 )   $ (1,468,863 )

   
Six months ended June 30, 2011
   
Six months ended June 30, 2010
 
Commodity L/S
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Commodity futures
  $ 736,922     $ (1,202,768 )   $ (465,846 )   $ (761,608 )   $ (224,986 )   $ (986,594 )
Total
  $ 736,922     $ (1,202,768 )   $ (465,846 )   $ (761,608 )   $ (224,986 )   $ (986,594 )

   
Six months ended June 30, 2011
   
Six months ended June 30, 2010
 
Trust Total
 
Realized
   
Unrealized
   
Total
   
Realized
   
Unrealized
   
Total
 
Financial futures
  $ (25,454 )   $ 586,049     $ 560,595     $ (14,540 )   $ 2,391,525     $ 2,376,985  
Commodity futures
    9,147,639       (10,661,715 )     (1,514,076 )     (2,504,169 )     (1,758,405 )     (4,262,574 )
Total
  $ 9,122,185     $ (10,075,666 )   $ 953,481     $ (2,518,709 )   $ 633,120     $ (1,885,589 )

 
46


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

7. Derivative Financial Instruments (continued)

The following tables reflect the trading activity for derivative financial instruments for the three months ended June 30, 2011 and 2010:

   
Number of Contracts Opened three months ending June 30, 2011
   
Number of Contracts Closed three months ending June 30, 2011
   
Number of Contracts Opened three months ending June 30, 2010
   
Number of Contracts Closed three months ending June 30, 2010
 
Unleveraged
    538       525       1,406       1,527  
Leveraged
    1,401       1,418       3,951       4,346  
Commodity L/N
    1,770       1,908       307       440  
Commodity L/S
    1,333       1,230       1,590       1,705  
Trust Total
    5,042       5,081       7,254       8,018  

The following tables reflect the trading activity for derivative financial instruments for the six months ended June 30, 2011 and 2010:

   
Number of Contracts Opened six months ending June 30, 2011
   
Number of Contracts Closed six months ending June 30, 2011
   
Number of Contracts Opened six months ending June 30, 2010
   
Number of Contracts Closed six months ending June 30, 2010
 
Unleveraged
    1,402       1,636       2,189       2,340  
Leveraged
    2,993       3,060       6,121       6,682  
Commodity L/N
    2,892       2,831       398       596  
Commodity L/S
    2,149       1,629       1,952       1,814  
Trust Total
    9,436       9,156       10,660       11,432  

 
47


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

8. Financial Highlights

The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the six months ended June 30, 2011:

   
Unleveraged Series
   
Leveraged Series
   
Commodity L/N Unleveraged Series
   
Commodity L/S Unleveraged Series
 
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Class D
Shares
   
Class D
Shares
 
                                                             
Per share operating performance:
                                                           
Net asset value per share at  December 31, 2010
  $ 113.91     $ 128.31     $ 112.67     $ 115.65     $ 95.00     $ 112.17     $ 91.75     $ 114.91     $ 112.17     $ 112.53  
Income from investment operations:
                                                                               
Net investment expense
    (1.07 )     (0.56 )     (0.78 )     (0.51 )     (1.51 )     (0.95 )     (1.12 )     (0.97 )     (0.49 )     (0.45 )
Net realized and unrealized gain (loss) on investment transactions
    0.30       0.33       0.55       0.56       1.13       1.34       1.48       1.86       (1.22 )     0.37  
Total from investment operations
    (0.77 )     (0.23 )     (0.23 )     0.05       (0.38 )     0.39       0.36       0.89       (1.71 )     (.08 )
Net asset value per share at June 30, 2011
  $ 113.14     $ 128.08     $ 112.44     $ 115.70     $ 94.62     $ 112.56     $ 92.11     $ 115.80     $ 110.46     $ 112.45  
                                                                                 
Total Return:
    (0.68 )%     (0.18 )%     (0.20 %)     0.04 %     (0.40 )%     0.35 %     (0.39 )%     0.77 %     (1.52 )%     (0.07 )%
                                                                                 
Ratio to Average Investors’ Interest:
                                                                               
Net investment expense
    (0.94 )%     (0.46 )%     (0.69 )%     (0.47 )%     (1.62 )%     (0.87 )%     (1.22 )%     (0.87 )%     (0.39 )%     (0.32 )%
Expenses
    (0.98 )%     (0.50 )%     (0.73 )%     (0.52 )%     (1.64 )%     (0.89 )%     (1.24 )%     (0.89 )%     (0.42 )%     (0.33 )%

Total return is calculated as the change in the net asset value per share for the six months ended June 30, 2011.  The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the six months ended June 30, 2011.

 
48


MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

8. Financial Highlights (continued)

The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the six months ended June 30, 2010:

   
Unleveraged Series
   
Leveraged Series
   
Commodity L/N Unleveraged Series
   
Commodity L/S Unleveraged Series
 
   
Class A
   
Class B
   
Class C
   
Class D
   
Class A
   
Class B
   
Class C
   
Class D
   
Class D
   
Class D
 
   
Shares
   
Shares
   
Shares
   
Shares
   
Shares
   
Shares
   
Shares
   
Shares
   
Shares
   
Shares
 
                                                             
Per share operating performance:
                                                           
Net asset value per share at  December 31, 2009
  $ 113.28     $ 126.32     $ 110.99     $ 113.35     $ 90.73     $ 105.53     $ 86.24     $ 107.20     $ 102.00     $ 108.17  
Loss from investment operations:
                                                                               
Net investment expense
    (1.08 )     (0.58 )     (0.79 )     (0.52 )     (1.46 )     (0.91 )     (1.07 )     (0.93 )     (0.43 )     (0.48 )
Net realized and unrealized gain (loss) on investment transactions
    (0.06 )     (0.06 )     0.19       0.19       0.09       0.10       0.45       0.57       (8.54 )     (4.92 )
Total from investment operations
    (1.14 )     (0.64 )     (0.60 )     (0.33 )     (1.37 )     (0.81 )     (0.62 )     (0.36 )     (8.97 )     (5.40 )
Net asset value per share at June 30, 2010
  $ 112.14     $ 125.68     $ 110.39     $ 113.02     $ 89.36     $ 104.72     $ 85.62     $ 106.84     $ 93.03     $ 102.77  
                                                                                 
Total Return:
    (1.01 )%     (0.51 )%     (0.54 )%     (0.29 )%     (1.51 )%     (0.77 )%     (0.72 )%     (0.34 )%     (8.80 )%     (4.99 )%
                                                                                 
Ratio to Average Investors’ Interest:
                                                                               
Net investment expense
    (1.01 )%     (0.49 )%     (0.71 )%     (0.49 )%     (1.82 )%     (0.88 )%     (1.24 )%     (0.90 )%     (0.30 )%     (0.34 )%
Expenses
    (1.05 )%     (0.52 )%     (0.75 )%     (0.53 )%     (1.84 )%     (0.90 )%     (1.26 )%     (0.92 )%     (0.30 )%     (0.34 )%

Total return is calculated as the change in the net asset value per share for the six months ended June 30, 2010.  The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the six months ended June 30, 2010.

 
49

 
MLM Index ™ Fund
Notes to Unaudited Condensed Financial Statements (continued)
June 30, 2011

9. Subsequent Events

From July 1, 2011 through August 15, 2011, the Trust had subscriptions of $563,115 for the Unleveraged Series.
The Trust had redemptions of $992,824 for the Unleveraged Series.

 
50



Item 2.
Management's Discussion and Analysis of Financial Condition and Results of Operations.

General

The purpose of the Trust is to replicate the results of the MLM Index™ or subset thereof, an index designed to measure the risk premium available to futures traders. Designed as such, the results of the Trust and each of its respective Series depend on two factors, the results of the MLM Index™ itself, and the Manager's ability to replicate that Index. It is important to note that the Manager also calculates the results of the MLM Index™. Thus, their role is twofold - to calculate the results of the MLM Index™, and to replicate the results of the MLM Index™ for the Trust. Any changes made to the composition of the MLM Index™ by the MLM Index™ Committee of the Manager will affect the trading of the Trust and each of the Series, since the objective is to replicate the MLM Index™ as published.

The Trust consists of several separate series of interests (each, a “Series”), each with its own assets and liabilities. Under the Trust Agreement, the Trust may issue multiple Series of Interests. The Trust maintains separate and distinct records for each Series and the assets associated with each such Series are held and accounted for separately from the other assets of the Trust and of any other Series thereof. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series enforced against the assets of such Series only and not against the assets of such Series only and not against the assets of the Trust generally of the assets of any other Series.

Currently the Trust has four series of interests: the Unleveraged Series, the Leveraged Series, the Commodity L/S Unleveraged Series (or “Commodity L/S Series”) and the Commodity L/N Unleveraged Series (or “Commodity L/N Series”). The Unleveraged Series attempts to replicate the MLM Index™ without any leverage, while the Leveraged Series trades the Trading Program at three times leverage. Leverage is the ability to control large dollar amounts of a commodity with a comparatively small amount of capital. The Leveraged Series purchases or sells $3 fair value of contracts for every $1 invested in the Series. The Commodity L/S Unleveraged Series and Commodity L/N Unleveraged Series attempt to replicate the MLM Commodity Long/Short Index and MLM Commodity Long/Neutral Index respectively, without leverage.

Results of the MLM Index™

The MLM Index™ is calculated from the prices of 22 generally liquid futures contracts.  These markets are traded on domestic and foreign exchanges.  For each market, the MLM Index™ generally uses the price of 4 different delivery months each year.  For example, in the Japanese Yen futures market, the MLM Index™ uses the March, June, September and December delivery months.  On the day before trading day, the MLM Index™ determines whether to hold a long or short position in each constituent contract based on the calculation methodology of the MLM Index™.  Once established, that position is held for the subsequent period, at which time it is re-evaluated.  The monthly results of each constituent market are then used to calculate the MLM Index™ return. The objective of the Trust is to replicate this monthly return.  The MLM Commodity L/S Index is a subset of the MLM Index and contains only the commodity futures markets of the entire MLM Index.  The MLM Commodity L/N Index contains the same commodity futures contracts, but does not have short positions when the MLM Index algorithm indicates a short position in a particular contract.

The volatility of the constituent markets in the MLM Index™ can affect the results of a Series.  The influences on this volatility are varied and unpredictable.  However, since the object of each Series is to replicate the MLM Index™, the Manager takes no unusual action to mitigate this volatility.  The role of the Manager is to buy or sell the appropriate number of futures contracts in each constituent market such that the aggregate return of those positions replicates as closely as possible the results of the MLM Index™ and its subsets.

 
51


In order to accomplish this objective, the Manager must calculate the number of contracts based on the assets in each Series. Since the MLM Index™ rebalances positions each month, at that time the Manager must ascertain the asset level and execute orders to achieve the desired allocations.  This is achieved by adding the performance results of the Trust for the month to the assets at the beginning of the month, and adding additions of capital from new subscriptions and subtracting redemptions in order to determine the asset level at the end of the period.

Summary of Critical Accounting Policies

The financial statements have been prepared in conformity with U.S. generally accepted accounting principles which requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Other than accruals maintained in the normal course of business, neither management or the Trust prepares, maintains or updates any estimates.  Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust's significant accounting policies are described in detail in Note 2 of the Notes to Financial Statements.

 
52


The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of “realized and unrealized gain (loss)” on investments in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, significant judgments and estimates by the Manager are involved in determining fair value in the absence of an active market closing price.

Financial Condition

To replicate the results of the MLM Index™, each Series must effect trades on domestic or foreign futures exchanges. Since inception of operations the Series have used Refco, LLC as its futures commission merchant.  In October of 2005, the Series moved its clearing accounts to Citigroup Global Markets. The Manager deposits a percentage of the assets of the Series in separate accounts at Citigroup Global Markets. The amount deposited is determined by the margin requirement established by the exchanges to hold the positions in each Series. The margin requirement varies, but is generally about 2.4% of assets for each unleveraged series and 7.1% of assets for each leveraged series.

Each Series' assets are held in separate custodial accounts at State Street Bank and Trust (the “Bank”), one for each Series.   The Trust has contracted with Credit Suisse Asset Management (CSAM) to manage the money in these accounts so as to maximize the interest income which accrues to the Trust, while maintaining strict credit controls as determined by the CE Act. When Citigroup Global Markets requires additional assets to maintain the positions for a Seties, the Bank makes a wire transfer to Citigroup Global Markets. If Citigroup Global Markets has surplus assets in the accounts, Citigroup Global Markets makes a wire transfer to the accounts at the Bank.

The Trust owns no capital assets and does not borrow money. Since the objective of the Trust is to replicate the results of the MLM Index™, its entire asset base participates in the speculative trading of futures contracts. As such, all the assets of each Series are at risk. The level of assets will be determined by the results of each Series, and the effect of addition of capital and the redemption of Series interests. These variables are impossible to predict with any certainty.

Liquidity

The majority of each Series' assets are held in liquid short-term interest rate instruments. Each Series takes substantial exposure in futures markets, which requires relatively small deposits, called margin, to hold the positions. As at June 30, 2011, increases (decreases) in cash and cash equivalents amounted to approximately $(11.1m), $(2.7m), $31.6m and $28.3m for the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series of the Trust, respectively.  As at June 30, 2011, increases (decreases) in due from broker amounted to approximately $(1.5m), $(3.0m), ($3.9m) and ($2.3m) for the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series of the Trust, respectively. Net cash generated from operations amounted to approximately $(0.3m), $(0.5m), $(0.4m) and $(1.8m) for the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series of the Trust, respectively. For six month period ended June  30, 2011 the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series generated net income (loss) from operations of $(0.0m), $0.2m, $(2.0m) and $(0.6m), respectively. In general, each unleveraged Series will have about 5% of its assets on deposit with brokers as margin and each leveraged Series will have about 15% of its assets on deposit with brokers as margin, with the balance held in custodial accounts with a major financial institution.

 
53


A holder of interests in a Series may liquidate that holding at the end of any month at the net asset value of the interests, upon 10 days written notice to the Manager. While the Manager generally must honor all requests for redemption if presented in proper form, the Manager may suspend temporarily any redemption if the effect of such redemption, either alone or in conjunction with other redemptions, would impair the relevant Series' ability to operate if the impairment would be caused by a third party other than the Manager. Further, the right to obtain redemption is contingent upon the relevant Series having property sufficient to discharge its liabilities on the date of redemption. Under certain circumstances, the Manager may find it advisable to establish a reserve for contingent liabilities. In such event, the amount receivable by a redeeming holder of interests will be reduced by his proportionate share of the reserve. There is no secondary market for interests in the Trust, and none is anticipated. There are restrictions for transfer of interests.

Although each Series trades in futures contracts which are in general liquid, the exchanges impose daily trading limits, which act to suspend trading when a particular market or contract trades up or down to a pre-determined price level. Should this happen, and a Series was attempting to execute trades in that situation, the Series may not be able to accurately replicate the results of the MLM Index™. These rules have not had a material impact on the operation of any Series to date.  Each Series generally trades only in the largest and most liquid futures contracts, and generally has available approximately 85%-95% of its assets in the form of highly liquid money market securities.  The Trust believes that, except in extreme market conditions, all open positions can be liquidated in an efficient, orderly fashion.

Off-Balance Sheet Arrangements

The Trust has no off-balance sheet arrangements that it believes does or will be reasonably likely to have a material current or future effect on any Series' results of operations, financial condition, liquidity, capital expenditures or capital resources.

Market and Credit Risks

The nature of the Trust is such that it undertakes substantial market risk in following its mandate to replicate the MLM Index™ and its subsets. Although the Manager monitors the intraday and daily valuation of each portfolio, no extraordinary measures are taken to reduce market risk. Specifically, the Manager maintains positions required to match, as closely as possible, the return of the MLM Index™ and its subsets.  There could be certain circumstances where the Manager might be called upon to make a change to this policy, such as the closing of an exchange or some other emergency situation.  In such case, management would use its best efforts to respond to such circumstances with the interests of the investors in mind.

The MLM Index™ and its subsets are not designed to predict which market will exhibit positive performance in any given year.  The Manager does not select the constituent markets based on expectations of future performance.  The MLM Index™ and its subsets are designed to represent participation in a diverse basket of future contracts using a trend-following algorithm.  The MLM Index™ and its subsets are a diversified Index producing different levels of return in the various sectors from year to year.

Each Series incurs various kinds of credit risk in its operations. In order to facilitate the trading of a Series, assets must be placed with Futures Commission Merchants. Management of the Trust deals only with established registered firms, and monitors their financial condition on an ongoing basis. In addition, if a Series were to enter into over the counter transactions, additional counterparty risk would be incurred. There were no OTC transactions during the three months ended June 30, 2011 in any Series.

 
54


Results of Operations

Results of Operations

At June 30, 2011 and December 31, 2010 the Series of the Trust had assets as follows:

Trust Series
 
June 30, 2011
   
December 31, 2010
 
Unleveraged Series
  $ 40,176,192     $ 50,964,459  
Leveraged Series
  $ 34,897,881     $ 36,847,815  
Commodity L/N Unleveraged Series
  $ 79,059,718     $ 48,990,089  
Commodity L/S Unleveraged Series
  $ 43,317,883     $ 13,925,388  
Total
  $ 197,451,674     $ 150,727,751  

At June 30, 2011 and December 31, 2010 the Series of the Trust had liabilities as follows:

Trust Series
 
June 30, 2011
   
December 31, 2010
 
Unleveraged Series
  $ 396,131     $ 505,870  
Leveraged Series
  $ 1,227,071     $ 822,495  
Commodity L/N Unleveraged Series
  $ 66,139     $ 43,499  
Commodity L/S Unleveraged Series
  $ 33,014     $ 13,104  
Total
  $ 1,722,355     $ 1,384,968  

Net income (loss) from operations for the Series of the Trust for the six months ended June 30, 2011 and 2010 was as follows:

Trust Series
 
June 30, 2011
   
June 30, 2010
 
Unleveraged Series
  $ (11,584 )   $ (131,335 )
Leveraged Series
  $ 197,641     $ (297,829 )
Commodity L/N Unleveraged Series
  $ (1,953,011 )   $ (1,548,156 )
Commodity L/S Unleveraged Series
  $ (647,237 )   $ (1,040,682 )
Total
  $ (2,414,191 )   $ (3,018,002 )

The Trust’s net income (loss) is directly related to the performance of the MLM Index™, which the Trust is designed to replicate.  For the six months ended June 30, 2011, MLM Index™ performance was +0.76%, -0.65% and +.79% for the MLM Index, MLM Commodity Index L/N and the MLM Commodity Index L/S respectively.  Performance was +0.49%, -8.14% and -4.48% respectively for the same period ended June 30, 2010.  A Series' performance may be negative in years when the MLM Index™ is positive or have greater losses when the MLM Index™ is negative due to the timing of subscriptions and redemptions, and the fees charged. Since inception of the Trust, the correlation of monthly results between each Series and the MLM Index™ adjusted for fees is 0.99.

 
55


The following table represents the performance by class for the MLM Index™ Fund for the six months ended June 30, 2011 and June 30, 2010.

June 30, 2011

   
Unleveraged Series
   
Leveraged Series
   
Unleveraged Commodity L/N Series
   
Unleveraged Commodity L/S Series
 
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Class D
Shares
   
Class D
Shares
 
                                                             
Total Return:
    (0.68 )%     (0.18 )%     (0.20 )%     0.04 %     (0.40 )%     0.35 %     0.39 %     0.77 %     (1.52 )%     (0.07 )%

June 30, 2010:

   
Unleveraged Series
   
Leveraged Series
   
Unleveraged Commodity L/N Series
   
Unleveraged Commodity L/S Series
 
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Class A
Shares
   
Class B
Shares
   
Class C
Shares
   
Class D
Shares
   
Class D
Shares
   
Class D
Shares
 
                                                             
Total Return:
    (1.01 )%     (0.51 )%     (0.54 )%     (0.29 )%     (1.51 )%     (0.77 )%     (0.72 )%     (0.34 )%     (8.80 )%     (4.99 )%
 
The Trust’s performance may be negative in years when the MLM Index™ is positive due to the timing of subscriptions and redemptions, the fees charged and/or the allocation of assets between the Unleveraged and Leveraged Series of the Trust.  Since inception of the Trust, the correlation of monthly results between the Unleveraged Series of the Trust and the MLM Index™ adjusted for fees is 0.99.  The correlation between the Leveraged Series of the Trust and the MLM Index™ adjusted for leverage and fees is 0.99.

The components of the return of the MLM Index™ are the capital gains earned from the changes in futures market prices, and the interest income earned on cash balances. The mechanics and rules of futures markets allow the Trust to earn interest on approximately 100% of the assets in the Trust. The interest income takes two forms, directly from the Trust's futures broker paid on the margin deposits held by them, and excess cash.

Item 3.
Quantitative and Qualitative Disclosures About Market Risk

The following is a discussion of the quantification of market risk for the Trust.  Such calculations are often referred to as Value-at-Risk (“VAR”).  The method used here may or may not differ from other methods used for VAR calculations by other firms.  There is no one generally accepted method of VAR calculation and this method may not be comparable to methods used by others.

The market risk, or VAR of the Trust, is directly related to the composition of the MLM Index™.  Each month, the position of the MLM Index™ can be either long or short based on a 252 business day moving average rule.  Since positions can be offset inside of sectors (one contract long in a particular commodity and one contract short in a related commodity), specific sector risk is less relevant than the historical risk of the MLM Index™ as a whole.  Since the objective of the Trust is to replicate the MLM Index™, it is reasonable to use the historic values of that Index to estimate market risk.

 
56


The VAR of each Series is calculated as follows:

 
1.
The manager calculates the standard deviation of the historical returns of the MLM Index™ and its subsets on an asset-weighted basis over two time periods, using daily returns over the preceding 1 year ending at the date of this report, and using monthly returns over the preceding 10 years.  It is important to note that this calculation is made on the historical data of the MLM Index™ and its subsets.  It is not based on the actual trading of the Trust and does not include any operational risk.  The standard deviation is used to measure the dispersion of the returns of the MLM Index™ and its subsets.
 
2.
For the purposes of VAR, one attempts to estimate the size of a loss that may occur with some small probability.  It does not estimate the possibility of some total loss, only the probability of a loss of some magnitude.  The calculation is complicated by the fact that the standard deviation of the distribution assumes a normal distribution, which may or may not be a good estimate of the actual distribution.  For the purposes of this estimate, the Manager has chosen to calculate the size of a daily and monthly loss that might occur with a probability of 1% (1 chance in 100).  To do this, the standard deviation is multiplied by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust for the possibility of a non-normal distribution.  For daily returns, this estimate is a loss of 1.44%.  For monthly returns the estimate is loss of 6.49%.
 
3.
To ascertain a dollar loss amount for each Series, the assets of the Series as of June 30, 2011 are multiplied by the estimate of the risk calculated in step 2 above.  The risk estimate is based on the unleveraged and leveraged series of the Trust, with the leveraged assets having three times the risk of the unleveraged assets.  Based on the asset levels as of June 30, 2011, the manager estimates that the amount each Series of the Trust could expect to lose as follows in any given day and in any given month.

Trust Series
 
Any Given Day
   
Any Given Month
 
Unleveraged Series
  $ 578,234     $ 2,605,828  
                 
Leveraged Series
  $ 1,513,085     $ 6,790,430  
Commodity L/N Unleveraged Series
  $ 3,956,997     $ 6,939,269  
Commodity L/S Unleveraged Series
  $ 1,437,891     $ 5,359,613  
 
The estimate above, though reasonable, should not be taken as an assurance that losses in a Series could not be greater than these amounts.  This is simply a quantitative estimate based on the historical performance of the MLM Index™ and its subsets.  The loss that occurs with small probability may be substantially greater than the loss indicated above.  Also, market conditions could change dramatically from the conditions that prevailed over the period used to calculate the estimate, affecting the realized volatility of the market.  Furthermore, other factors could affect trading, such as the inability to execute orders in a particular market, due to operational or regulatory restrictions that may alter the pattern of a Series' returns.  Specifically, the Manager advises other funds in addition to the Trust.  In certain markets there is a limit to the size a position that one entity can control (speculative limits).  Since positions cannot exceed speculative limits, the Manager may have to allocate positions across accounts and funds, resulting in a less than complete replication of the MLM Index™ and its subsets.    It is best to remember the fact that, as outlined in the offering for the Trust, that all the assets invested are at risk of loss.

Since the calculation of the VAR does not look at the specific instrument risks, but rather the results of the MLM Index™ and its subsets as a whole, risks related to actual execution are not included in the calculation. For example, counter-party risks from OTC transactions are not factored into the calculation.

Additional market risk may be attributed to the actual execution of the orders for a Series. Each Series executes the majority of its orders on the last day of each month. As assets of a Series grow, large orders may be placed in periods of reduced liquidity. Such orders may move the markets in which they are executed, adversely affecting the performance of the Trust. The Manager makes every effort to execute all orders efficiently, but general levels of liquidity are beyond the control of management. In certain circumstances, markets may move to the daily trading limits imposed by the exchanges, and a Series may be unable to execute the necessary orders to replicate the MLM Index™ and its subsets, causing extensive slippage.

 
57

 
Non-Market Risk

Risk from Brokers - Each Series' futures commission merchant, Citigroup Global Markets, holds some portion of the assets of the Series as margin deposits for futures trading. A failure of Citigroup Global Markets could cause the portion of the Series’ assets held there to be at risk or unavailable for an undetermined period of time.

Speculative Limits - Certain futures exchanges require that positions deemed speculative in nature (as opposed to commercial hedge positions) cannot exceed certain pre-defined levels. All positions in the control of the Manager must be aggregated to determine compliance with these rules. Should the assets of the Manager reach a level such that positions may be capped, accurate replication of the MLM Index™ for the Trust may be difficult or impossible. The Manager may also use certain "Over The Counter" derivatives to achieve the same exposure without exceeding speculative limits. These OTC products would involve taking additional counter-party risk for a Series in order to achieve accurate replication of the MLM Index™. For example, if it was determined that a Series must hold 10 contracts of Soybeans for a specific delivery, the Series could execute the appropriate futures contracts on the appropriate futures exchange. Also, the Manager of each Series may choose to enter into a swap agreement, which would have substantially the same economic effect of the futures position, but would be executed in the over-the-counter market. The swap contract would change the nature of the counter-party from an organized exchange to a single dealer, and would materially increase the non-market risk of holding the position. No Series has yet utilized OTC swap contracts.
 
Item 4.
Controls and Procedures.

The President and the Chief Operating Officer of the Manager (collectively the “Certifying Officers”) maintain a system of disclosure controls and procedures that is designed to provide reasonable assurance that information, which is required to be disclosed, is accumulated and communicated to management in a timely manner.  The Certifying Officers have concluded that the disclosure controls and procedures are effective at the “reasonable assurance” level.  As of June 30, 2011, the Certifying Officers evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule [13a-15(e)/15d-15(e)] under the Exchange Act).  Furthermore, the Certifying Officers concluded that disclosure controls and procedures in place were designed to ensure that information required to be disclosed in reports that are filed or submitted under the Exchange Act are (i) recorded, processed, summarized and reported on a timely basis in accordance with Commission rules and regulations; and (ii) accumulated and communicated to the Certifying Officers and other persons that perform similar functions, if any, to allow them to make timely decisions regarding required disclosure in periodic filings.  There have been no significant changes in the Trust’s internal control over financial reporting in the quarter ended June 30, 2011 that has materially affected or is reasonably likely to materially affect the Trust’s internal control over financial reporting.

(a) Evaluation of disclosure controls and procedures. As of the end of the period covered by this Quarterly Report, we carried out an evaluation of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) and 15d-15(e)). We have concluded that our disclosure controls and procedures are effective to ensure that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission and that such information is accumulated and communicated to our management to allow timely decisions regarding required disclosures.  Based on such evaluation we have concluded these disclosure controls are effective as of June 30, 2011.

 
58


(b) Changes in internal control over financial reporting. There has been no change in the Trust and/or its Series' internal control over financial reporting that occurred in the second fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust and/or its Series’ internal control over financial reporting.

Part II. OTHER INFORMATION

Item 1.
Legal Proceedings.

The Manager is not aware of any proceedings threatened or pending against the Trust and its affiliates which, if determined adversely, would have a material adverse effect on the financial condition or results of operations of the Trust.

Item 1a.
Risk Factors.

None.

Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.

   
Unleveraged Series
   
Leveraged Series
   
Unleveraged Commodity L/N Series
   
Unleveraged Commodity L/S Series
 
   
Class A
   
Class B
   
Class C
   
Class D
   
Class A
   
Class B
   
Class C
   
Class D
   
Class D
   
Class D
 
Apr-11 Subscriptions
  $ -     $ -     $ -     $ 300,000     $ -     $ -     $ -     $ -     $ -     $ -  
Subscriptions Units
    -       -       -       2,579       -       -       -       -       -       -  
# of Purchasers
                            2                                                  
Unit Price
  $ -     $ -     $ -     $ 116.35     $ -     $ -     $ -     $ -     $ -     $ -  
 
                                                                               
May-11 Subscriptions
  $ -     $ -     $ -     $ 1,015,000     $ -     $ -     $ -     $ -     $ -     $ 5,000,000  
Subscriptions Units
    -       -       -       8,789       -       -       -       -       -       44,805  
# of Purchasers
                            3                                               1  
Unit Price
  $ -     $ -     $ -     $ 115.48     $ -     $ -     $ -     $ -     $ -     $ 111.60  
 
                                                                               
Jun-11 Subscriptions
  $ -     $ -     $ -     $ 250,000     $ -     $ -     $ -     $ -     $ -     $ -  
Subscriptions Units
    -       -       -       2,161       -       -       -       -       -       -  
# of Purchasers
                            3                                                  
Unit Price
  $ -     $ -     $ -     $ 115.70     $ -     $ -     $ -     $ -     $ -     $ -  

Item 3.
Defaults Upon Senior Securities.

None.

Removed and Reserved

None.

Item 5.
Other Information.

None.

 
59


Item 6.
Exhibits
 
 
(a)
Exhibits

 
Certification of President of the Manager Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of the Securities Exchange Act, as amended.

 
Certification of Chief Operating Officer of the Manager Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of the Securities Exchange Act, as amended.

 
Certification of President of the Manager Pursuant to 18 U.S.C. Section 1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

 
Certification of Chief Operating Officer of the Manager Pursuant to 18 U.S.C. Section 1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

 
100
XBRL-Related Documents will be included in the Registrants 10Q-A to be filed by September 14, 2011

 
101
Interactive Data File will be included in the Registrants 10Q-A to be filed by September 14, 2011

 
60


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 
MLM INDEX™ FUND
       
 
By:
Mount Lucas Management LP
 
Its:
Manager
       
 
By:
/s/ Timothy J. Rudderow, Sr
 
   
Timothy J. Rudderow, Sr
   
President


Date: August 15, 2011