ML Winton FuturesAccess LLC - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - ML Winton FuturesAccess LLC	Financial_Report.xls

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2011

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 0-51084

ML WINTON FUTURESACCESS LLC

(Exact Name of Registrant as

specified in its charter)

Delaware		20-1227904
(State or other jurisdiction of		(IRS Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 10th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(Registrant’s telephone number, including area code)

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 (or for such shorter period that the registrant was required to file such reports), 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 website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

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 the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o		Accelerated filer o

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

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

As of September 30, 2011, 628,741,387 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2011 ON FORM 10-Q

Table of Contents

		PAGE

	PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	27

Item 4.	Controls and Procedures	32

	PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	32

Item 1A.	Risk Factors	32

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	32

Item 3.	Defaults Upon Senior Securities	34

Item 4.	(Removed and Reserved)	34

Item 5.	Other Information	34

Item 6.	Exhibits	34

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2011		2010
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $49,082,402 for 2011 and $57,039,642 for 2010)	$	1,099,959,029	$	887,636,418
Net unrealized profit on open futures contracts	12,906,419		29,070,679
Net unrealized profit on open forwards contracts	1,490,544		—
Cash and cash equivalents	1,110,632		350,000
Accrued interest receivable	170		1,636

TOTAL ASSETS	$	1,115,466,794	$	917,058,733

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	3,907	$	—
Sponsor and Advisory fees payable	17,274,977		14,056,344
Redemptions payable	8,912,751		3,527,632
Net unrealized loss on open futures contracts	2,023,101		1,498,718
Net unrealized loss on open forwards contracts	2,300,744		—
Other liabilities	684,553		505,731

Total liabilities	31,200,033		19,588,425

MEMBERS’ CAPITAL:
Sponsor’s Interest (19,470 Units and 19,470 Units)	33,821		32,147
Members’ Interest (628,721,917 Units and 543,509,913 Units)	1,084,232,940		897,438,161
Total members’ capital	1,084,266,761		897,470,308

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	1,115,466,794	$	917,058,733

NET ASSET VALUE PER UNIT:
(Based on 628,741,387 and 543,529,383 Units outstanding; unlimited Units authorized)

Class A	$	1.7581	$	1.6810
Class C	$	1.6465	$	1.5862
Class D	$	1.7900	$	1.6924
Class I	$	1.7914	$	1.7078
Class DS	$	1.7878	$	1.6903
Class DT	$	1.8667	$	1.7532

See notes to financial statements.

WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the nine			For the nine
	months ended			months ended			months ended			months ended
	September 30,			September 30,			September 30,			September 30,
	2011			2010			2011			2010
TRADING PROFIT (LOSS):
Realized, net	$	68,766,429		$	4,925,017		$	106,549,933		$	59,844,141
Change in unrealized, net	13,885,019			21,410,299			(17,498,843		)	28,121,232
Brokerage commissions	(301,929		)	(245,453		)	(803,873		)	(752,723		)

Total trading profit (loss)	82,349,519			26,089,863			88,247,217			87,212,650

INVESTMENT INCOME (LOSS)
Interest	41,429			3,756			42,290			434

EXPENSES:
Management fee	5,430,382			3,996,946			15,139,928			11,709,050
Sponsor fee	3,630,795			2,453,986			9,906,639			7,067,177
Performance fee	14,225,169			4,087,247			14,241,537			4,087,247
Other	386,270			310,526			1,129,206			796,653
Total expenses	23,672,616			10,848,705			40,417,310			23,660,127

NET INVESTMENT (LOSS)	(23,631,187		)	(10,844,949		)	(40,375,020		)	(23,659,693		)

NET INCOME (LOSS)	$	58,718,332		$	15,244,914		$	47,872,197		$	63,552,957

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	91,806,732			52,756,328			80,495,158			49,564,746
Class C	273,529,411			206,912,707			255,280,237			203,576,592
Class D	94,268,741			81,283,522			90,638,653			81,499,616
Class I	44,697,911			38,216,373			42,440,877			37,853,927
Class DS	103,534,385			104,125,551			107,327,273			106,239,322
Class DT	21,884,883			29,995,500			23,599,277			35,826,335

Net income (loss) per weighted average Unit
Class A	$	0.0929		$	0.0333		$	0.0813		$	0.1248
Class C	$	0.0840		$	0.0244		$	0.0623		$	0.1047
Class D	$	0.1019		$	0.0348		$	0.0982		$	0.1413
Class I	$	0.0958		$	0.0312		$	0.0843		$	0.1281
Class DS	$	0.1043		$	0.0350		$	0.0961		$	0.1386
Class DT	$	0.1155		$	0.0255		$	0.1111		$	0.1387

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2011 and 2010

(unaudited) (in Units)

	Members’ Capital December 31,2009	Subscriptions	Redemptions		Members’ Capital September 30, 2010	Members’ Capital December 31, 2010	Subscriptions	Redemptions		Members’ Capital September 30, 2011
Class A	47,207,338	14,947,161	(5,381,665	)	56,772,834	65,325,934	31,976,802	(3,819,347	)	93,483,389
Class C	198,836,141	34,802,821	(23,057,840	)	210,581,122	222,514,645	74,788,459	(20,999,482	)	276,303,622
Class D	76,481,524	8,191,253	(2,979,453	)	81,693,324	81,540,462	13,898,406	(952,865	)	94,486,003
Class I	37,155,502	4,491,371	(3,551,230	)	38,095,643	40,328,794	8,781,499	(3,072,788	)	46,037,505
Class DS	106,138,162	2,905,250	(5,202,017	)	103,841,395	107,809,869	5,140,859	(15,347,135	)	97,603,593
Class DT	41,002,334	—	(13,938,569	)	27,063,765	25,990,209	—	(5,182,404	)	20,807,805

Total Members’ Units	506,821,001	65,337,856	(54,110,774	)	518,048,083	543,509,913	134,586,025	(49,374,021	)	628,721,917

Class A	9,713	—	—		9,713	9,713	—	—		9,713
Class C	9,757	—	—		9,757	9,757	—	—		9,757

Total Sponsor’s Units	19,470	—	—		19,470	19,470	—	—		19,470

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2011 and 2010

(unaudited)

	Members’ Capital December 31, 2009		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2010		Members’ Capital December 31, 2010		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2011
Class A	$	71,227,277	$	23,557,909	$	(8,446,913	)	$	6,184,617	$	92,522,890	$	109,814,969	$	54,533,862	$	(6,542,164	)	$	6,546,241	$	164,352,908
Class C	285,929,558		51,355,044		(33,956,280		)	21,305,178		324,633,500		352,948,772		119,891,752		(33,822,170		)	15,911,791		454,930,145
Class D	114,447,349		12,218,319		(4,647,328		)	11,517,442		133,535,782		138,000,547		23,936,091		(1,701,302		)	8,899,064		169,134,400
Class I	56,724,216		7,029,542		(5,593,240		)	4,847,857		63,008,375		68,871,557		15,356,726		(5,335,924		)	3,579,740		82,472,099
Class DS	158,630,745		4,405,527		(8,232,407		)	14,727,068		169,530,933		182,235,678		8,803,779		(26,851,561		)	10,312,744		174,500,640
Class DT	63,048,636		—		(22,334,915		)	4,968,491		45,682,212		45,566,638		—		(9,344,833		)	2,620,943		38,842,748

Total Members’ Interest	$	750,007,781	$	98,566,341	$	(83,211,083	)	$	63,550,653	$	828,913,692	$	897,438,161	$	222,522,210	$	(83,597,954	)	$	47,870,523	$	1,084,232,940

Class A	$	14,655	$	—	$	—		$	1,269	$	15,924	$	16,602	$	—	$	—		$	994	$	17,596
Class C	14,031		—		—			1,035		15,066		15,545		—		—			680		16,225

Total Sponsor’s Interest	$	28,686	$	—	$	—		$	2,304	$	30,990	$	32,147	$	—	$	—		$	1,674	$	33,821

Total Members’ Capital	$	750,036,467	$	98,566,341	$	(83,211,083	)	$	63,552,957	$	828,944,682	$	897,470,308	$	222,522,210	$	(83,597,954	)	$	47,872,197	$	1,084,266,761

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the three months ended September 30, 2011 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class DS			Class DT
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6636		$	1.5619		$	1.6875		$	1.6934		$	1.6854		$	1.7532

Net realized and net change in unrealized trading profit(loss)	0.1343			0.1260			0.1363			0.1367			0.1361			0.1417
Brokerage commissions	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0001
Expenses	(0.0394		)	(0.0410		)	(0.0334		)	(0.0383		)	(0.0333		)	(0.0278		)

Net asset value, end of period	$	1.7581		$	1.6465		$	1.7900		$	1.7914		$	1.7878		$	1.8667

Total Return: (a)

Total return before Performance fees	7.10		%	7.21		%	7.50		%	7.21		%	7.50		%	7.64		%
Performance fees	-1.38		%	-1.38		%	-1.38		%	-1.38		%	-1.38		%	-1.12		%
Total return after Performance fees	5.72		%	5.83		%	6.12		%	5.83		%	6.12		%	6.52		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.18		%	0.83		%	0.55		%	0.83		%	0.55		%	0.42		%
Performance fees	1.36		%	1.36		%	1.36		%	1.36		%	1.36		%	1.11		%
Expenses (including Performance fees)	2.54		%	2.19		%	1.91		%	2.19		%	1.91		%	1.53		%

Net investment income (loss)	-2.54		%	-2.18		%	-1.90		%	-2.18		%	-1.90		%	-1.52		%

(a) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the nine months ended September 30, 2011 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class DS			Class DT
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6810		$	1.5862		$	1.6924		$	1.7078		$	1.6903		$	1.7532

Net realized and net change in unrealized trading profit(loss)	0.1497			0.1407			0.1516			0.1523			0.1514			0.1574
Brokerage commissions	(0.0014		)	(0.0013		)	(0.0014		)	(0.0014		)	(0.0014		)	(0.0014		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0001
Expenses	(0.0713		)	(0.0792		)	(0.0527		)	(0.0674		)	(0.0526		)	(0.0426		)

Net asset value, end of period	$	1.7581		$	1.6465		$	1.7900		$	1.7914		$	1.7878		$	1.8667

Total Return: (a)

Total return before Performance fees	6.01		%	5.21		%	7.20		%	6.32		%	7.20		%	7.61		%
Performance fees	-1.45		%	-1.45		%	-1.45		%	-1.45		%	-1.45		%	-1.15		%
Total return after Performance fees	4.56		%	3.76		%	5.75		%	4.87		%	5.75		%	6.46		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	2.76		%	3.51		%	1.63		%	2.46		%	1.63		%	1.25		%
Performance fees	1.41		%	1.41		%	1.40		%	1.40		%	1.40		%	1.11		%
Expenses (including Performance fees)	4.17		%	4.92		%	3.03		%	3.86		%	3.03		%	2.36		%

Net investment income (loss)	-4.16		%	-4.92		%	-3.03		%	-3.86		%	-3.03		%	-2.35		%

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the three months ended September 30, 2010 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class DS			Class DT
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6010		$	1.5182		$	1.5998		$	1.6232		$	1.5978		$	1.6480

Net realized and net change in unrealized trading profit(loss)	0.0521			0.0493			0.0522			0.0529			0.0521			0.0538
Brokerage commissions	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)	(0.0005		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0229		)	(0.0254		)	(0.0169		)	(0.0216		)	(0.0168		)	(0.0134		)

Net asset value, end of period	$	1.6297		$	1.5416		$	1.6346		$	1.6540		$	1.6326		$	1.6879

Total Return: (a)

Total return before Performance fees	2.31		%	2.41		%	2.69		%	2.41		%	2.69		%	2.82		%
Performance fees	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.41		%
Total return after Performance fees	1.79		%	1.89		%	2.17		%	1.89		%	2.17		%	2.41		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	1.17		%	0.82		%	0.54		%	0.82		%	0.54		%	0.42		%
Performance fees	0.52		%	0.51		%	0.51		%	0.51		%	0.51		%	0.40		%
Expenses (including Performance fees)	1.69		%	1.33		%	1.05		%	1.33		%	1.05		%	0.82		%

Net investment income (loss)	-1.69		%	-1.33		%	-1.06		%	-1.33		%	-1.06		%	-0.81		%

(a) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

For the nine months ended September 30, 2010 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class DS			Class DT
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.5088		$	1.4380		$	1.4964		$	1.5267		$	1.4946		$	1.5377

Net realized and net change in unrealized trading profit(loss)	0.1735			0.1647			0.1730			0.1758			0.1728			0.1781
Brokerage commissions	(0.0015		)	(0.0014		)	(0.0015		)	(0.0015		)	(0.0015		)	(0.0015		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0511		)	(0.0597		)	(0.0333		)	(0.0470		)	(0.0333		)	(0.0264		)

Net asset value, end of period	$	1.6297		$	1.5416		$	1.6346		$	1.6540		$	1.6326		$	1.6879

Total Return: (a)

Total return before Performance fees	8.56		%	7.75		%	9.79		%	8.89		%	9.79		%	10.20		%
Performance fees	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.52		%	-0.41		%
Total return after Performance fees	8.04		%	7.23		%	9.27		%	8.37		%	9.27		%	9.79		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	2.74		%	3.50		%	1.61		%	2.44		%	1.61		%	1.23		%
Performance fees	0.51		%	0.52		%	0.51		%	0.51		%	0.51		%	0.40		%
Expenses (including Performance fees)	3.25		%	4.02		%	2.12		%	2.95		%	2.12		%	1.63		%

Net investment income (loss)	-3.26		%	-4.02		%	-2.13		%	-2.96		%	-2.13		%	-1.63		%

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ML Winton FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Winton Capital Management (“Winton” or “trading advisor”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

The Program is a group of commodity pools sponsored by MLAI (each a “Program Fund” or collectively, “Program Funds”) each of which places substantially all of its assets in a managed futures and forward trading account managed by a single or multiple commodity trading advisors. Each Program Fund is generally similar to the Fund in terms of fees, Classes of Units and redemption rights. Each of the Program Funds implements a different trading strategy.

As of September 30, 2011 the Fund offers six Classes of Units: Class A, Class C, Class D, Class DT, Class DS, and Class I. Each Class of Units except for Class DT and Class DS was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit. Class DS was offered at $1.0733 and Class DT was offered at $1.1914. The six Classes of Units are subject to different Sponsor fees.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, Bank of America Corporation or any of its affiliates or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of September 30, 2011 and the results of its operations for the three and nine months ended September 30, 2011 and 2010. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2010.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition, as of September 30, 2011 and December 31, 2010 are as follows:

September 30, 2011

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	1,012	$	(5,407,921	)	-0.50	%	(1,608	)	$	5,281,258		0.49	%	$	(126,663	)	-0.01	%	October 11 - April 12
Currencies	2,989,846,876	(6,294,653		)	-0.58	%	(1,946,192,849	)	4,588,894			0.42	%	(1,705,759		)	-0.16	%	December 11
Energy	408	(2,534,782		)	-0.23	%	(1,048	)	5,949,862			0.55	%	3,415,080			0.32	%	October 11- January 12
Interest rates	18,320	8,125,442			0.75	%	(21	)	26,021			0.00	%	8,151,463			0.75	%	November 11 - December 13
Metals	560	(6,076,719		)	-0.56	%	(683	)	8,098,847			0.75	%	2,022,128			0.19	%	November 11 - March 12
Stock indices	105	6,700			0.00	%	(1,724	)	(1,689,831		)	-0.16	%	(1,683,131		)	-0.16	%	October 11 - December 11

Total		$	(12,181,933	)	-1.12	%			$	22,255,051		2.05	%	$	10,073,118		0.93	%

December 31, 2010

	Long Positions					Short Positions
Commodity Industry	Number of	Unrealized		Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)		Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	2,770	$	9,362,389	1.04	%	—		$	—		0.00	%	$	9,362,389		1.04	%	January 11 - May 11
Currencies	3,269	9,911,888		1.10	%	(635	)	(1,163,106		)	-0.13	%	8,748,782			0.97	%	March 11
Energy	874	1,810,141		0.20	%	(242	)	(588,535		)	-0.07	%	1,221,606			0.13	%	January 11 - April 11
Interest rates	2,590	262,053		0.03	%	(2,439	)	(1,599,666		)	-0.18	%	(1,337,613		)	-0.15	%	January 11 - March 13
Metals	1,431	12,256,554		1.37	%	(342	)	(3,589,079		)	-0.40	%	8,667,475			0.97	%	January 11 - November 11
Stock indices	3,909	817,965		0.09	%	(227	)	91,357			0.01	%	909,322			0.10	%	January 11 - March 11

Total		$	34,420,990	3.83	%			$	(6,849,029	)	-0.77	%	$	27,571,961		3.06	%

No individual contract’s unrealized gain or loss comprised greater than 5% of the Members’ Capital as of September 30, 2011 and December 31, 2010.

3. FAIR VALUE OF INVESTMENTS

The Financial Accounting Standards Board (“FASB”) issued the Accounting Standards Codification (“ASC”) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity in a commodity trading account. Any change in net unrealized gain or loss from the preceding period is reported in the Statement of Operations.

The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

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

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where it trades such investments. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used by the Fund as inputs into its process for determining fair values.

The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

The Fund has determined that Level I securities would include most of its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward and certain futures contracts.

The Fund’s net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels as of September 30, 2011 and December 31, 2010 are as follows:

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III

Futures
Long	$	(9,881,190	)	$	(5,564,680	)	$	(4,316,510	)	$	—
Short	$	20,764,507		$	13,227,536		$	7,536,971		$	—
	$	10,883,317		$	7,662,856		$	3,220,461		$	—

Forwards
Long	$	(2,300,743	)	$	—		$	(2,300,743	)	$	—
Short	$	1,490,544		$	—		$	1,490,544		$	—
	$	(810,199	)	$	—		$	(810,199	)	$	—

September 30, 2011	$	10,073,118		$	7,662,856		$	2,410,262		$	—

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III

Futures
Long	$	34,420,990		$	27,372,293		$	7,048,697		$	—
Short	$	(6,849,029	)	$	(3,259,950	)	$	(3,589,079	)	$	—
	$	27,571,961		$	24,112,343		$	3,459,618		$	—

Forwards
Long	$	—		$	—		$	—		$	—
Short	$	—		$	—		$	—		$	—
	$	—		$	—		$	—		$	—

December 31, 2010	$	27,571,961		$	24,112,343		$	3,459,618		$	—

The Fund’s volume of trading forward and futures as of the period and year ended September 30, 2011 and the December 31, 2010, respectively, are representative of the activity throughout these periods. There were no transfers to or from Level I or II during the quarter ended September 30, 2011.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the guidance

for accounting for derivative and hedging activities. The fair value amounts of and the gains and losses on derivative instruments is disclosed in the statements of financial condition and statements of operations, respectively. There are no credit related contingent features embedded in these derivative contracts.

The following table indicates the trading gains and losses, by commodity industry sector, on derivative instruments for each of the three and nine month periods ended September 30, 2011 and 2010.

	For the three months ended			For the nine months ended
	September 30, 2011			September 30, 2011
Commodity Industry Sector	Gain (loss) from trading			Gain (loss) from trading

Agriculture	$	72,261		$	(564,716	)
Currencies	(17,119,288		)	(9,921,767		)
Energy	(1,117,036		)	3,280,046
Interest rates	92,947,143			87,361,123
Metals	21,084,452			22,533,092
Stock indices	(13,216,084		)	(13,636,688		)

Total	$	82,651,448		$	89,051,090

	For the three months ended			For the nine months ended
	September 30, 2010			September 30, 2010
Commodity Industry Sector	Gain (loss) from trading			Gain (loss) from trading

Agriculture	$	(5,577,669	)	(3,813,506		)
Currencies	(4,698,321		)	25,391,299
Energy	(5,729,477		)	(14,661,413		)
Interest rates	38,968,549			91,138,697
Metals	5,419,928			9,256,537
Stock indices	(2,047,694		)	(19,346,241		)

Total	$	26,335,316		87,965,373

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.

There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. MARKET AND CREDIT RISK

The nature of this Fund has certain risks, which cannot be presented on the financial statements. The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s Net unrealized profit (loss) on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

MLAI, has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of Winton, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Winton to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures which consist simply of the ongoing process of advisor monitoring, along with monitoring the market risk controls being applied by Winton is sufficient to detect any such intervention is needed.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Fund, in its normal course of business, enters into various contracts with MLPF&S acting as its commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity trading accounts in the Statements of Financial Condition.

Indemnifications

In the normal course of business, the Fund has entered, or may in the future enter into agreements that obligate the Fund to indemnify third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.

5. RELATED PARTY TRANSACTIONS

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee, which was determined at 0.02% of aggregate asset level, allocated to the Fund for the quarter ended September 30, 2011 amounted to $51,701, of which $36,682 was payable to the Transfer Agent as of September 30, 2011.

6. RECENT ACCOUNTING PRONOUNCEMENTS

In May 2011, the FASB issued an update to requirements relating to Fair Value Measurement which represents amendments to achieve common fair value measurement and disclosure requirements in GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. MLAI does not believe the adoption of this update will have a material impact on the Fund’s financial statements.

7. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

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

MONTH-END NET ASSET VALUE PER UNIT

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors throughout the year is a useful performance measure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes.

The Fund calculates the Net Asset Value per unit of each class of units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s “Net Asset Value” as of any calculation date will generally equal the value of the Fund’s account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsor’s, management and performance fees, and any operating costs and other liabilities of the Fund. MLAI is authorized to make all Net Asset Value determinations.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.4713	$	1.5023	$	1.5668	$	1.5878	$	1.5790	$	1.6010	$	1.5506	$	1.6239	$	1.6297
2011	$	1.6790	$	1.7029	$	1.6995	$	1.7446	$	1.7047	$	1.6636	$	1.7315	$	1.7576	$	1.7581

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.4011	$	1.4295	$	1.4896	$	1.5083	$	1.4986	$	1.5182	$	1.4692	$	1.5374	$	1.5416
2011	$	1.5830	$	1.6041	$	1.5996	$	1.6407	$	1.6018	$	1.5619	$	1.6243	$	1.6474	$	1.6465

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.4610	$	1.4937	$	1.5598	$	1.5827	$	1.5758	$	1.5998	$	1.5514	$	1.6268	$	1.6346
2011	$	1.6925	$	1.7187	$	1.7175	$	1.7652	$	1.7270	$	1.6875	$	1.7585	$	1.7873	$	1.7900

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.4892	$	1.5211	$	1.5870	$	1.6088	$	1.6004	$	1.6232	$	1.5726	$	1.6475	$	1.6540
2011	$	1.7063	$	1.7311	$	1.7283	$	1.7747	$	1.7346	$	1.6934	$	1.7631	$	1.7903	$	1.7914

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.4592	$	1.4919	$	1.5579	$	1.5807	$	1.5739	$	1.5978	$	1.5495	$	1.6248	$	1.6326
2011	$	1.6905	$	1.7166	$	1.7153	$	1.7631	$	1.7249	$	1.6854	$	1.7564	$	1.7851	$	1.7878

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.5020	$	1.5362	$	1.6048	$	1.6291	$	1.6227	$	1.6480	$	1.5988	$	1.6788	$	1.6879
2011	$	1.7540	$	1.7834	$	1.7827	$	1.8360	$	1.7944	$	1.7532	$	1.8305	$	1.8630	$	1.8667

Liquidity and Capital Resources

The Fund does not engage in the sale of goods or services. The Fund’s assets are its (i) equity in its trading account, consisting of cash (including restricted cash), and unrealized gain net of unrealized losses and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the third quarter of 2011 and there was no impact on the Fund’s liquidity.

The Fund’s capital consists of the capital contributions of the members as increased or decreased by gains or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the nine months ended September 30, 2011, Fund capital increased 20.81% from $897,470,308 to $1,084,266,761. This increase was attributable to the net gain from operations of $47,872,197, coupled with the redemption of 49,374,021 Redeemable Units resulting in an outflow of $83,597,954. The cash outflow was offset with cash inflow of $222,522,210 due to subscriptions of 134,586,025 units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

The Fund is not required to provide a Statement of Cash Flows.

Investments

All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in a commodity trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Operations.

Cash and Cash Equivalents

The Fund considered all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost, as provided by the investment manager of the cash equivalent, which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on our treatment of fair value, see Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indexes of financial assets such as stocks, domestic and global stock indexes, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s balance sheet. Contracts are priced daily by the Fund and the gain or loss based on the daily mark to market are recorded as unrealized gains. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bid and asks from open outcry sessions.

Forward Foreign Currency Contracts

Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

Interest Rates and Income

The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each Member is individually responsible for reporting income or loss based on such Member’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the

current year. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2007.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was signed into law on July 21, 2010. The Reform Act enacts financial regulatory reform, and may alter the way in which the Fund conducts certain trading activities. The Reform Act includes measures to broaden the scope of derivative instruments subject to regulation, including by requiring clearing and exchange trading of certain derivatives, imposing new capital and margin reporting, registration and business conduct requirements for certain market participants and imposing position limits on certain over-the-counter derivatives. The Reform Act grants the U.S. Commodity Futures Trading Commission and the Securities and Exchange Commission substantial new authority and requires numerous rulemakings by these agencies. The ultimate impact of these derivatives regulations, and the time it will take to comply, remains uncertain. The final regulations may impose additional operational and compliance costs on the Fund.

Results of Operations

January 1, 2011 to September 30, 2011

January 1, 2011 to March 31, 2011

The Fund experienced a net profit of $22,580,363 before brokerage commissions and related fees in the first quarter of 2011. The Fund’s profits were primarily attributable to energy, stock indices, agriculture and the metals sectors posting profits. The currencies and interest rates sectors posted losses.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as concerns over the unfolding situation in Egypt pushed Brent Crude oil above $100 a barrel, at one point taking it to a historically significant $12 premium over West Texas Intermediate Crude futures. Profits were posted to the Fund in the middle of the quarter as rising tensions in the Middle East and the resignation of the Egyptian President Mubarak were the initial driving force of the change of mood in the market, while the highly unstable political situation in OPEC producer Libya has pushed the price of crude oil up to levels not seen since 2008. Profits continued to be posted to the Fund at the end of the quarter as the energy sector was the top performing sector.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as equity markets continued their rally from the 2010 year end. Profits continued to be posted to the Fund in the middle of the quarter. The upwards trend in the Standard & Poor’s 500 that started in October 2010 was punctuated by a sharp reversal during the end of February. Losses were posted to the Fund at the end of the quarter. Losses in March were concentrated in the stock indices sector, where the trading program held long positions. The nadir in the Japanese equity markets came on the Tuesday after the earthquake, when the Nikkei futures were at one point down 17%.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the trading program focused on crops. Cotton broke its high of the last 30 years in February before advancing above $2 to mark a new high which was not enough to offset losses posted to the Fund. Events in the markets were dominated in March by the natural disaster in Japan resulting in losses posted to the Fund at the end of the quarter.

The metals sector posted profits to the Fund. Gold was a barometer of fear in the markets, as it fell in January resulting in losses posted to the Fund at the beginning of the quarter. Profits were posted to the Fund in the middle of the quarter as Silver went above $30 per troy ounce, a price level not reached since 1981. Profits were made in precious metals but not enough to offset losses from the trading program’s long positions in base metals resulting in losses posted to the Fund at the end of the quarter.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter due to volatility in global markets. Profits were posted to the Fund in the middle through the end of the quarter. The Japanese yen marked a post-war high in March with a 4% intraday gain, prompting the G7 (Canada, France, Germany, Italy, Japan, United Kingdom and the United States) to intervene by selling the Japanese yen. Reactions in other global markets were muted by comparison, and the Fund recovered its losses.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The surprise announcement of a final quarter fall in the United Kingdom Gross Domestic Product calm seemed to return to the Eurozone, where the European Financial Stability Facility’s inaugural bond issue was nine times oversubscribed. Losses were posted to the Fund in the middle through the end of the quarter. The Funds exposure to Japan in March resulted in losses consisting of the 0.08% in Japanese government bonds.

April 1, 2011 to June 30, 2011

The Fund experienced a net trading loss of $16,180,721 before brokerage commissions and related fees in the second quarter of 2011. The Fund’s profits were primarily attributable to the currency sector posting profits. The metals, interest rates, agriculture, stock indices and energy sectors posted losses.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The U.S. dollar came under pressure as it continued to fall against the other major world currencies. The European Central Bank raising their benchmark rate saw the Euro gain against the U.S. dollar, despite speculation that Greece will be forced to restructure its debt and Portugal discussing a rescue package with the International Monetary Fund. Losses were posted to the Fund in the middle of the quarter. The U.S. dollar rallied with a slight recovery towards the end of May. Profits were posted to the Fund at the end of the quarter as the news on both sides of the Atlantic meant that despite volatile moves the Euro showed no clear overall direction.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Gold made record highs while silver rose to its highest level in 31 years due to concerns about the world’s most indebted nations’ ability to repay their debt. Losses were posted to the Fund in the middle of the quarter as precious metals and base metals reversed their earlier rise. Silver fell by 27% in the first week of May and the catalyst for this move was not clear, but it did coincide with COMEX raising the margin requirements on this futures contract. Losses were posted to the Fund at the end of the quarter as commodity market generally fell.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Bonds were the only losing sector, where the net short position had reduced over the course of the month in April. Profits were posted to the Fund in the middle of the quarter as the Fund posted

modest gains in the fixed income sector. Losses were posted to the Fund at the end of the quarter as equity markets fell for a second month, with U.S. and German bonds rising over the same period.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund throughout the quarter. In June commodity markets generally fell, with the $2 per bushel (25%) decline in wheat prices a notable example.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Global stock markets experienced falls during April with Standard & Poor’s reduction in the long term credit outlook of the U.S. weighing on investor sentiment. Losses were posted to the Fund in the middle of the quarter as stock markets fell. Losses were posted to the Fund at the end of the quarter as equity markets fell for a second month.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as the price of crude oil rose over the course of the month, but with significant volatility. Losses were posted to the Fund in the middle of the month as oil reversed an earlier rise. Losses were posted to the Fund at the end of the quarter as commodity markets generally fell.

July 1, 2011 to September 30, 2011

The Fund experienced a net trading profit of $82,651,448 before brokerage commissions and related fees in the third quarter of 2011. The Funds profits were primarily attributable to the interest rate, metals and the agriculture sector posting profits. The energy, stock indices and currency sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The Fund has made strong gains during the month of July with the biggest contribution from fixed income markets where the Fund’s long positions profited from rising government bond markets. Profits were posted to the Fund in the middle through the end of the quarter. In September yields on the Greek 2 year government bonds came within 70%, while at the other extreme Swiss short term interest rate futures continue to trade above 100, implying that the market is forecasting negative interest rates. Government bond futures produced profits for the Fund at the end of the quarter.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the rise in gold and silver. Profits were posted to the Fund in the middle through the end of the quarter. The trading program’s short positions in precious metals resulted in losses which were offset by base metals resulting in profits posted to the Fund at the end of the quarter.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter only to be reversed in the middle through the end of the quarter due to volatility in the commodity markets.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Losses were posted to the Fund in the middle through the end of the quarter.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund throughout the quarter. Global stock markets saw some sharp falls in August with the Dow and Euro Stoxx closing the month down. The financial stocks created much of the downward pressure, pushing a number of European countries to introduce temporary bans on shorting shares in their major financial institutions.

The trading program’s short positions in the stock index futures resulted in losses posted to the Fund in September.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as the Euro-U.S. dollar exchange rate showing no clear trend. Losses were posted to the Fund in the middle through the end of the quarter. In September speculation continued about Greek sovereign debt default loomed large, with indicators suggesting that the world’s developed economies are slipping back into recession. Through much of the year the Euro had been relatively unaffected by concerns over Greece, but, anxiety did spill over into the single currency which fell in September.

January 1, 2010 to September 30, 2010

January 1, 2010 to March 31, 2010

The Fund experienced a net trading profit of $36,899,735 before brokerage commissions and related fees in the first quarter of 2010. Profits were attributable to currencies, interest rates, stock indices, agriculture, metals and agriculture sectors.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. The Fund reintroduced currency forwards trading on the Brazilian real and the Russian ruble due to the Fund’s intention to only use currency forwards when the Fund is unable to gain satisfactory liquidity in the futures markets. Profits were posted to the Fund in the middle of the quarter. Concerns over Greek Sovereign Debt and its impact on the euro formed the back drop to January’s trading as the euro continued its fall against the U.S. dollar and the short euro positions. Profits were posted to the Fund at the end of the quarter due to the continued concern over the economic situation in Greece with the risk of a similar story playing out in other European countries. The euro rallied for the first two weeks of March before reversing resulting in new lows for the year plus the weakness in the British sterling resulting in profits being posted to the Fund.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter due to gains in the short term interest rates. Losses were posted to the Fund at the end of the quarter due to the lack of clear direction in the bond markets.

The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. January started well through the middle of the month. The Obama administration’s announcement of its intention to reduce speculative activities by banks started a sharp sell-off in equity markets, wiping out earlier gains. These losses occurred in long equity positions. Profits were posted to the Fund in the middle of the quarter. Stock Index futures posted modest gains, with positions sizably reduced from the previous month. Profits were posted to the Fund at the end of the quarter. The stock markets put in a strong performance with the Dow Jones up, reaching a level not seen since September 2008.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to long positions in the sugar markets, whose price rallied due to supply concerns. Losses were posted to the Fund in the middle of the quarter. The longer term bull market in sugar reversed sharply from multi-year highs as output in both Brazil and India rose. Profits were posted to the Fund at the end of the quarter. Crops were up in March and the center of the action in the commodities markets

has been sugar, where over the course of February and March it has gone from a 25 year high of around $29 down to $16.

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Poorer growth outlook resulted in many commodities markets selling off. The month of February was, to a large degree, dominated by news flow relating to the debt crisis within the Euro zone. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant. As a result, the Fund posted profits in the middle of the quarter. Profits were seen in industrial metals in March, especially nickel which reached a twenty two month high. The quarter ended with profits being posted to the Fund.

The energy sector posted profits to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter due to poorer growth outlook resulting in many commodities markets selling off. Also, oil prices faced additional downward pressure due to an increase in inventories and milder weather in the United States. The quarter ended with profits being posted to the Fund as commodity markets generally follow the direction of stock markets and finished the month of March higher.

April 1, 2010 to June 30, 2010

The Fund experienced a net trading profit of $24,730,322 before brokerage commissions and related fees in the second quarter of 2010. Profits were attributable to interest rates, currencies and metals sectors while agriculture, energy and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as bond markets rallied. Despite the concerns over sovereign debt, a rally in government bonds continued in May resulting in profits posted to the Fund in the middle of quarter. Greek, Portuguese and Spanish bond yields have continued to rise in June reflecting continued skepticism about longer term viability. However, bond yields in the larger developed countries fell, as doubts about the cyclical recovery rose, in part in response to weaker data, not least in China, but also in part due to uncertainty concerning the right course for policy. The quarter ended with profits being posted to the Fund.

The currency sector posted profits to the Fund. The euro’s slide toward $1.32 in April was the biggest contributor to the sector’s posting profits to the Fund. Profits continued to be posted to the Fund in the middle of the quarter with the trading program’s short positions in euro and British pound positions covering losses from long positions in the Australian and Canadian dollar. China announced that it was to break the China yuan’s strict U.S. dollar peg, paving the way for a controlled level of appreciation. The currency peg had strained relations between the U.S. and China which had been accused of holding its currency at an artificially low level so as to help domestic exporters at the expense of their foreign counterparts. The quarter ended with losses being posted to the Fund.

The metals sector posted profits to the Fund. The prices of base metals did not show any recovery after the major events in April which posted losses for the Fund but were offset by existing long positions in precious metals resulting in profits being posted to the Fund at the beginning of the quarter. The month of May began with a very difficult first week, which ultimately determined the month-end result. Concerns about the euro continued and would spill over to the commodity markets in the beginning of May. The fear was that the instability in Europe would on a larger scale be harmful to economic growth resulting in losses being posted to the Fund in the middle of the quarter. Precious metals continued to appreciate in June resulting in profits being posted to the Fund.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning and end of the quarter. Profits were posted to the Fund in the middle of the quarter due to short positions in grains.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter resulting from purchases in liquid energy products. Due to the declining prices in the energy markets, which started in the beginning of May, purchases of crude oil, heating oil and gasoline provided the biggest contribution to the negative outcome of this sector resulting in losses posted to the Fund in the middle of the quarter. The downward trends in the oil markets, initialized in May, did not continue in June resulting in losses being posted to the Fund.

The stock indices posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The major events in the second half of April, the closing of European airports due to the volcano ash problems, the indictment against Goldman Sachs by the Securities and Exchange Commission and when Standard & Poor downgraded Greece and Portugal were strongly felt in the stock markets. Many equity indices, especially European, did not recover from these shocks however, the markets in the United States especially in the small and midcap indices, showed the highest resilience resulting in profits being posted to the Fund. The most dramatic event in the month of May was the so called “flash crash” in U.S. equities on May 6th. caused by an alleged trading irregularity resulting in losses being posted to the Fund in the middle of the quarter. Equities continued their downward slide in June as concerns regarding European financial stability and global growth plagued markets. While stock indices globally rebounded slightly in the middle of June, the last two weeks were particularly volatile and stocks sold off resulting in losses being posted to the Fund at the end of the quarter.

July 1, 2010 to September 30, 2010

The Fund experienced a net trading profit of $26,335,316 before brokerage commissions and related fees in the third quarter of 2010. Profits were attributable to the interest rate and metal sectors while stock indices, currency, agriculture and the energy sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. July saw the defensive mood of the previous two months reverse with a rally in global equities, a stalling of the rise in Government bonds and a further recovery in the euro. Short term interest rates, driven by falls in U.S. and the LIBOR rates, were the best performing sector. Profits continued to be posted to the Fund in the middle of the quarter due to the rally in U.S. government bonds that has lasted since April 2010. The U.S. ten year note futures moved back to levels not seen since the end of 2008, while the German bund futures have moved far beyond their 2008 highs. Investors appear to be seeking comfort in the perceived safety of the fixed income markets. A U.S. government auction of 7 year securities at the end of August was completed at all time record low yields, with reports of strong private investor flows into bond funds. The start of September saw a sell-off in government bonds, in tandem with a rally in world equity markets. A statement by the U.S. Federal Reserve towards the end of the month drove expectations of further quantitative easing so government bonds resumed their upward ascent resulting in losses being posted to the Fund at the end of the quarter.

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter as the Fund’s trading program gave back a portion of the year’s gains with precious metals contributing to the losses. Price movements in gold were opposite to those of the prior month with

precious metals contributing to profits being post to the Fund in the middle of the quarter. Profits continued to be posted at the end of the quarter as base metals moved higher at the end of September and gold prices hit fresh highs.

The stock indices posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter through the middle of the quarter. August brought weak economic numbers creating fears that the recovery in the U.S. was losing traction. Data released showed a substantial fall in the sales of existing U.S. homes in July, back to levels not seen for nearly 20 years. The fall in stock markets went back to levels not seen since the start of July. The quarter ended with profits being posted to the Fund. The start of September was a sell off in government bonds, in tandem with a rally in world equity markets. Equity markets in yet another reversal of fortune closed the month up.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The currency sector was the least performing sector in July resulting in losses attributable to the price movements in the euro. Only to be reversed in August as price movements in the euro was opposite to those of the prior month resulting in profits being posted to the Fund in the middle of the quarter. September’s pinnacle of excitement was the Bank of Japan intervening to sell the Japanese yen which had hit a 15 year high against the U.S. dollar. After a large one day fall in the Japanese yen U.S. dollar exchange rate, the market resumed its ascent, suggesting that the willingness of the Bank of Japan to intervene further may be tested. The quarter ended with profits being posted to the Fund for the currency sector in September.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter with crops contributing to the losses. In September grains moved higher and in cotton futures the market hit a 15 year high. The quarter ended with profits being posted to the Fund for the agriculture sector in September.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter only to be reversed in August. Profits were posted to the Fund in the middle of the quarter as crude oil price movements were opposite to the prior month. In September, crude oil ended the month close to where it started resulting in losses being posted to the Fund.

The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market

value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund, under the direction of Winton, rapidly acquires and liquidates both long and short positions in currency markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.

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

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statement” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by Winton is quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

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

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

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the nine months ended September 30, 2011 and 2010, the Fund’s average Month-end Net Asset Value was approximately $990,992,000 and $771,220,152, respectively.

September 30, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	5,780,283	0.58	%	$	10,077,776	$	2,875,134
Currencies	10,455,878		1.06	%	15,730,419		2,350,355
Energy	9,401,948		0.95	%	12,719,515		6,326,370
Interest Rates	6,090,586		0.61	%	16,830,528		398,687
Metals	10,455,108		1.06	%	16,843,085		2,119,338
Stock Indices	9,513,176		0.96	%	16,293,373		2,296,558

TOTAL	$	51,696,979	5.22	%	$	88,494,696	$	16,366,442

September 30, 2010

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	4,129,843	0.53	%	$	7,364,790	$	1,685,932
Currencies	11,013,227		1.41	%	18,820,682		6,616,319
Energy	2,764,137		0.35	%	4,820,597		1,150,205
Interest Rates	11,664,672		1.50	%	17,843,118		6,417,324
Metals	14,229,232		1.83	%	23,221,359		10,045,055
Stock Indices	6,523,989		0.84	%	13,498,387		373,571

TOTAL	$	50,325,100	6.46	%	$	85,568,933	$	26,288,406

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other

investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

The Fund also has non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S or BlackRock. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Winton for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of September 30, 2011, by market sector.

Interest Rates

Interest rate risk is the principal market exposure of the Fund. Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund also takes positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

Currencies

The Fund trades in a number of currencies. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.

Stock Indices

The Fund’s primary equity exposure is to S&P 500, Euro stoxx, Nikkei, NASDAQ and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

The Fund’s metals market exposure is to fluctuations in both the price of precious and non-precious metals.

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, livestock, cocoa, corn and coffee accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of September 30, 2011.

Energy

The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of September 30, 2011.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Australian dollar, Canadian dollar, New Zealand dollar and Euros.

U.S. Dollar Cash Balance

The Fund holds U.S. dollars only in cash at MLPF&S and BlackRock. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

Item 4. Controls and Procedures

MLAI, the Sponsor of ML Winton FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) OR Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Fund as of the end of the period covered by this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended September 30, 2011 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2010, filed with the Securities and Exchange Commission on March 15, 2011.

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

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling of the Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	3,708,669	2,206,228	$	1.6810
Feb-11	2,652,039		1,579,535	1.6790
Mar-11	7,635,507		4,483,826	1.7029
Apr-11	5,864,781		3,450,886	1.6995
May-11	8,100,295		4,643,067	1.7446
Jun-11	8,622,616		5,058,143	1.7047
Jul-11	9,177,026		5,516,366	1.6636
Aug-11	5,518,329		3,187,022	1.7315
Sep-11	3,254,600		1,851,729	1.7576
Oct-11	4,474,642		2,545,158	1.7581

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	10,773,415	6,791,965	$	1.5862
Feb-11	10,825,271		6,838,453	1.5830
Mar-11	13,955,583		8,699,946	1.6041
Apr-11	15,852,414		9,910,236	1.5996
May-11	12,240,913		7,460,787	1.6407
Jun-11	20,701,718		12,924,034	1.6018
Jul-11	15,251,460		9,764,684	1.5619
Aug-11	9,427,273		5,803,899	1.6243
Sep-11	10,863,705		6,594,455	1.6474
Oct-11	10,860,495		6,596,110	1.6465

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	7,474,997	4,416,803	$	1.6924
Feb-11	—		—	1.6925
Mar-11	—		—	1.7187
Apr-11	7,699,997		4,483,259	1.7175
May-11	1,299,999		736,460	1.7652
Jun-11	4,238,745		2,454,398	1.7270
Jul-11	—		—	1.6875
Aug-11	498,749		283,622	1.7585
Sep-11	2,723,604		1,523,864	1.7873
Oct-11	3,509,696		1,960,724	1.7900

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	809,815	474,186	$	1.7078
Feb-11	425,991		249,658	1.7063
Mar-11	1,664,037		961,260	1.7311
Apr-11	995,888		576,224	1.7283
May-11	1,211,952		682,905	1.7747
Jun-11	3,724,129		2,146,967	1.7346
Jul-11	659,776		389,616	1.6934
Aug-11	2,856,892		1,620,380	1.7631
Sep-11	3,008,246		1,680,303	1.7903
Oct-11	2,203,402		1,229,989	1.7914

CLASS DS

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	3,823,472	2,262,008	$	1.6903
Feb-11	—		—	1.6905
Mar-11	3,521,608		2,051,502	1.7166
Apr-11	—		—	1.7153
May-11	1,458,699		827,349	1.7631
Jun-11	—		—	1.7249
Jul-11	—		—	1.6854
Aug-11	—		—	1.7564
Sep-11	—		—	1.7851
Oct-11	—		—	1.7878

CLASS DT

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	—	—	$	1.7532
Feb-11	—		—	1.7540
Mar-11	—		—	1.7834
Apr-11	—		—	1.7827
May-11	—		—	1.8360
Jun-11	—		—	1.7944
Jul-11	—		—	1.7532
Aug-11	—		—	1.8305
Sep-11	—		—	1.8630
Oct-11	—		—	1.8667

(1) Beginning of the month Net Asset Value

(a)

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C, Class DS and Class DT Units are not subject to any sales commissions.

(b) Not applicable.

Item 3.	Defaults Upon Senior Securities

	None.

Item 4.	(Reserved and Removed)

Item 5.	Other Information

	None.

Item 6.	Exhibits

	The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

	31.01 and
	31.02 Rule 13a-14(a)/15d-14(a) Certifications

	Exhibit 31.01
	and 31.02 Are filed herewith.

	32.01 and
	32.02 Section 1350 Certifications

	Exhibit 32.01
	and 32.02 Are filed herewith.

	Exhibit 101 Are filed herewith.
	The following materials from the Fund’s quarterly Report on Form 10-Q for the three and nine month periods ended September 30, 2011 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text. (1)

(1) These interactive data files shall not be deemed filed for purposes of Section 11 or 12 of the Securities Act as amended, or Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to liability under those sections.

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.

	ML WINTON FUTURESACCESS LLC


	By:	MERRILL LYNCH ALTERNATIVE
		INVESTMENTS LLC
		(Manager)


Date: November 10, 2011	By:	/s/ JUSTIN C. FERRI
		Justin C. Ferri
		Chief Executive Officer, President and Manager
		(Principal Executive Officer)


Date: November 10, 2011	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial and Accounting Officer)

ML Winton FuturesAccess LLC - FORM 10-Q - November 10, 2011

Attached files

ML Winton FuturesAccess LLC Reports