MLM INDEX FUND - 10-Q Quarterly Report

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, 2004,

[ ] 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

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(Exact name of registrant as specified in its charter)

DELAWARE

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(State or other jurisdiction of incorporation or organization)

47 Hulfish Street, Suite 510, Princeton, New Jersey

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(Address of principal executive offices)

Unleveraged Series: 22-2897229

Leveraged Series: 22-3722683

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(IRS Employer Identification Number)

08542

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(Zip Code)

(609) 924-8868

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(Registrant's telephone number including area code)

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(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

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-1-

MLM Index Fund

Index to FORM 10Q

June 30, 2004

Contents

PART I - FINANCIAL INFORMATION

Page

Number

Item 1 Financial Statements:

Interim Statements of Financial Condition as of June 30,

2004 (unaudited) and December 31, 2003(audited) 3

Interim Condensed Schedule of Investments as of June 30,

2004 (unaudited) and December 31, 2003(audited) 4

Unaudited Interim Statements of Operations For the Three

Months Ended June 30, 2004 and 2003 and for the Six Months

Ended June 30, 2004 and 2003 5

Unaudited Interim Statement of Changes in Investors’ Interest

for the Six Months Ended June 30, 2004 and 2003 6

Notes to Unaudited Interim Financial Statements as of June 30, 2004 8

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 Proceedings 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

MLM Index Fund

INTERIM STATEMENTS OF FINANCIAL CONDITION

AS OF JUNE 30, 2004 (Unaudited) AND DECEMBER 31, 2003 (Audited)

		June 30, 2004		December 31, 2003





Assets

Cash and cash equivalents	$	294,729,664	$	254,185,997

Due from broker		38,783,717		26,593,584

Interest receivable		265,585		33,075



Total assets	$	333,778,966	$	280,812,656





Liabilities and investors' interest

Redemptions payable	$	6,871,604	$	2,478,744

Brokerage commissions payable		399,497		303,795

Management fee payable		438,967		318,664

Accrued expenses		34,051		116,295



Total liabilities		7,744,119		3,217,498



Investors' interest		326,034,847		277,595,158



Total liabilities and investors' interest	$	333,778,966	$	280,812,656

See Notes to Financial Statements

MLM Index Fund

INTERIM CONDENSED SCHEDULES OF INVESTMENTS

JUNE 30, 2004 (Unaudited)

			Unrealized
	Number of		Appreciation	Percentage of
Security Description	Contracts		(Depreciation)	Investors' Interest



Futures

Long Futures Contracts

Financial	1,311	$	(45,685)	(0.01)	%

Commodity	14,124		(5,444,470)	(1.67)	%



			(5,490,155)	(1.68)	%

Short Futures Contracts

Financial	766	$	(220,281)	(0.07)	%

Commodity	4,586		5,902,839	1.81	%

			5,682,558	1.74	%



Net unrealized appreciation on
futures contracts		$	192,403	0.06	%

DECEMBER 31, 2003 (Audited)

			Unrealized
	Number of		Appreciation	Percentage of
Security Description	Contracts		(Depreciation)	Investors' Interest
Futures

Long Futures Contracts

Financial	2,041	$	4,805,917	1.73	%

Commodity	12,151		17,659,479	6.36	%



			22,465,396	8.09	%

Short Futures Contracts

Commodity	4,603		1,429,965	0.52	%



Net unrealized appreciation on
futures contracts		$	23,895,361	8.61	%

See Notes to Financial Statements

MLM Index Fund

UNAUDITED INTERIM STATEMENTS OF OPERATIONS

		For the three months ended June 30, 2004			For the three months ended June 30, 2003			For the six months ended June 30, 2004			For the six months ended June 30, 2003
Investment income
Interest	$	821,209		$	612,800		$	1,547,323		$	1,281,910

Expenses
Brokerage commissions		1,220,900			802,026			2,254,519			1,604,933
Management fee		1,041,975			708,048			1,927,865			1,412,137
Operating expenses		565,052			468,774			1,135,161			735,521

Total expenses		2,827,927			1,978,848			5,317,545			3,752,591

Net investment loss		(2,006,718	)		(1,366,048	)		(3,770,222	)		(2,470,681	)

Realized and unrealized gain (loss) on investments
Net realized gain (loss)		(18,626,671	)		(14,229,267	)		22,928,522			13,496,728
Net change in unrealized appreciation (depreciation) on investments		(25,665,939	)		6,612,892			(23,683,324	)		(12,391,889	)


Net realized and unrealized gain (loss) on investments		(44,292,610	)		(7,616,375	)		(754,802	)		1,104,839


Net loss		$(46,299,328	)		$ (8,982,423	)	$	(4,525,024	)	$	(1,365,842	)

See Notes to Financial Statements

MLM Index Fund

UNAUDITED INTERIM STATEMENT OF CHANGES IN INVESTORS’ INTEREST

FOR THE SIX MONTHS ENDED JUNE 30, 2004

Leveraged Series

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

Investors' interest at
December 31, 2003	$	112,117		$	31,010,253		$	1,678,368		$	110,464,301		$	8,933,897		$	152,198,936

Subscriptions		-			8,494,429			-			32,761,202			-			41,255,631

Redemptions		-			(2,684,179	)		(4,349	)		(9,042,255	)		(1,000,000	)		(12,730,783	)

Transfers		-			(113,625	)		-			2,139,567			-			2,025,942

Net (loss) income		(349	)		(830,877	)		7,245			(3,223,610	)		(45,648	)		(4,093,239	)



Investors' interest at
June 30, 2004	$	111,768		$	35,876,001		$	1,681,264		$	133,099,205			7,888,249		$	178,656,487



Shares at December 31, 2003		1,041.75			326,477.19			14,890.59			1,093,941.49			108,085.69			1,544,436.71

Subscriptions		-			81,515.61			-			291,553.07			-			373,068.68

Redemptions		-			(25,708.43	)		(35.37	)		(85,433.39	)		(12,160.51	)		(123,337.70	)

Transfers		-			(1,204.17	)		-			19,823.81			-			18,619.64



Shares at June 30, 2004		1,041.75			381,080.20			14,855.22			1,319,884.98			95,925.18			1,812,787.33



Net asset value per share:

June 30, 2004	$	107.29		$	94.14		$	113.18		$	100.84		$	82.23

Unleveraged Series

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


Investors' interest at
December 31, 2003	$	652,400	$	17,751,361		$	1,256,307		$	105,736,154		$	125,396,222		$	277,595,158

Subscriptions		-		6,807,639			-			23,489,067			30,296,706			71,552,337

Redemptions		-		(1,011,039	)		(296	)		(4,845,506	)		(5,856,841	)		(18,587,624	)

Transfers		-		(710,764	)		-			(1,315,178	)		(2,025,942	)		-

Net (loss) income		885		(152,482	)		8,215			(288,403	)		(431,785	)		(4,525,024	)



Investors' interest at
June 30, 2004	$	653,285	$	22,684,715		$	1,264,226		$	122,776,134		$	147,378,360		$	326,034,847



Shares at December 31, 2003		5,898.64		166,108.28			10,778.97			942,036.11			1,124,822.00			2,669,258.71

Subscriptions		-		62,117.96			-			200,646.80			262,764.76			635,833.44

Redemptions		-		(9,257.67	)		(2.46	)		(41,932.17	)		(51,192.30	)		(174,530.00	)

Transfers		-		(6,506.69	)		-			(11,389.29	)		(17,895.98	)		723.66



Shares at June 30, 2004		5,898.64		212,468.88			10,776.51			1,089,361.45			1,318,498.48			3,131,285.81



Net asset value per share:

June 30, 2004	$	110.75	$	106.77		$	117.31		$	112.70

See Notes to Financial Statements

MLM Index Fund

UNAUDITED INTERIM STATEMENT OF CHANGES IN INVESTORS' INTEREST

FOR THE SIX MONTHS ENDED JUNE 30, 2003

Leveraged Series

Unleveraged Series

Class A-1

Shares

Class A

Shares

Class B-1

Shares

Class B

Shares

Class C

Shares

Total

Leveraged

Series

Class A-1

Shares

Class A

Shares

Class B-1

Shares

Class B

Shares

Total

Unleveraged

Series

Total

Investors’ Interest

($100 Par

Value/Share)

Investors’ interest at December 31, 2002

$166,740

$27,666,865

$1,820,270

$90,368,012

$6,071,072

$126,092,959

$800,249

$13,253,585

$1,233,316

$62,614,304

$77,901,454

$203,994,413

Subscriptions

–

3,807,499

–

13,030,130

99,500

16,937,129

–

3,830,306

–

12,767,755

16,598,061

33,535,190

Redemptions

(58,786)

(1,456,537)

(155,611)

(5,937,476)

(7,608,410)

(153,541)

(605,389)

(290)

(7,625,223)

(8,384,443)

(15,992,853)

Transfers

–

(387,657)

–

653,067

265,410

(23,880)

–

(241,530)

(265,410)

–

Net (loss) income

2,128

(467,007)

9,902

(831,266)

(56,519)

(1,342,762)

1,836

(90,600)

5,746

59,938

(23,080)

(1,365,842)

Investors’ interest at June 30, 2003

$110,082

$29,163,163

$1,674,561

$97,282,467

$6,114,053

$134,344,326

$648,544

$16,364,022

$1,238,772

$67,575,244

$88,826,582

$220,170,908

Shares at December 31, 2002

1,567.81

294,432.67

16,888.48

918,690.21

74,838.99

1,306,418.16

7,275.76

124,491.78

10,783.92

566,291.85

708,843.31

2,015,261.47

Subscriptions

–

39,085.35

–

126,962.85

1,168.47

167,216.67

–

35,457.19

–

113,366.20

148,823.39

316,040.06

Redemptions

(526.06)

(15,358.86)

(1,368,81)

(58,290.07)

–

(75,543.80)

(1,377.12)

(5,622.92)

(2.48)

(67,843.58)

(74,846.10)

(150,389.90)

Transfers

–

(4,053.40)

–

6,314.14

2,260.74

–

(214.71)

–

(2,115.64)

(2,330.35)

(69.61)

Shares at June 30, 2003

1041.75

314,105.76

15,519,67

993,677.13

76,007.46

1,400,351.77

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

$105.67

$92.85

$107.90

$97.90

$80.44

$109.95

$106.18

$114.90

$110.83

See Notes to Financial Statements

MLM Index Fund

Notes to Unaudited Interim Financial Statements

as of June 30, 2004

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 US generally accepted accounting

principles 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 net asset value per share. At June 30, 2004 and December 31, 2003, the

Fund had approximately $23,805,000 and $82,034,000, respectively, in overnight

funds with one major domestic bank and $268,601,859 and $169,598,184 at June

30, 2004 and December 31, 2003 invested in money market securities,

respectively.

MLM Index Fund

Notes to Financial Statements (continued)

1. Significant Accounting Policies (continued)

Due from Broker

The Fund’s trading activities utilize one broker located in the United States. Due from broker represents cash balances held, unrealized profit or loss on futures contracts and amounts receivable or payable for transactions not settled at June 30, 2004 and December 31, 2003.

Valuation of Trading Positions

The Fund's trading positions are valued at market value, 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 Leveraged 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 Series.

2. Investors' Interest

The Fund is comprised of two series: the Unleveraged Series, which attempts to

replicate the MLM Index without leverage, and the Leveraged 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 Leveraged 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 as of the beginning of each month.

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.

MLM Index Fund

Notes to Financial Statements (continued)

2. Investors' Interest (continued)

The Class A Interests of the Unleveraged and Leveraged 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, 2004, 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 $35,507,416 and $29,980,779

at June 30, 2004 and December 31, 2003, respectively, which were satisfied by

net unrealized profits and cash at the brokers.

4. Management Fee, Administrative Services and Other Transactions

Fees and Expenses

Set forth below is a table which sets forth the basic fees that the each of

the Series and Classes is subject to.

		Brokerage			Management
					Fee


Unleveraged, Class A-1		.65	%		1.25	%

Unleveraged, Class A		.85	%		1.5	%

Unleveraged, Class B-1	..65		%	0.25		%

Unleveraged, Class B		.85	%		0.5	%

Unleveraged, Class C		.85	%		1.0	%

Leveraged, Class A-1	1.35		%	1.65		%

Leveraged, Class A		1.85	%		2.8	%

Leveraged, Class B-1	1.35		%	0.65		%

Leveraged, Class B		1.85	%		1.3	%

Leveraged, Class C		1.85	%		2.05	%

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, 2004 and for the year ended December 31, 2003.

<PAGE>

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, 2004				December 31, 2003

		Assets		Liabilities		Assets		Liabilities

Commodity Futures	$	11,233,215	$	10,781,646	$	22,408,591	$	3,319,147

Financial Futures		82,475		128,160		4,805,917

	$	11,315,690	$	10,909,806	$	27,214,508	$	3,319,147

MLM Index Fund

Notes to Financial Statements (continued)

6. Financial Highlights for the six months ended June 30, 2004 and June 30, 2003

Six months ended June 30, 2004

The following represents the per share operating performance ratios to average limited investors' interest and other supplemental

information for the six months ended June 30, 2004:

	Leveraged 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, December 31, 2003	$107.63	$94.98	$112.71	$100.98	$82.66	$110.60	$106.87	$116.55	$112.24

Income from investment
operations:
Net investment
income (loss)	(1.06)	(0.46)	(0.18)	(0.03)	(0.77)	(0.58)	(0.08)	0.06	0.24

Net realized and
unrealized gain
on investment transactions	0.72	(0.38)	0.64	(0.11)	0.35	0.73	(0.02)	0.70	0.22

Total from
investment operations	(0.34)	(0.84)	0.46	(0.14)	(0.42)	0.15	(0.10)	0.76	0.46


Net asset value
per share, June 30, 2004	$107.29	$94.14	$113.17	$100.84	$82.24	$110.75	$106.77	$117.31	$112.70


Total Return:	(0.31%)	(0.89%)	0.41%	(0.14%)	(0.51%)	0.14%	(0.09%)	0.65%	0.41%



Ratio to Average
Net Assets:
Net investment
income (loss)	(0.47%)	(0.67%)	(0.08%)	(0.27%)	(0.44%)	(0.25%)	(0.33%)	0.06%	0.06%)

Expenses	(0.72%)	(0.92%)	(0.33%)	(0.52%)	(0.69%)	(0.50%)	(0.59%)	(0.24%)	(0.32%)

Total return is calculated as the change in the net asset value per share for the six months ending June 30, 2004. 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, 2004.

Six months ended June 30, 2003

The following represents the per share operating performance ratios to average limited investors' interest and other supplemental information

for the six months ended June 30, 2003:

	Leveraged Series					Unleveraged Series
	Class A-1 Shares	Class A Shares	Class B-1 Shares	Class B Shares	Class C Shares	Class A-1 Shares	Class A Shares	Class B-1 Shares	Class B Shares


Per share operating performance:
Net asset value per share, December 31, 2002	$106.35	$93.97	$107.78	$98.37	$81.12	$109.99	$106.46	$114.37	$110.57
Income from investment operations:
Net investment income (loss)	(0.80)	(1.12)	(0.02)	(0.40)	(0.65)	(0.44)	(0.56)	0.14	(0.02)
Net realized and unrealized gain (loss) on Investment transactions	0.12	0.00	0.14	(0.07)	(0.03)	0.40	0.28	0.39	0.28

Total from investment operations	(0.68)	(1.12)	0.12	(0.47)	(0.68)	(0.04)	(0.28)	0.53	0.26

Net asset value per share, June 30, 2003	$105.67	$92.85	$107.90	$97.90	$80.44	$109.95	$106.18	$114.90	$110.83


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 the 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.

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 Leveraged Series. The Unleveraged Series attempts to replicate

the MLM Index(TM) without any leverage, while the Leveraged 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 Leveraged 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, 2004, the Manager had

approximately $1.356 billion 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 US generally accepted accounting

principles 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 in the filing of the Form 10-K.

The Fund's trading positions are valued at market value, 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.

Results of Operations

As of 6/30/2004, the Fund had assets of $326,034,801 compared with

assets of $277,595,155 at 12/31/2003. Liabilities of the Fund totaled

$7,744,119 compared with $3,217,498 as of 12/31/03. 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 6/30/2004,

subscriptions to the Fund totaled $71,552,337 and redemptions totaled

($18,587,624). During the three-month period ending 6/30/2004, the Fund had

a net loss of ($46,299,328) compared with a net loss of ($8,982,423) for the

same period in 2003. During the six months ended 6/30/2004, the Fund had

net loss of ($4,525,024). In comparison, during the six months ended

6/30/2003, the Fund had net loss of ($1,365,842). During both periods,

expenses increased. All expenses of the Fund are based on a percentage of

net assets, and therefore increase as the net assets of the Fund increase.

The performance of the Fund during the three and six month periods ending 6/30/2004 is directly related to the performance of the MLM Index, which the Fund is designed to replicate. For the six months ending 6/30/2004, the MLM index was up 1.25%, just slightly below the 1.30% return for the Index during the six months ending 6/30/2003. For the three months ending 6/30/2004, the MLM Index performance was substantially below the same period in the 2003, -5.61% vs, -1.23%. MLM Index performance depends on the market sector performance, which varies considerably through time. During the six month period ending 6/30/2004, the Index had positive performance in the energy and livestock markets, negative performance in the Softs markets, which includes coffee, sugar and cotton, and relatively flat performance in other sectors. Rising oil prices drove energy performance and l ong positions in the MLM Index captured that positive change. Gains in the livestock markets, which includes just one market, live cattle, were driven by rising prices motivated by expanding demand for meat under relatively tight supply. The Grain markets contributed substantial volatility to MLM Index performance, running up in the first quarter and collapsing in the second quarter. Slowing demand for grains in China, as well as improved weather conditions in the US contributed to the second quarter decline. The MLM Index uses a very gradual approach to position changes and will struggle to capture profits in such volatile periods. Performance in the Soft markets has been difficult for some time, as this sector performed poorly in the six months ending 6/30/2003 as well. Coffee in particular has contributed substantial losses to the Fund, as the price has been bouncing around low levels. As stated above, the MLM Index requires long sustained trends to be profitable, and such activity as exhibited in the cof fee market will not be profitable. Interest earned on the Funds account edged up marginally with rising short term interest rates. The dollar gains and losses in the Fund will be determined by the results of the MLM Index, the manager’s ability to replicate the Index, the changes to the Fund and the distribution of the assets of the Fund between the Unleveraged and Leveraged series of the Fund. Distribution of the assets between the series is determined entirely 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.

Financial Instruments with Off-Balance Sheet Risk

Market risk is the potential change in the value of the instruments traded by

the Fund due to market changes, including interest and foreign exchange rate

movements and fluctuations in futures prices. Market risk is directly impacted

by the volatility and liquidity in the markets in which the related underlying

assets are traded. The financial instruments traded by the Fund contain

varying degrees of off-balance sheet risk whereby changes in the market values

of the futures contracts underlying the financial instruments or the Fund's

satisfaction of the obligations may exceed the amount recognized in the

statements of financial condition.

Guarantees

In the normal course of business, the Fund has entered into contracts that

provide a variety of indemnifications. Such contracts include those with the

Fund's Administrator, and clearing brokers. Any exposure to the Fund under

these arrangements would involve future claims that may be made against the

Fund. The Fund's maximum exposure under these arrangements is unknown. No such

claims have occurred, nor are they expected to occur and the Fund expects the

risk of loss to be remote.

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 manager calculates the standard deviation of the historical returns of the MLM Index over two time periods, using daily returns over the preceding 1 year ending at the date of this report, and using monthly returns over the preceding 10 years. Those results for the period ended 6/30/2004 are 0.43% and 1.83% respectively. It is important to note that this calculation is made on the historical data of the Index. It is not based on the actual trading of the Fund and does not include any operational risk. The standard deviation is used to measure the dispersion of the returns of the Index.
For the purposes of VAR, one attempts to estimate the size of a loss that may occur with some small probability. It does not estimate the possibility of some total loss, only the probability of a loss of some magnitude. The calculation is complicated by the fact that the standard deviation of the distribution assumes a normal distribution, which may or may not be a good estimate of the actual distribution. For the purposes of this estimate, the manager has chosen to calculate the size of a daily and monthly loss that might occur with a probability of 1% (1 chance in 100). To do this, the standard deviation is multiplied by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust for the possibility of a non-normal distribution. For daily returns, this estimate is a loss of 1.51575% . For monthly returns the estimate is 6.45075%
To ascertain a dollar loss amount for the fund, the assets of the Fund as of 6/30/2004 are multiplied by the estimate of the risk calculated in step 2 above. The risk estimate is based on the unleveraged MLM Index, so fund assets must be adjusted for the distribution of assets among the unleveraged and leveraged series of the fund, with the leveraged assets having three times the risk of the unleveraged assets. Based on the asset levels as of 6/30/2004, the manager estimates that the Fund could expect to lose $10,373,002 in any given day and $44,145,567 in any given month.

The estimate above, though reasonable, should not be taken as an assurance that losses in the Fund could not be greater than these amounts. This is simply a quantitative estimate based on the historical performance of the MLM Index. The loss that occurs with small probability may be substantially greater than the loss indicted above. Also, market conditions could change dramatically from the conditions that prevailed over the period used to calculate the estimate, affecting the realized volatility of the market. Furthermore, other factors could effect trading, such as the inability to execute orders in a particular market, due to operational or regulatory restrictions that may alter the pattern of Fund returns. Specifically, the manager advises other funds in addition to the Fund. In certain markets there is a limit to the size a position that one entity can control (speculative limits). Since positions cannot exceed speculative limits, the manager may have to allocate positions across accounts and funds, resulting in a less than complete replication of the Index. It is best to remember the fact that, as outlined in the offering for the Fund, that all the assets invested are at risk of loss.

The Manager does not use

the VAR calculation in its 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

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 ensure 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 June 30, 2004, the Trust's disclosure controls are

effective. There have been no significant changes in the Trust's internal

control over financial reporting in the quarter ended June 30, 2004 that has

materially affected or is reasonably likely to materially affect the Trust's

control over financial reporting.

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

The Manager is not aware of any proceedings threatened or pending

against the 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.

Leveraged Series

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

Apr-04 Subscriptions $	$	0	$	2,011,426		0	$	8,689,176	$	0

Subscriptions Units		0		19,070		0		77,101		0

# of Purchasers		0		19		0		87		0

Unit Price			$	105.48			$	112.70



May-04 Subscriptions $	$	0	$	1,713,664	$	0	$	3,444,011	$	0

Subscriptions Units		0		17,176		0		32,268		0

# of Purchasers		0		23		0		67		0

Unit Price			$	99.77			$	106.73



Jun-04 Subscriptions $		0	$	519,127	$	0	$	2,670,404	$	0

Subscriptions Units		0		5,514		0		26 481		0

# of Purchasers		0		16		0		60		0

Unit Price			$	94.14			$	100.84

Unleveraged Series

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

Apr-04 Subscriptions $	$	0	$	1,133,083	$	0	$	3,231,101

Subscriptions Units		0		10,210		0		27,630

# of Purchasers		0		17		0		40

Unit Price			$	110.97			$	116.94



May-04 Subscriptions $	$	0	$	1,645,787	$	0	$	4,033,799

Subscriptions Units		0		15,115		0		35,126

# of Purchasers		0		27		0		64

Unit Price			$	108.88			$	114.84



Jun-04 Subscriptions $	$	0	$	1,554,025	$	0	$	2,737,827

Subscriptions Units		0		14,555		0		24,292

# of Purchasers		0		15		0		56

Unit Price			$	106.77			$	112.70

The purchasers represented they were Accredited Investors under 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.

(a) Exhibits

31.1 Rule 13a-14(a)/15d - 14(a) Certification.

31.2 Rule 13a-14(a)/15d - 14(a) Certification.

32.1 Section 1350 Certification.

32.2 Section 1350 Certification.

(b) Reports on Form 8-K

The Fund did not file any reports on Form 8-K

during the three months ended 6/30/04

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 16, 2004

MLM INDEX FUND

CERTIFICATION PURSUANT TO

SECTION 302 OF

THE SARBANES-OXLEY ACT OF 2002

I, Timothy J. Rudderow certify that:

1) I have reviewed this quarterly report on Form 10-Q of MLM Index Fund;

2) Based on my knowledge, this quarterly report does not contain any untrue

statement of a material fact or omit to state a material fact necessary

to make the statements made, in light of the circumstances under which

such statements were made, not misleading with respect to the period

covered by this quarterly report;

3) Based on my knowledge, the financial statements, and other financial

information included in this quarterly report, fairly present in all

material respects the financial condition, results of operations and cash

flows of the registrant as of, and for, the periods presented in this

quarterly report;

4) The registrant's other certifying officer and I are responsible for

establishing and maintaining disclosure controls and procedures (as

defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and

we have:

a) designed such disclosure controls and procedures to ensure that

material information relating to the registrant, including its

consolidated subsidiaries, is made known to us by others within

those entities, particularly during the period in which this

quarterly report is being prepared;

b) evaluated the effectiveness of the registrant's disclosure controls

and procedures as of a date within 90 days prior to the filing date

of this quarterly report (the "Evaluation Date") and

c) presented in this quarterly report our conclusions about the

effectiveness of the disclosure controls and procedures based on our

evaluation as of the Evaluation Date;

5) The registrant's other certifying officer and I have disclosed, based on

our most recent evaluation, to the registrant's auditors and the audit

committee of registrant's board of directors (or persons performing the

equivalent function);

a) all significant deficiencies in the design or operation of internal

controls which could adversely affect the registrant's ability to

record, process, summarize and report financial data and have

identified for the registrant's auditors any material weaknesses in

internal controls; and

b) any fraud, whether or not material, that involves management or

other employees who have a significant role in the registrant's

internal controls; and

6) The registrant's other certifying officer and I have indicated in this

quarterly report whether or not there were significant changes in

internal controls or in other factors that could significantly affect

internal controls subsequent to the date of our most recent evaluation,

including any corrective actions with regard to significant deficiencies

and material weaknesses.

Date August 16, 2004

/s/ Timothy J. Rudderow

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

President

<PAGE>

MLM INDEX FUND

CERTIFICATION PURSUANT TO

SECTION 302 OF

THE SARBANES-OXLEY ACT OF 2002

I, James A. Mehling certify that:

1) I have reviewed this quarterly report on Form 10-Q of MLM Index Fund;

2) Based on my knowledge, this quarterly report does not contain any untrue

statement of a material fact or omit to state a material fact necessary

to make the statements made, in light of the circumstances under which

such statements were made, not misleading with respect to the period

covered by this quarterly report;

3) Based on my knowledge, the financial statements, and other financial

information included in this quarterly report, fairly present in all

material respects the financial condition, results of operations and cash

flows of the registrant as of, and for, the periods presented in this

quarterly report;

4) The registrant's other certifying officer and I are responsible for

establishing and maintaining disclosure controls and procedures (as

defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and

we have:

a) designed such disclosure controls and procedures to ensure that

material information relating to the registrant, including its

consolidated subsidiaries, is made known to us by others within

those entities, particularly during the period in which this

quarterly report is being prepared;

b) evaluated the effectiveness of the registrant's disclosure controls

and procedures as of a date within 90 days prior to the filing date

of this quarterly report (the "Evaluation Date") and

c) presented in this quarterly report our conclusions about the

effectiveness of the disclosure controls and procedures based on our

evaluation as of the Evaluation Date;

5) The registrant's other certifying officer and I have disclosed, based on

our most recent evaluation, to the registrant's auditors and the audit

committee of registrant's board of directors (or persons performing the

equivalent function);

a) all significant deficiencies in the design or operation of internal

controls which could adversely affect the registrant's ability to

record, process, summarize and report financial data and have

identified for the registrant's auditors any material weaknesses in

internal controls; and

b) any fraud, whether or not material, that involves management or

other employees who have a significant role in the registrant's

internal controls; and

6) The registrant's other certifying officer and I have indicated in this

quarterly report whether or not there were significant changes in

internal controls or in other factors that could significantly affect

internal controls subsequent to the date of our most recent evaluation,

including any corrective actions with regard to significant deficiencies

and material weaknesses.

Date August 16, 2004

/s/ James A. Mehling

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

Vice President and Chief Operating Officer

Exhibit 32.1

Section 906 Certification

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

The following statement is provided by the undersigned to accompany

the Form 10-Q of the MLM Index Fund pursuant to Section 906 of the

Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).

The undersigned certifies that the foregoing Report on Form 10-Q

fully complies with the requirements of Section 13(a) of the Securities

Exchange Act of 1934 (15 U.S.C. 78m) and that the information contained in

the Form 10-Q fairly presents, in all material respects, the financial

condition and results of operations of the MLM Index Fund.

August 16, 2004

/s/ Timothy J. Rudderow

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

President

Mount Lucas Management Corporation,

the manager of the MLM Index Fund

Exhibit 32.2

Section 906 Certification

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

The following statement is provided by the undersigned to accompany

the Form 10-Q of the MLM Index Fund pursuant to Section 906 of the

Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).

The undersigned certifies that the foregoing Report on Form 10-Q

fully complies with the requirements of Section 13(a) of the Securities

Exchange Act of 1934 (15 U.S.C. 78m) and that the information contained in

the Form 10-Q fairly presents, in all material respects, the financial

condition and results of operations of the MLM Index Fund.

August 16, 2004

/s/ James A. Mehling

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

Vice President and Chief Operating Officer

Mount Lucas Management Corporation,

the manager of the MLM Index Fund