Back to GetFilings.com



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, 2003,


or

[ ] 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
- -------------------------------------------------------------------------------
(State or other jurisdiction of incorporation or organization)


47 Hulfish Street, Suite 510, Princeton, New Jersey
- -------------------------------------------------------------------------------
(Address of principal executive offices)


Unleveraged Series: 22-2897229
Enhanced Series: 22-3722683
- -------------------------------------------------------------------------------
(IRS Employer Identification Number)


08542
- -------------------------------------------------------------------------------
(Zip Code)


(609) 924-8868
- -------------------------------------------------------------------------------
(Registrant's telephone number including area code)



- -------------------------------------------------------------------------------
(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
----- -----


-1-










MLM Index Fund
Index to FORM 10Q
June 30, 2003

Contents

PART I - FINANCIAL INFORMATION

Page
Number
Item 1 Financial Statements:

Interim Statements of Financial Condition as of June 30,
2003 (unaudited) and December 31, 2002(audited) 3

Interim Condensed Schedule of Investments as of June 30,
2003 (unaudited) and December 31, 2002(audited) 4

Unaudited Interim Statements of Operations For the Three
Months Ended June 30, 2003 and 2002 and For the Six Months
Ended June 30, 2003 and 2002 5

Unaudited Interim Statement of Changes in Partners' Capital
for the Six Months Ended June 30, 2003 and 2002 6

Notes to Unaudited Interim Financial Statements for the
Six Months Ended June 30, 2003 10


Item 2 Management's Discussion and Analysis of Financial Condition 15
and Results of Operations


Item 3 Quantitative and Qualitative Disclosures of Market Risk 17

Item 4 Controls and Procedures 17

PART II - OTHER INFORMATION

Item 1 Legal Proceeding 18


Item 2 Changes in Securities and Use of Proceeds 18

Item 3 Defaults Upon Senior Securities 19


Item 4 Submission of Matters to a Vote of Security Holders 19


Item 5 Other Information 19


Item 6 Exhibits and Reports on Form 8-K 19



2







MLM Index Fund
INTERIM STATEMENTS OF FINANCIAL CONDITION
AS OF June 30. 2003 (Unaudited) AND DECEMBER 31, 2002 (Audited)



June 30, December 31,
2003 2002
---------------------------------------

Assets
Cash and cash equivalents $204,918,202 $195,744,016
Due from broker 18,129,180 16,239,584
Prepaid expenses 229,258 -
Other assets 230,323 33,157
---------------------------------------
Total assets $223,506,963 $212,016,757
=======================================

Liabilities and investors' interest
Redemptions payable $2,721,513 $7,377,075
Brokerage commission payable 268,363 237,304
Management fee payable 300,571 263,552
Accrued expenses 45,607 144,413
---------------------------------------
Total liabilities 3,336,054 8,022,344

Investors' interest 220,170,909 203,994,413
---------------------------------------
Total liabilities and investors' interest $223,506,963 $212,016,757
=======================================

=======================================



See Notes to Financial Statements




3








MLM Index Fund
CONDENSED SCHEDULES OF INVESTMENTS

JUNE 30, 2003 (Unaudited)
Percentage of Investors'
Security Description Market Value Interest
- ----------------------------------------------------------------------------------------------

Futures Contracts-(2.47%)
Long $4,724,923 2.15%
Short 716,005 0.32%
-------------------------------------------------
Net unrealized appreciation on
futures contracts $5,440,928 2.47%
=================================================





December 31, 2002 (Audited)
Percentage of Investors'
Security Description Market Value Interest
- ----------------------------------------------------------------------------------------------

Futures Contracts- 8.87%
Long $17,832,683 8.74%
Short 271,250 0.13%
-------------------------------------------------
Net unrealized appreciation on
futures contracts $18,103,933 8.87%
=================================================








See Notes to Financial Statements






4










MLM Index Fund
UNAUDITED INTERIM STATEMENTS OF OPERATIONS


For the three For the three For the six For the six
months ended months ended months ended months ended
June 30, June 30, June 30, June 30,
2003 2002 2003 2002


Investment income
Interest $612,800 $898,217 $ 1,281,910 $1,784,382

Expenses
Brokerage commissions 802,026 662,588 1,604,933 1,405,854
Management fee 708,048 624,612 1,412,137 1,328,160
Operating expenses 468,774 166,462 735,521 346,652
-----------------------------------------------------------------------------
Total expenses 1,978,848 1,453,662 3,752,591 3,080,666

Net investment income (loss) (1,366,048) (555,445) (2,470,681) (1,296,284)

Realized and unrealized gain (loss)
on investments
Net realized gain (loss) (14,229,267) (18,637,756) 13,496,728 (29,091,273)
Net change in unrealized appreciation
(depreciation) on investments
6,612,892 14,210,356 (12,391,889) (521,393)
-----------------------------------------------------------------------------

Net realized and unrealized gain
(loss) on investments (7,616,375) (4,427,400) 1,104,839 (29,612,666)
-----------------------------------------------------------------------------


Net income (loss) $ (8,982,423) $ (4,982,845) $ (1,365,842) $ (30,908,950)
=============================================================================



See Notes to Financial Statements





5









MLM Index Fund
UNAUDITED INTERIM STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE SIX MONTHS ENDED JUNE 30, 2003

Enhanced Series
-------------------

Total
Class A-1 Class A Class B-1 Class B Class C Enhanced
Shares Shares Shares Shares Shares Series
------------------------------------------------------------------------------------------------

Investors' interest at
December 31, 2002 $166,740 $27,666,865 $1,820,270 $90,368,012 $6,071,072 $126,092,959
Subscriptions - 3,807,499 - 13,030,130 99,500 16,937,129
Redemptions (58,786) (1,456,537) (155,611) (5,937,476) - (7,608,410)
Transfers - (387,657) - 653,067 - 265,410
Net loss 2,128 (467,007) 9,902 (831,266) (56,519) (1,342,762)
------------------------------------------------------------------------------------------------
Investors' interest at
June 30, 2003 $110,082 $29,163,163 $1,674,561 $97,282,467 $6,114,053 $134,344,326
================================================================================================

Shares at December 31, 2002 1,567.81 294,432.67 16,888.48 918,690.21 74,838.99 1,306,418.16
Subscriptions - 39,085.35 - 126,962.85 1,168.47 167,216.67
Redemptions (526.06) (15,358.86) (1,368.81) (58,290.07) - (75,543.80)
Transfers - (4,053.40) - 6,314.14 - 2,260.74
-----------------------------------------------------------------------------------
Shares at June 30, 2003 1041.75 314,105.76 15,519.67 993,677.13 76,007.46 1,400,351.77
================================================================================================

Net asset value per share:
June 30, 2003 $105.67 $92.85 $107.90 $97.90 $80.44
===================================================================================

6





Unleveraged Series
----------------------------------------------------------------------------------------------------
Total
Total Investors' Interest
Class A-1 Class A Class B-1 Class B Unleveraged ($100 Par
Shares Shares Shares Shares Series Value/Share)
----------------------------------------------------------------------------------------------------


Investors' interest at
December 31, 2002 $ 800,249 $13,253,585 $1,233,316 $62,614,304 $ 77,901,454 $ 203,994,413
Subscriptions - 3,830,306 - 12,767,755 16,598,061 33,535,190
Redemptions (153,541) (605,389) (290) (7,625,223) (8,384,443) (15,992,853)
Transfers - (23,880) - (241,530) (265,410) -
Net loss 1,836 (90,600) 5,746 59,938 (23,080) (1,365,842)
----------------------------------------------------------------------------------------------------
Investors' interest at
June 30, 2003 $ 648,544 $16,364,022 $1,238,772 $67,575,244 $ 88,826,582 $ 220,170,908
====================================================================================================

Shares at December 31, 2002 7,275.76 124,491.78 10,783.92 566,291.85 708,843.31 2,015,261.47
Subscriptions - 35,457.19 - 113,366.20 148,823.39 316,040.06
Redemptions (1,377.12) (5,622.92) (2.48) (67,843.58) (74,846.10) (150,389.90)
Transfers - (214.71) - (2,115.64) (2,330.35) (69.61)

----------------------------------------------------------------------------------------------------
Shares at June 30, 2003 5,898.64 154,111.34 10,781.44 609,698.83 780,490.25 2,180,842.02
====================================================================================================
Net asset value per share:
June 30, 2003 $109.95 $106.18 $114.90 $110.83
===========================================================


See Notes to Financial Statements



7




MLM Index Fund
UNAUDITED INTERIM STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE SIX MONTHS ENDED JUNE 30, 2002

Enhanced Series
-----------------------------------------------------------------------------
Total
Class A-1 Class A Class B-1 Class B Class C Enhanced
Shares Shares Shares Shares Shares Series

-----------------------------------------------------------------------------


Investors' interest at $153,689 $26,820,513 $4,193,995 $91,711,548 $4,024,210 $126,903,955
December 31, 2001
Subscriptions - 4,391,365 24,875 20,465,537 2,457,750 27,339,527
Redemptions (19,733) (1,636,332) (685,975) (6,288,372) - (8,630,412)
Transfers 54,046 (651,375) - (2,061,256) - (2,658,585)
Net (loss) (33,256) (5,659,071) (695,754) (19,381,087) (836,448) (26,605,616)
-----------------------------------------------------------------------------
Investors' interest at
June 30, 2002 $154,746 $23,265,100 $2,837,141 $84,446,370 $5,645,512 $116,348,869
=============================================================================


Shares at December 31, 2001 1,241 242,231 33,918 803,319 42,419 1,123,128
Subscriptions - 46,920 197 207,906 32,420 287,443
Redemptions (199) (16,370) (5,538) (63,174) - (85,281)
Transfers 526 (7,530) - (21,367) - (28,371)

-----------------------------------------------------------------------------

Shares at June 30, 2002 1,568 265,251 28,577 926,684 74,839 1,296,919

=============================================================================
Net asset value per share:
June 30,2002 $98.70 $ 87.71 $99.28 $91.13 $75.44
==============================================================



8



Unleveraged Series
------------------------------------------------------------------------------
Total
Total Investors'
Class A-1 Class A Class B-1 Class B Unleveraged Interest
Shares Shares Shares Shares Series ($100 Par
Value/Share)
------------------------------------------------------------------------------


Investors' interest at $910,801 $8,248,822 $1,985,391 $59,157,708 $70,302,722 $197,206,677
December 31, 2001
Subscriptions - 4,301,330 - 10,690,287 14,991,617 42,331,144
Redemptions (21,267) (114,852) (600,605) (8,867,604) (9,604,328) (18,234,740)
Transfers (54,046) (85,290) - 2,797,921 2,658,585 -
Net (loss) (58,068) (707,871) (82,364) (3,455,031) (4,303,334) (30,908,950)
------------------------------------------------------------------------------
Investors' interest at
June 30, 2002 $777,420 $11,642,139 $1,302,422 $60,323.281 $74,045,262 $190,394,131
==============================================================================

Shares at December 31, 2001 7,976 74,313 16,874 517,660 616,823 1,739,951
Subscriptions - 39,885 - 98,118 138,003 425,446
Redemptions (199) (1,102) (5,092) (78,470) (84,863) (170,144)
Transfers (500) (783 - 25,836 24,553 (3,818)
------------------------------------------------------------------------------
Shares at June 30, 2002 7,277 112,313 11,782 563,144 694,516 1,991,435
===============================================================================
Net asset value per share:
June 30,2002 $106.85 $103.66 $110.55 $107.12
==================================================


See Notes to Financial Statements






9




MLM Index Fund
Notes to Unaudited Interim Financial Statements
for the Six Months Ended June 30, 2003


1. Significant Accounting Policies

Organization and Basis of Financial Statements

MLM Index Fund (the "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 Fund was organized for the primary purpose of seeking
capital appreciation through the speculative trading of a diversified portfolio
of futures contracts traded on U.S. exchanges using the MLM Index Trading
Program, which is based upon the MLM Index. The MLM 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. Only highly-liquid U.S. futures markets are currently included in the
MLM Index.

The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the amounts reported in the financial statements and
accompanying notes. Management believes that the estimates utilized in preparing
the financial statements are reasonable and prudent; however, actual results
could differ from those estimates.

Cash and Cash Equivalents

Cash equivalents consist of short term money market investments and deposits in
money market mutual funds, which are carried at cost plus accrued interest,
which approximates market value. At June 30, 2003 and December 31, 2002, the
Fund had approximately $34,203,000 and $35,161,000, respectively, in overnight
funds with one major domestic bank and $165,183,497 and $158,778,566 at June 30,
2003 and December 31, 2002 invested in money market securities, respectively.

Certificate of Deposit

At June 30, 2003 and December 31, 2002, the Fund did not hold any certificates
of deposits with a large financial institution.





10







MLM Index Fund
Notes to Financial Statements (continued)

1. Significant Accounting Policies (continued)

Valuation of Trading Positions

The Fund's trading positions are valued at market value, including accrued
interest where applicable, and are included in amounts due from broker. Market
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
trading results for the period.


Income Taxes

The Unleveraged Series and the Enhanced Series each will be classified for
federal income tax purposes as a separate partnership. Interest Holders of a
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 Fund.

2. Investors' Interest

The Fund is comprised of two series: the Unleveraged Series, which attempts to
replicate the MLM Index without leverage, and the Enhanced Series, which trades
the MLM Index at three times leverage. Prior to June 2002, each Series had four
classes of shares: Class A-1, Class A (formerly Class A-2), Class B-1, and Class
B (formerly Class B-2). In June 2002, an additional class of shares, Class C,
was offered under the Enhanced Series. Class A-1 and Class B-1 Interests are no
longer offered. Class A, Class B and Class C Interests are sold by authorized
selling agents appointed by Mount Lucas Management Corporation (the "Manager")
to accredited investors at a price equal to such Class' net asset value.
Interests 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.

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

The Manager paid all of the expenses associated with the organization of the
Fund and the offered interests. As a result, each investor pays the Manager an
organizational fee in the amount of 0.5% of their initial investment in any
Series and any subsequent investment. The organizational fee is not charged once
an investor has invested $1,000,000 or more.





11






MLM Index Fund
Notes to Financial Statements (continued)

2. Investors' Interest (continued)

The Class A Interests of the Unleveraged and Enhanced Series are subject to a
sales commission of up 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.

As of June 30, 2003, the Manager of the Fund had contributed $1,000 to each
Series of the Fund.

3. Margin Requirements

The Fund had margin requirements of approximately $23,117,274 and $23,884,268 at
June 30, 2003 and December 31, 2002, respectively, which were satisfied by net
unrealized profits and cash at the brokers.

4. Management Fee, Administrative Services and Other Transactions

The Fund pays the Manager a management fee as a percentage of net assets, as of
the first day of each month at the annualized rates of 2.15% for Class A-1, 2.8%
for Class A, 0.65% for Class B-1, 1.3% for Class B and 2.05% for Class C for the
Enhanced Series and 1.25% for Class A-1, 1.5% for Class A, 0.25% for Class B-1
and 0.5% for Class B for the Unleveraged Series.

The Fund pays the introducing broker a brokerage fee as a percentage of net
assets, as of the first day of each month at the annualized rates of 1.35% for
Class A-1, 1.85% for Class A, 1.35% for Class B-1, 1.85% for Class B and 1.85%
for Class C for the Enhanced Series and 0.65% for Class A-1, 0.85% for Class A,
0.65% for Class B-1 and 0.85% for Class B for the Unleveraged Series.

The Fund pays its legal, accounting, auditing and other operating expenses and
fees. The manager will reimburse any Series for these expenses to the extent
that they exceed 0.5% of the average net assets of such Series of the Fund in
any calendar year. There were no reimbursements for the six months ended June
30, 2003 and for the year ended December 31, 2002.





12







MLM Index Fund
Notes to Financial Statements (continued)

5. Derivative Financial Instruments

Derivatives are financial instruments whose values are based upon an underlying
asset (e.g., treasury bond), index (e.g., S&P 500) or reference rate (e.g.,
LIBOR). Over-the-counter ("OTC") derivative products are privately negotiated
contractual agreements that can be tailored to meet individual client needs, and
include forwards, swaps and certain options. Exchange traded derivative products
are standardized contracts transacted through regulated exchanges and include
futures, and certain option contracts listed on an exchange.

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

The Fund purchases and sells futures in financial instruments and commodities.
The Fund 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 table reflects the fair value of the Fund's derivative financial
instruments.

Fair Value at
June 30, 2003 December 31, 2002
---------------------------------------------------------
Assets Liabilities Assets Liabilities
---------------------------------------------------------

Commodity Futures $ 7,553,342 $3,653,610 $15,872,442 $2,882,101
Financial Futures 2,793,446 1,252,250 5,116,842 3,250
---------------------------------------------------------

$10,346,788 $4,905,860 $20,989,284 $2,885,351

=========================================================





13




MLM Index Fund
Notes to Financial Statements (continued)
6. Financial Highlights

The following represents the per share operating performance ratios to average
limited partners' capital and other supplemental information for the six months
ended June 30, 2003:

Enhanced Series Unleveraged Series
---------------------- -----------------------

Class A-1 Class A Class B-1 Class B Class C Class A-1 Class A Class B-1 Class B
Shares Shares Shares Shares Shares Shares Shares Shares Shares
----------------------------------------------------- ---------------------------------------

Per share operating performance:
Net asset value per share, $106.35 $93.97 $107.78 $98.37 $81.12 $109.99 $106.46 $114.37 $110.57
December 31, 2002
Income from investment
operations:
Net investment income (0.80) (1.12) (0.02) (0.40) (0.65) (0.44) (0.56) 0.14 (0.02)
(loss)
Net realized and
unrealized gain (loss) on 0.12 0.00 0.14 (0.07) (0.03) 0.40 0.28 0.39 0.28
Investment
transactions
------------------------------------------------------- --------------------------------------
Total from investment (0.68) (1.12) 0.12 (0.47) (0.68) (0.04) (0.28) 0.53 0.26
operations
------------------------------------------------------- --------------------------------------
Net asset value per share, $105.67 $92.85 $107.90 $97.90 $80.44 $109.95 $106.18 $114.90 $110.83
June 30, 2003
======================================================= ======================================

Total Return: (.64%) (1.19%) .11% (0.47%) (0.84%) (0.04%) (0.26%) 0.47% 0.24%

Ratio to Average Net Assets:
Net investment income (loss) (0.06%) (0.20%) (0.01%) (0.07%) (0.14%) (0.08%) (0.11%) 0.00% (0.02%)
Expenses (0.18%) (0.29%) (0.10%) (0.16%) (0.23%) (0.17%) (0.20%) (0.09%) (0.11%)

Total return is calculated as the change in the net asset value per share for
six months ending June 30, 2003. The per share operating performance and ratios
are computed based upon the weighted average shares outstanding and weighted
average net assets, respectively, for each class, for the six months ended June
30, 2003.









14




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

General

MLM Index(TM) Fund is a business trust organized under the laws of Delaware. The
Fund engages primarily in the speculative trading of a diversified portfolio of
futures contracts traded on U.S. exchanges using the MLM Index(TM) Trading
Program. Futures contracts are standardized contracts made on or through a
commodity exchange and provide for future delivery of commodities, precious
metals, foreign currencies or financial instruments and, in the case of certain
contracts such as stock index futures contracts and Eurodollar futures
contracts, provide for cash settlement. The Fund's objective is the appreciation
of its assets through speculative trading. The Fund began trading on January 4,
1999.

The Fund trades speculatively in a wide range of futures contracts
traded on U.S. exchanges using the MLM Index(TM) Trading Program, which is based
upon the MLM Index(TM). The MLM Index(TM) and the MLM Index(TM) Trading Program
are both proprietary products of the Manager. The MLM Index(TM) Trading Program
attempts to replicate the MLM Index(TM), before fees and expenses. Currently the
Fund has two series of interests; the Unleveraged Series and the Enhanced
Series. The Unleveraged Series attempts to replicate the MLM Index(TM) without
any leverage, while the Enhanced Series trades the MLM Index(TM) 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 Enhanced Series
purchases or sells $3 market value of contracts for every $1 invested in the
Series.

In attempting to replicate the MLM Index(TM), the Manager will invest
in the same markets as the MLM Index(TM); use the same algorithm to determine
long versus short positions; make the same allocations to each market; and
generally execute positions at almost the same time. The success of the trading
program and hence the success of the Fund will depend upon the results of the
MLM Index and the manager's ability to replicate those results in the futures
markets. The success of the MLM Index depends on the existence of substantial
long term price trends, either up or down, in the constituent markets of the MLM
Index. Whether the Manager can capture those returns depends on its ability to
execute the orders in the futures markets to replicate the MLM Index results. In
addition, the success of the Fund will depend on the level of short term
interest rates, since the majority of the assets of the Fund are held in short
term interest rate instruments.


Mount Lucas Management Corporation, a Delaware corporation, acts as the
manager and trading advisor of the Fund. The Manager was formed in 1986 to act
as an investment manager. As part of a planned merger in October 1999, the
Manager combined operations with Mount Lucas Index Management Corporation (the
former manager of the Fund), CA Partners, Inc. and Little Brook Corporation of
New Jersey. The purpose of the merger was to streamline and consolidate the
operations of the affiliated entities. As of July 31, 2003, the Manager had
approximately $667 million of assets under advisement. The Manager is a
registered investment adviser under the Investment Advisers Act of 1940 and is a
registered commodity trading advisor and commodity pool operator with the
Commodity Futures Trading Commission (the "CFTC") and a member of the National
Futures Association (the "NFA"). The Manager may from time to time operate other
investment vehicles.


The Fund and the Manager maintain their principal business office at 47
Hulfish Street, Suite 510, Princeton, New Jersey 08542 and their telephone
number is (609) 924-8868.

Summary of Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the amounts reported in the financial statements and
accompanying notes. Management believes that the estimates utilized in preparing
the financial statements are reasonable and prudent; however, actual results
could differ from those estimates. The Fund's significant accounting policies
are described in detail in Note 1 of the Notes to Financial Statements.





15



The Fund 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 are involved in determining fair value in the absence of
an active market closing price.

Results of Operations

As of 6/30/2003, the Fund had assets of $223,506,963 compared with assets
of $212,016,757 on 12/31/2002. Liabilities of the Fund totaled $3,336,054
compared with $3,583,728 for the previous fiscal year. In general, changes in
the net assets of the Fund are the result of subscriptions and redemptions to
the Fund, and the net income from operations, including the results from futures
trading, interest income, and fees and expenses. For the six month period ending
6/30/2003, subscriptions to the Fund totaled $33,535,190 and redemptions totaled
(15,992,853). During the 3 month period ending 6/30/2003, the Fund had a net
loss of $(8,982,423) compared with a net loss of $(4,982,845) for the same
period in 2002. During the six months ended 6/30/2003, the Fund had a net loss
of $(1,365,842). In comparison, during the six months ended 6/30/2002, the Fund
had a net loss of $(30,908,950). During both periods, expenses increased.
Expenses of the Fund are generally based on a percentage of assets, and
therefore increase as the assets of the Fund increase.


The loss in the three month period and the gain in the six month period are
directly related to the performance of the MLM Index, which the Fund is
designed to replicate. During the 6 months ending 6/30/2003, the MLM Index
performance of +1.30% was higher than the -5.43% recorded in the period ending
6/30/2002. 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 interest earned on the Fund's assets declined as
a result of a decline in short term interest rates. The Fund had net capital
gains that resulted directly from its replication of the MLM Index, and the
expenses of the Fund. While the fund was marginally profitable for the six
month period, In general, the MLM Index requires substantial long term trends
in futures prices in order to be profitable. During the six months ended
6/30/2003, a majority of the markets exhibited choppy behavior, which is not
conducive to profitability. In particular, the soft commodity sector, sector,
which includes the sugar, coffee and cotton markets, was particularly
difficult. Persistent choppiness in these and other markets raises the number
of position reversals in the MLM Index, increasing trading costs. In addition,
as assets increase, the same percentage net gain (loss) in the MLM Index will
increase the dollar net gain (loss) of the Fund. Gains and losses in the Fund
will also be effected by the distribution of the assets between the
unleveraged and enhanced series of the the Fund, which is entirely determined
by the investors.



Liquidity

The majority of the Fund's assets are held in liquid short term interest rate
instruments. The Fund takes substantial exposure in futures markets, which
require relatively small deposits, called margin, to hold the positions. In
general, the Fund will have about 10% of its assets on deposit with brokers as
margin, with the balance held in accounts with major financial institutions.

Investors in the Fund can redeem their investments at month end, after giving 10
days notice to the Manager.





16






Item 3 Quantitative and Qualitative Disclosures of Market Risk

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

The market risk, or VAR of the Fund is directly related to the
composition of the MLM Index. The MLM Index consists of 25 liquid US futures
markets. Each month, the position of the MLM Index can be either long or short
based on a 12 month 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 object of the Fund is to replicate
the MLM Index, it is reasonable to use the historic values of that Index to
estimate market risk.


The VAR of the Fund is calculated as follows: The standard deviation of
daily returns of the MLM Index is estimated to be 0.40%. However, it is well
known that standard deviation underestimates the magnitude of possible changes,
certainly in a portfolio with a relatively small number of instruments. The VAR
calculation uses the standard deviation of returns of the MLM Index over the
last 10 years, multiplied by 2.35 for the normal 99% confidence interval and by
1.5 to account for the statistical nature of the distribution. Given that,
management estimates that the Fund as a whole could reasonably expect to lose
$6,935,220 on a daily basis, and $28,954,543 on a monthly basis, assuming
6/30/2003 asset levels. It is important to note that this calculation is only an
estimate. Furthermore, the Manager does not use the VAR calculation is it
trading operations. The purpose of the Fund is to replicate the MLM Index, thus
the Manager has a very limited mandate and does not adjust trading away from the
MLM Index based on the then current market environment.



Item 4. Controls and Procedures

Within ninety days prior to the filing of this Report, the President
and the Chief Operating Officer of the Manager evaluated the effectiveness of
the design and operation of the Trust's disclosure controls and procedures,
which are designed to insure that the Trust's records, processes, summarizes and
reports in a timely and effective manner the information required to be
disclosed in the reports filed with or submitted to the Securities and Exchange
Commission. Based upon this evaluation, they concluded that, as of the date of
the evaluation, the Trust's disclosure controls are effective. Since the date of
this evaluation, there have been no significant changes in the Trust's internal
controls or in other factors that could significantly affect those controls.



17



Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

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

Item 2. Changes in Securities and Use of Proceeds.



Enhanced Series


Class A-1 Class A Class B-1 Class B Class C

Apr-03 Subscriptions $ $0 $909,542 0 $1,728,077 $0
Subscriptions Units 0 9431 0 17031 0
# of Purchasers 0 15 0 61 0
Unit Price $96.44 0 $101.47

May-03 Subscriptions $ $0 $411,094 $0 $3,136,604 $0
Subscriptions Units 0 4292 0 31093 0
# of Purchasers 0 9 0 64 0
Unit Price $95.77 $100.88

Jun-03 Subscriptions $ 0 $919,459 $0 $3,783,319 $0
Subscriptions Units 0 9903 0 38184 0
# of Purchasers 0 16 0 41 0
Unit Price $92.85 $97.90







18






Unleveraged Series

Class A-1 Class A Class B-1 Class B

Apr-03 Subscriptions $ $0 $1,027,593 $0 $2,002,302
Subscriptions Units 0 9547 0 17852
# of Purchasers 0 17 0 45
Unit Price $107.64 $112.16

May-03 Subscriptions $ $0 $371,282 $0 $3,224,115
Subscriptions Units 0 3455 0 28770
# of Purchasers 0 7 0 57
Unit Price $107.45 $112.07

Jun-03 Subscriptions $ $0 $773,091 $97,208 $4,189,870
Subscriptions Units 0 7281 846 37803
# of Purchasers 0 8 1 71
Unit Price $106.18 $114.90 $110.83


All of the purchasers except one represented they were Accredited Investors
under Regulation D. The non-accredited investor was supplied with the
information required by Regulation D.


Item 3. Defaults Upon Senior Securities.

None.

Item 4. Submission of Matters to a Vote of Security Holders.

None.

Items 5. Other Information.

None.

Item 6. Exhibits and Reports on Form 8-K.

31.1 Certification pursuant to Section 302 of the
Sarbanes-Oxley Act.

31.2 Certification pursuant to Section 302 of the
Sarbanes-Oxley Act.

32.1 Certification pursuant to Section 906 of the
Sarbanes-Oxley Act.

32.2 Certification pursuant to Section 906 of the
Sarbanes-Oxley Act.











19




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 Corporation
Its: Manager

By: /s/ Timothy J. Rudderow
-------------------------------
Timothy J. Rudderow, President





Date: August 14, 2003








20