MAN FRM MANAGED FUTURES STRATEGIES LLC - FORM 10-Q

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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 0-52505

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Exact Name of Registrant as

specified in its charter)

Delaware		30-0408280
(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 the registrant is a shell company (as defined by Rule 12b-2 of the Exchange Act). Yes o No x

As of September 30, 2011, 835,831,821 units of limited liability company interest were outstanding.

ML SYSTEMATIC MOMENTUM 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	16

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	25

Item 4.	Controls and Procedures	34

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	35

Item 1A.	Risk Factors	35

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	35

Item 3.	Defaults Upon Senior Securities	36

Item 4.	(Removed and Reserved)	36

Item 5.	Other Information	36

Item 6.	Exhibits	36

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2011		2010
ASSETS:

Cash and cash equivalents	$	133,925	$	312,720
Investment in Portfolio Funds (Cost $941,944,460 at 2011 and $917,232,393 at 2010)	1,006,167,645		1,038,634,185
Other assets	120,000		120,000
Receivable from Portfolio Fund	18,912,691		—
Accrued Interest Receivable	17		48

TOTAL ASSETS	$	1,025,334,278	$	1,039,066,953

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor fee payable	$	1,722,547	$	1,718,827
Redemptions payable	19,584,202		9,355,655
Other liabilities	643,931		580,585

Total liabilities	21,950,680		11,655,067

MEMBERS’ CAPITAL:
Members’ Interest (835,831,821 Units and 803,714,707 Units outstanding; unlimited Units authorized)	1,003,383,598		1,027,411,886
Total members’ capital	1,003,383,598		1,027,411,886

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	1,025,334,278	$	1,039,066,953

NET ASSET VALUE PER UNIT:

Class A	$	1.1825	$	1.2523
Class C	$	1.1822	$	1.2615
Class D	$	1.4123	$	1.4789
Class I	$	1.2563	$	1.3265
Class D1	$	1.2604	$	1.3199

See notes to financial statements.

ML SYSTEMATIC MOMENTUM 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, 2011			September 30, 2010			September 30, 2011			September 30, 2010
TRADING PROFIT (LOSS):

Realized, net	$	7,027,332		$	14,109,842		$	9,465,526		$	20,923,964
Change in unrealized, net	19,616,938			30,792,085			(57,178,607		)	33,793,725

Total trading profit (loss)	26,644,270			44,901,927			(47,713,081		)	54,717,689

INVESTMENT INCOME (LOSS)
Interest	36			858			188			2,603

EXPENSES:
Sponsor fee	5,247,927			4,727,059			15,764,213			13,744,768
Other	379,317			333,424			1,170,705			858,783
Total expenses	5,627,244			5,060,483			16,934,918			14,603,551

NET INVESTMENT INCOME (LOSS)	(5,627,208		)	(5,059,625		)	(16,934,730		)	(14,600,948		)

NET INCOME (LOSS)	$	21,017,062		$	39,842,302		$	(64,647,811	)	$	40,116,741

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	125,045,939			108,140,687			120,307,368			109,039,354
Class C	591,433,931			542,079,028			583,276,678			527,226,697
Class D	35,803,578			27,642,479			37,077,871			29,118,317
Class I	80,113,095			80,540,078			79,517,214			79,754,063
Class D1	29,999,432			36,728,716			32,899,481			38,221,652

Net income (loss) per weighted average Unit
Class A	$	0.0249		$	0.0502		$	(0.0690	)	$	0.0539
Class C	$	0.0226		$	0.0484		$	(0.0793	)	$	0.0467
Class D	$	0.0368		$	0.0619		$	(0.0701	)	$	0.0784
Class I	$	0.0285		$	0.0545		$	(0.0701	)	$	0.0605
Class D1	$	0.0317		$	0.0566		$	(0.0577	)	$	0.0662

See notes to financial statements.

ML SYSTEMATIC MOMENTUM 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	101,281,370	30,407,350	(24,298,863	)	107,389,857	109,942,197	31,834,881	(17,539,757	)	124,237,321
Class C	495,761,388	96,183,543	(54,075,355	)	537,869,576	545,907,287	92,816,090	(61,410,973	)	577,312,404
Class D	29,983,145	4,534,905	(6,931,705	)	27,586,345	34,000,711	6,889,653	(7,925,754	)	32,964,610
Class I	75,813,210	10,981,915	(7,083,412	)	79,711,713	78,308,142	6,919,777	(9,113,456	)	76,114,463
Class D1	39,776,009	1,015,347	(5,407,009	)	35,384,347	35,556,370	546,379	(10,899,726	)	25,203,023

Total Members’ Units	742,615,122	143,123,060	(97,796,344	)	787,941,838	803,714,707	139,006,780	(106,889,666	)	835,831,821

See notes to financial statements.

ML SYSTEMATIC MOMENTUM 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	$	115,433,469	$	34,706,655	$	(27,944,395	)	$	5,874,033	$	128,069,762	$	137,682,539	$	38,742,269	$	(21,206,231	)	$	(8,305,320	)	$	146,913,257
Class C	574,889,257		111,244,379		(62,987,638		)	24,605,508		647,751,506		688,642,500		114,079,025		(73,927,879		)	(46,268,503		)	682,525,143
Class D	39,754,376		6,063,881		(9,395,655		)	2,283,122		38,705,724		50,284,160		10,122,993		(11,252,683		)	(2,598,407		)	46,556,063
Class I	91,156,074		13,130,560		(8,522,915		)	4,824,997		100,588,716		103,872,241		8,924,714		(11,597,257		)	(5,577,536		)	95,622,162
Class D1	47,068,068		1,182,754		(6,471,337		)	2,529,081		44,308,566		46,930,446		711,112		(13,976,540		)	(1,898,045		)	31,766,973

Total Members’ Interest	$	868,301,244	$	166,328,229	$	(115,321,940	)	$	40,116,741	$	959,424,274	$	1,027,411,886	$	172,580,113	$	(131,960,590	)	$	(64,647,811	)	$	1,003,383,598

See notes to financial statements.

ML SYSTEMATIC MOMENTUM 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 D1
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.1576		$	1.1602		$	1.3773		$	1.2286		$	1.2292

Net Realized and net change in unrealized trading profit (loss)	0.0299			0.0299			0.0355			0.0317			0.0317
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0050		)	(0.0079		)	(0.0005		)	(0.0040		)	(0.0005		)

Net asset value, end of period	$	1.1825		$	1.1822		$	1.4123		$	1.2563		$	1.2604

Total Return: (a)

Total return	2.16		%	1.90		%	2.54		%	2.26		%	2.54		%

Ratios to Average Members’ Capital:

Expenses	0.41		%	0.66		%	0.04		%	0.31		%	0.04		%

Net investment income (loss)	-0.41		%	-0.66		%	-0.04		%	-0.31		%	-0.04		%

(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 SYSTEMATIC MOMENTUM 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 D1
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.2523		$	1.2615		$	1.4789		$	1.3265		$	1.3199

Net Realized and net change in unrealized trading profit (loss)	(0.0548		)	(0.0551		)	(0.0650		)	(0.0581		)	(0.0580		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0150		)	(0.0242		)	(0.0016		)	(0.0121		)	(0.0015		)

Net asset value, end of period	$	1.1825		$	1.1822		$	1.4123		$	1.2563		$	1.2604

Total Return: (a)

Total return	-5.57		%	-6.28		%	-4.50		%	-5.29		%	-4.50		%

Ratios to Average Members’ Capital:

Expenses	1.23		%	1.98		%	0.11		%	0.93		%	0.11		%

Net investment income (loss)	-1.23		%	-1.98		%	-0.11		%	-0.93		%	-0.11		%

See notes to financial statements.

ML SYSTEMATIC MOMENTUM 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 D1
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.1423		$	1.1564		$	1.3389		$	1.2075		$	1.1949

Net Realized and net change in unrealized trading profit (loss)	0.0551			0.0557			0.0647			0.0582			0.0577
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0048		)	(0.0078		)	(0.0005		)	(0.0038		)	(0.0004		)

Net asset value, end of period	$	1.1926		$	1.2043		$	1.4031		$	1.2619		$	1.2522

Total Return: (a)

Total return	4.40		%	4.14		%	4.80		%	4.51		%	4.80		%

Ratios to Average Members’ Capital:

Expenses	0.41		%	0.67		%	0.04		%	0.31		%	0.04		%

Net investment income (loss)	-0.41		%	-0.67		%	-0.04		%	-0.31		%	-0.04		%

(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 SYSTEMATIC MOMENTUM 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 D1
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.1397		$	1.1596		$	1.3259		$	1.2024		$	1.1833

Net Realized and net change in unrealized trading profit (loss)	0.0668			0.0676			0.0784			0.0707			0.0700
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0139		)	(0.0229		)	(0.0012		)	(0.0112		)	(0.0011		)

Net asset value, end of period	$	1.1926		$	1.2043		$	1.4031		$	1.2619		$	1.2522

Total Return: (a)

Total return	4.64		%	3.85		%	5.82		%	4.95		%	5.82		%

Ratios to Average Members’ Capital:

Expenses	1.22		%	1.98		%	0.09		%	0.92		%	0.09		%

Net investment income (loss)	-1.22		%	-1.98		%	-0.09		%	-0.92		%	-0.09		%

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ML Systematic Momentum FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced operations on April 2, 2007. The Fund operates as a “fund of funds”, allocating and reallocating its capital, under the direction of Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”), the Sponsor of the Fund, among seven underlying FuturesAccess Funds (each a “Portfolio Fund”, and collectively the “Portfolio Funds”). 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.

MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the commodity broker of the Portfolio Funds. 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 four Classes of Units to retail investors: Class A, Class C, Class D and Class I. Each Class of Units was offered at $1.00 per Unit and subsequently is offered at Net Asset Value per Unit. The four Classes of Units are subject to different Sponsor fees. Class D1 is used exclusively for investments made by Systematic Momentum FuturesAccess LTD. Class DA was used exclusively for investments made by Systematic Momentum FuturesAccess II LLC until its liquidation at September 30, 2009. Class D1 and DA are not charged 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 period 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.

Initial Offering and Organizational Costs

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance and initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

2. INVESTMENTS IN PORTFOLIO FUNDS

The seven funds (each a “Portfolio Fund” and collectively “Portfolio Funds”) in which the Fund is invested as of September 30, 2011 are: ML Altis FuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), ML John Locke FuturesAccess LLC (“John Locke”) ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), ML Tudor Tensor FuturesAccess LLC (“Tudor Tensor”) and ML Winton FuturesAccess LLC (“Winton”). The Fund had invested in ML Chesapeake FuturesAccess LLC (“Chesapeake”) which liquidated January 31, 2010. MLAI, in its discretion, may change the Portfolio Funds at any time. MLAI, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Portfolio Funds. There is no pre-established range for the minimum and maximum allocations that may be made to any individual Portfolio Fund.

The investment transactions were accounted for on the trade date. The investments in the Portfolio Funds were valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, MLAI utilized the net asset value of the underlying Portfolio Funds which approximates fair value. The fair value was net of all fees relating to the Portfolio Funds, paid or accrued. Additionally, MLAI monitored the performance of the Portfolio Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in Portfolio Funds’ investments, comparing performance to industry benchmarks, and in-depth conference calls and site visits with the Portfolio Funds’ Managers.

The details of Investments in Portfolio Funds at and for the period ended September 30, 2011, are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost		Management Fees			Performance Fees		Redemptions Permitted
Tudor Tensor	12.56	%	$	126,027,633	$	(6,592,048	)	$	127,169,887	$	(2,000,200	)	$	—	monthly
Transtrend	17.36	%	174,193,178		(20,832,447		)	181,801,287		(2,749,668		)	—		monthly
Altis	12.41	%	124,521,007		(40,104,466		)	135,868,254		(1,941,701		)	—		monthly
Winton	17.39	%	174,495,757		10,312,745			145,806,866		(2,816,151		)	—		monthly
Aspect	9.66	%	96,945,597		6,057,433			79,898,564		(1,564,302		)	—		monthly
John Locke	13.53	%	135,725,262		342,114			127,853,973		(2,164,066		)	—		monthly
BlueTrend	17.37	%	174,259,211		3,103,588			143,545,629		(2,631,865		)	—		monthly

	100.28	%	$	1,006,167,645	$	(47,713,081	)	$	941,944,460	$	(15,867,953	)	$	—

The details of Investments in Portfolio Funds at and for the year ended December 31, 2010, are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost		Management Fees			Performance Fees		Redemptions Permitted
Chesapeake*	0.00	%	$	—	$	(2,598,008	)	$	—	$	(144,407	)	$	—	monthly
Transtrend	17.87	%	183,615,388		29,487,583			170,118,192		(3,404,718		)	—		monthly
Altis	13.05	%	134,073,398		12,597,945			104,309,484		(2,445,604		)	—		monthly
Winton	17.74	%	182,231,744		20,913,669			159,384,935		(3,399,640		)	—		monthly
Aspect	10.04	%	103,142,819		14,049,609			89,607,738		(1,888,760		)	—		monthly
John Locke	14.08	%	144,651,209		10,500,284			135,795,468		(2,627,905		)	—		monthly
BlueTrend	15.53	%	159,597,862		18,370,900			131,991,494		(2,703,505		)	—		monthly
Tudor	12.78	%	131,321,765		5,257,749			126,025,082		(2,391,031		)	—		monthly

	101.09	%	$	1,038,634,185	$	108,579,731		$	917,232,393	$	(19,005,570	)	$	—

* Liquidated as of January 31, 2010.

These investments are recorded at fair value. In accordance with Regulation S-X, the following is summarized financial information for each of the Portfolio Funds which require disclosure.

	As of September 30, 2011
	Total Assets		Total Liabilities		Total Capital
Altis	$	124,800,271	$	282,573	$	124,517,698
Transtrend	249,421,102		2,739,777		246,681,325

Total	$	374,221,373	$	3,022,350	$	371,199,023

	As of December 31, 2010
	Total Assets		Total Liabilities		Total Capital
Transtrend	$	258,918,312	$	2,958,512	$	255,959,800

Total	$	258,918,312	$	2,958,512	$	255,959,800

	For the nine months ended September 30, 2011
										Net
	Income (Loss)			Commissions			Other			Income (Loss)
Altis	$	(37,551,043	)	$	(471,825	)	$	(2,081,598	)	$	(40,104,466	)
Transtrend	(17,123,951		)	(615,985		)	(3,092,511		)	(20,832,447		)

Total	$	(54,674,994	)	$	(1,087,810	)	$	(5,174,109	)	$	(60,936,913	)

	For the nine months ended September 30, 2010
									Net
	Income (Loss)		Commissions			Other			Income (Loss)
Winton	$	18,405,398	$	(157,584	)	$	(3,520,746	)	$	14,727,068
Transtrend	18,857,699		(713,360		)	(2,777,889		)	15,366,450

Total	$	37,263,097	$	(870,944	)	$	(6,298,635	)	$	30,093,518

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 measurement date (i.e. the exit price). Purchase and sale of investments is recorded on a trade date basis. Realized gains and losses on investments are recognized when the investments are sold. Any change in net unrealized gain or loss from the preceding period is reported on the Statements 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 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.

Investments in Portfolio Funds are valued using the net asset value reported by the Portfolio Funds as a practical expedient, which management believes approximates fair value. These net asset values are the prices used to execute trades with these Portfolio Funds.

Although there are monthly transactions in these Portfolio Funds, the Net Asset Value’s (“NAV”) are materially based on portfolios of Level I and Level II assets and liabilities for which the Fund has transparency. As such, the Fund determined that its investments in these investment companies in this case, would be classified as Level II. There were no transfers to or from Level I or II during the quarter and period ended September 30, 2011.

The following table summarizes the valuation of the Fund’s investment by the above fair value hierarchy levels as of September 30, 2011 and December 31, 2010:

Investment in
Portfolio Funds	Total		Level I		Level II		Level III

September 30, 2011	$	1,006,167,645	$	—	$	1,006,167,645	$	—
December 31, 2010	$	1,038,634,185	$	—	$	1,038,634,185	$	—

4. MARKET, CREDIT AND CONCENTRATION RISKS

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 Net unrealized profit (loss) on such derivative instruments as reflected in the Statements of Financial Condition of the Portfolio Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio Funds 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 the Portfolio Funds, calculating the Net Asset Value of the Fund and the Portfolio Funds 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 Portfolio Funds’ market exposure, MLAI may urge the respective trading advisors 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 respective trading advisors is sufficient to detect if 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 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 of the Portfolio Funds. The Portfolio Funds attempt to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Portfolio Funds, in their normal course of business, enter into various contracts, with MLPF&S acting as their 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 futures trading accounts in the Statements of Financial Condition of the Portfolio Funds.

Concentration Risk

The Fund’s investments in the Portfolio Funds are subject to the market and credit risk of the Portfolio Funds. Because the majority of the Fund’s capital is invested in the Portfolio Funds, any changes in the market conditions that would adversely affect the Portfolio Funds could significantly impact the solvency of the Fund.

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 $50,630 of which $34,973 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 investments in the underlying funds 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	$	1.1036	$	1.1154	$	1.1686	$	1.1825	$	1.1447	$	1.1423	$	1.1244	$	1.1654	$	1.1926
2011	$	1.2333	$	1.2546	$	1.2138	$	1.2554	$	1.1959	$	1.1576	$	1.1988	$	1.1885	$	1.1825

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.1220	$	1.1329	$	1.1860	$	1.1991	$	1.1598	$	1.1564	$	1.1374	$	1.1779	$	1.2043
2011	$	1.2413	$	1.2617	$	1.2196	$	1.2604	$	1.1997	$	1.1602	$	1.2005	$	1.1892	$	1.1822

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.2855	$	1.3008	$	1.3645	$	1.3825	$	1.3400	$	1.3389	$	1.3196	$	1.3694	$	1.4031
2011	$	1.4583	$	1.4854	$	1.4388	$	1.4900	$	1.4212	$	1.3773	$	1.4281	$	1.4176	$	1.4123

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.1647	$	1.1774	$	1.2340	$	1.2492	$	1.2096	$	1.2075	$	1.1890	$	1.2328	$	1.2619
2011	$	1.3068	$	1.3298	$	1.2870	$	1.3315	$	1.2688	$	1.2286	$	1.2727	$	1.2622	$	1.2563

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D1

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2010	$	1.1473	$	1.1609	$	1.2178	$	1.2339	$	1.1959	$	1.1949	$	1.1777	$	1.2222	$	1.2522
2011	$	1.3015	$	1.3257	$	1.2841	$	1.3298	$	1.2684	$	1.2292	$	1.2746	$	1.2652	$	1.2604

Liquidity and Capital Resources

The Fund does not engage in the sale of goods or services. The Fund’s assets are it’s (i) investment in Portfolio Funds and (ii) cash. 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 decreased 2.34% from $1,027,411,886 to $1,003,383,598. This decrease was attributable to the net loss from operations of $64,647,811, coupled with the redemption of 106,889,666 Redeemable Units resulting in an outflow of $131,960,590. The cash outflow was offset with cash inflow of $172,580,113 due to subscriptions of 139,006,780 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

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at measurement date (i.e. the exit price). Purchase and sale of investments is recorded on a trade date basis. Realized gains and losses on investments is recognized when the investments are sold. Any change in net unrealized gain or loss from the preceding period is reported on the Statements of Operations.

Cash and Cash Equivalents

The Fund considers 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.

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.

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.

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’s 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 trading loss for the first quarter of March 31, 2011 of $28,822,067.

The Fund declined more than 3% in the first quarter of 2011 while the Dow Jones-Credit Suisse AllHedge Managed Futures Index lost 2.1%. Market conditions were generally not conducive to trend-following strategies as many markets experienced severe reversals. Overall, the quarter started poorly in January, the Portfolio Funds were profitable in February only to give it all back and then some in March.

Coming into the first quarter, the Portfolio Funds were generally positioned for a rally in equities and commodities. Additionally, a short U.S. dollar bias was highly prevalent in the portfolio. The majority of the Portfolio Funds had reduced their exposure to fixed income positions going into the year, with smaller allocations remaining on the long side. In January, managed futures strategies generally suffered from a rally in the U.S. dollar and a substantial retracement in gold. In February, this positioning was able to generate positive performance when long positions in equities and energy rallied. However, while February’s gains offset January’s losses to a large extent, it was not enough to carry the strategy for the quarter. March was characterized by volatile trading conditions across several markets, creating losses for the month and putting Systematic Momentum in negative territory for the year. During March, most trend-following strategies were whipsawed by the sharp selloffs following the earthquake and tsunami in Japan and the sharp rebounds in the weeks afterwards. As a result, losses in agricultural commodities as well as global equity indices offset any gains from energy and currency positions.

While it was generally a challenging quarter for Systematic Momentum as a whole, the individual Portfolio Fund returns varied considerably, ranging from -14.4% to +2.4%. Five managers had negative returns while only two ended the quarter with positive performance. For the most part, the Portfolio Funds that used higher leverage and a shorter-term time frame tended to underperform. Shorter-term trading strategies found market conditions in March especially problematic since they were the first to react to downward moves in most markets by closing out of long positions. When markets rebounded later in the month, many of these programs did not generate buy signals soon enough to capture the rally. Conversely, longer-term strategies retained their positions and benefited from the subsequent rally in equities and some commodities.

The best performing Portfolio Fund over the first three months was BlueTrend. While the Portfolio Fund encountered many of same difficulties as others in the quarter, BlueTrend did a better job of capturing the upside in energy. The lagging performer in the portfolio was Altis which incurred losses primarily due to poor positioning in the currency and energy markets. Altis operates with a higher volatility target than other constituent programs so it was not unexpected that the Portfolio Fund generated higher losses in a difficult trading environment.

April 1, 2011 to June 30, 2011

The Fund experienced a net trading loss for the second quarter of June 30, 2011 of $45,535,284.

Coming into the second quarter, the Portfolio Funds were focused on equity, commodity, and foreign exchange markets while fixed income exposure was generally limited. Long positions in commodities and equity indices in addition to short positions in the U.S. dollar were common themes across the portfolio. This positioning proved profitable in the first month of the quarter. With equities and commodities rallying and the U.S. dollar depreciating, profits were posted to the Fund in April, erasing its losses from the first quarter. However, April’s gains were swiftly retracted as the same positioning that produced profits in April led to losses for the remainder of the quarter. The Portfolio Funds suffered losses in long equity and short U.S. dollar positions as these markets endured sharp reversals. Significant pullbacks in commodities, particularly in the energy, agricultural, and the precious metal sectors also made for a difficult quarter. While managed futures managers typically adapt their exposures to changing market dynamics, severe and abrupt market reversals can be rather problematic as there is insufficient time for managers to adjust their portfolios. The second quarter was one of those challenging environments. In fact, May and June rank among the worst 15 months for the Dow Jones-Credit Suisse AllHedge Managed Futures Index since January 2005.

In addition to being a difficult period for the strategy as a whole, the second quarter proved to be a challenging environment for all of the Portfolio Funds in the Fund. For the quarter, the Portfolio Funds returns ranged from -2.2% to —9.1% posted losses for the Fund. As a result, only one of the Portfolio Funds in the portfolio remains in positive territory for the year. For the most part, longer-term programs and the Portfolio Funds who utilize less leverage tended to outperform while the Portfolio Funds with shorter-term programs found the recent environment extremely difficult.

The best performing Portfolio Fund for the quarter navigated the market’s volatility better than its peers. The worst performing Portfolio Fund suffered another subpar quarter and is down over 20% year-to-date. While the recent performance is disappointing, it is within the manager’s risk parameters. This manager tends to operate with a higher degree of leverage and a sector allocation bias towards commodities. These characteristics differentiate the manager and have been positive contributors during strong trending environments, particularly in the commodities space. However, these characteristics have been detrimental to performance given the sharp reversals in the commodity markets this quarter.

Exposure and Attribution by Asset Class

For much of this year, the Portfolio Funds have allocated significant capital to long commodity positions. Programs suffered significant losses as oil markets, precious metals (particularly silver), and agricultural markets reversed direction and declined in May and June.

In addition to commodities, the Portfolio Funds had a favorable bias toward equities at the outset of the quarter. In fact, the Portfolio Funds have held long positions in equity indices for some time. In the last two months of the quarter, this sector experienced a significant sell off as uncertainty regarding the European debt crisis and the global economy weighed heavily on the markets.

In currencies, the Portfolio Funds generally began the quarter positioned for U.S. dollar depreciation. However, short positions in the U.S. dollar against a variety of currencies resulted in losses as the dollar rallied in May.

Allocations to fixed income were small at the beginning of the second quarter, but have increased considerably by the end of the quarter.

July 1, 2011 to September 30, 2011

The Fund experienced a net trading gain for the quarter ended September 30, 2011 of $26,644,270.

Coming into the third quarter, the Fund was positioned with a short bias toward the U.S. dollar and a long bias in fixed income. The portfolio still favored long positions in equity indices and commodities; however, these positions were much smaller than they had been earlier in the year. At the same time, the portfolio’s exposure to fixed income was growing as strong trends emerged in this asset class. At the outset of the quarter, the underlying Portfolio Funds were operating at slightly lower risk levels as several sharp reversals experienced in the second quarter brought down exposures.

July was a favorable month for the portfolio as gains from long fixed income positions outweighed losses from the other asset classes. For the rest of the quarter, long fixed income positions continued to generate strong profits while most other asset classes resulted in losses. Generally, foreign exchange, equities, and commodities incurred losses, eventually forcing the Portfolio Funds to shift their portfolios to reflect a more defensive environment Across the portfolio, the Portfolio Funds returns were generally positive. Only two underlying Portfolio Funds in the Fund generated negative performance for the quarter Returns ranged from -5.6% to +11.9%.

Asset class weighting was a key driver of performance this quarter. The Portfolio Funds with sizeable long fixed income exposures performed well as trends consolidated in this asset class. The duration of the types of programs used by the Portfolio Funds also had a direct influence on performance. The Portfolio Funds that use shorter-term signals and systems outperformed longer-term programs as they were able to identify market inflection points more quickly and adjust their portfolios.

The best performing Portfolio Fund for the quarter was John Locke, as the trading advisor’s shorter time horizon was better able to navigate market reversals. The worst performing Portfolio Fund for the quarter was Altis which declined -5.6% for the quarter and is down over 25% year-to-date. Altis’ underperformance may be partially explained by the design of its trading programs. Altis tends to operate with a higher degree of leverage and its historical volatility is generally higher than other Portfolio Funds in the portfolio. Altis’ program is designed to seek opportunities in markets that are less correlated. As a result, compared with the other Portfolio Funds, Altis lacked a sizeable allocation to fixed income, the best performing asset class, hurting its performance. At the same time, Altis maintained a higher weighting to commodities, which was a difficult asset class to trade in this quarter.

Exposure and Attribution by Asset Class

Fixed income trading accounted for the largest share of profits this quarter as the Portfolio Funds were long both bonds and notes (or their derivatives), taking advantage of a strong downward trend in yields. While fixed income trading was profitable, most other asset classes incurred losses. Currencies were extremely difficult to trade as short positions in the U.S. dollar suffered as the European debt crisis deepened. In commodities, precious metals and energy trading were volatile, leading managers to reduce

their long positions, and in some cases going short. Equity indices also detracted from performance as stocks reversed and sold off through most of the quarter.

January 1, 2010 to September 30, 2010

January 1, 2010 to March 31, 2010

The Fund experienced a net trading profit for the first quarter of 2010 of $27,123,968.

The Portfolio Funds’ long positions in equities, commodities and short positions in the U.S. dollar resulted in profits posted to the Fund at the beginning of January. Markets then reversed and losses were posted in each of these asset classes and all gains accumulated through the middle of the month were given back in these various markets. Fixed income was one asset class where existing positioning were profitable. Long positions in short term interest rate contracts posted gains however, these gains were not enough to offset losses in the three other major asset classes resulting in losses being posted to the Fund at the end of January.

Five of the seven Portfolio Funds had positive performance in February resulting in profits being posted to the Fund. These were the medium and long term trend followers: Altis, Aspect, BlueTrend, Transtrend and Winton. Long positions in fixed income drove performance. Yields generally moved lower over the course of the month and the trading advisors benefited from having long exposure to both bonds and short term interest rate contracts. The Portfolio Funds’ benefited from short positions in European currency exposure due to the Euro and British pound losing value against the U.S. dollar. In other asset classes, some choppiness and a lack of significant trends meant that equity indices and commodities did not have much of an impact on the month’s returns. These two trading advisors, John Locke and Tudor Tensor, had negative performance in the month of February. These two trading advisors utilize trend following as an important allocation and made money in similar areas as other trend followers. However, John Locke and Tudor Tensor also allocate capital to shorter term strategies. One of these strategies, pattern recognition, suffered large losses in several markets that showed significant choppiness in February which was not enough to offset the profits posted to the Fund.

All of the Portfolio Funds had positive performance in March resulting in profits being posted to the Fund. Equity indices drove performance for most Portfolio Funds’ trading advisors. Positioning was firmly on the long side due to the strength of the current up trends in global equity indices. Commodities were also profitable across the board due to long positions in oil and metals and short positions in natural gas and grains. Positioning was spot on in most of these sub sectors. Oil and metals generally rose and natural gas and grains declined in March. Currencies also posted profits to the Fund. The Euro and British pound ended the month down, benefiting short positions in these currencies. On the other hand the Canadian and Australian dollars rose, resulting in profits due to their long positions in these currencies. Fixed income was the only losing asset class. Short term interest rate contracts generally stayed flat, but yields on longer term government bonds rose during the month, causing some losses to long positions in those instruments. Overall, the yield moves were not very large, so losses were contained.

April 1, 2010 to June 30, 2010

The Fund experienced a net trading loss for the second quarter of 2010 of $17,308,206.

Most Portfolio Funds had positive performance in April resulting in profits being posted to the Fund. The trading advisors who are medium and long term trend followers: Altis, Aspect, BlueTrend Transtrend and Winton performed well. In fixed income, falling overall G7 (Canada, France, Germany,

Italy, Japan, United Kingdom and United States) yields meant that long positions were profitable. In currencies, a balanced posture with short European currencies against long positions in commodity and emerging markets currencies posted profits to the Fund. In commodities, some sectors lost money which was offset by gains in the energies and metals sectors. While U.S. equity indices ended the month up, European and Asian markets generally ended the month lower. All trading advisors were long in global equity indices with profits or losses dependent upon their relative size in various geographies.

The Portfolio Funds had overall losses in May resulting in losses posted to the Fund. Medium and long term trend followers did not perform well as they were seriously affected by reversals in multiple markets. The trading advisors with shorter time horizons were better able to navigate these reversals and adjust their portfolios quickly. Equities, oil, natural gas and industrial metals all saw reversals with some markets moving more than 10% in the opposite direction of the trend. By the end of May, most trading advisors were very light in equities (but still long) and slightly short positions in energies. Other losing commodity positions were curtailed, the remaining long exposure generally being in precious metals. Currencies performance varied as some trading advisors posted profits and some lost money in the asset class. Performance depended on the relative size of short European currency positions vs. long positions in commodities and emerging markets currency positions. The trading advisors with larger short positions in European currencies managed to make money in the asset class. Fixed income yields came down during the month of May as investors sought safety in government securities. The trading advisors long positioning benefited from these moves however, the gains were not enough to offset losses in other portfolio areas.

In June the Portfolio Funds posted losses to the Fund as performance was quite mixed among trading advisors. Equities and many commodity sectors had suffered significant reversals with the trading advisors being caught on the wrong side of trades. As a result, they had moved to cut risk in those asset classes. Coming into June, the trading advisors still had on some long equity exposure. They were also long precious metals, short grains and neutral in the energy sector. But in general, position sizes tended to be small. When equities continued to move downward during June and commodities continued to experience some moves that were adverse to positioning, losses were suffered but these losses were quite contained. In June, currencies were generally the worst performing asset class for the trading advisors. Having significant short European currency exposure was bad for performance as two major currencies, the British pound and Swiss franc rallied. There were some gains from short euro positions, but these were not enough to counter losses felt from reversals in the British pound and Swiss franc. Fixed income was a solid winning asset class for the trading advisors. Long positions across the yield curve generated positive returns as yields came down as a result of stronger risk adverse sentiment, especially in the second half of June. Fixed income also happened to be a portfolio area where risk was relatively greater than in other asset classes, so gains here were able to counter losses or mixed performance in all other sectors. Altis’ performance was weakest among the trading advisors in Systematic Momentum. Its losses in equity indices and currencies were greater than its peers. However, Winton’s lower level of risk taking in reversing asset classes as well as more sizable long precious metals positions relative to other trading advisors resulted in it being the best performer in June.

July 1, 2010 to September 30, 2010

The Fund experienced a net trading profit for the third quarter of 2010 of $44,901,927.

In July, the Portfolio Funds posted losses to the Fund as performance was quite mixed among trading advisors, following a difficult May and June. The only significant and consistent exposure was that all of the trading advisors had long positions fixed income. This was a result of a long term down trend in yields across the board. In July, yields generally continued their downward trend. This meant that both short term interest rates contracts and bond futures appreciated in value, generating profits for the trading

advisors who had long positions in these contracts. In addition, equities showed some volatility intra month, but ended July higher. The trading advisors generally benefited from these moves as they still had long positions in equity indices remaining despite the reversals from May and June. The gains from fixed income were healthy, but equity indices contributed little to performance given a relatively smaller risk allocation. Currencies and commodities detracted from performance. European currencies broke the trend and moved up during July as concerns relating to European growth and bank health subsided. This caused losses to short positions in those currencies. Gold fell in July and wheat rose due to supply and weather concerns. Since these were significant commodity exposures for most of the trading advisors, the Portfolio Funds posted losses. The best performing trading advisor was BlueTrend due to long positions in equity and energy allocations where the trend was up. Most of the other trading advisors were closer to being neutral in both sectors. Winton had been the best performer coming into the second half of the year, but incurred losses in July. Winton’s loss was larger than several other trend followers due to its long positions in gold, short positions in grains and short euro positions.

In August, the Portfolio Funds posted profits to the Fund. May, June and July were generally characterized by reversals and choppiness in all asset classes except fixed income. As a result, coming into August, the Fund’s main exposure was to be long fixed income. This positioning did very well as yields generally continued their long term down trend during the month. With risk aversion the dominant sentiment in August, fixed income yields moved significantly lower across the curve, benefiting the trading advisors with long exposure. An absence of trends in equities, currencies and commodities meant that risk in those asset classes was not very significant. The main exposures in those sectors were small long positions in equity indices, short positions in the euro against long positions in most other major currencies, and relatively neutral positions in commodities (short positions in natural gas, long positions in oil, metals and agricultural). These positions came in flat during August. The short positions in euro and natural gas and long positions in metals resulted in profits posted to the Fund. However, long positions in equities, oil and FX lost money. Having little risk on in these sectors meant that gains and losses were small, and they generally canceled each other out. Aspect and Altis had strong returns in August due as their risk allocation to fixed income was greater than the other Portfolio Funds and in the case of Altis, short positions in oil and natural gas also contributed strongly to the return. BlueTrend and Tudor Tensor experienced small losses in August. BlueTrend’s long positioning in commodities and equities posted losses for the Fund, offsetting profits from fixed income. For Tudor Tensor, short term intra-month market fluctuations hurt the Fund’s non-trend systems.

In September the Portfolio Funds posted profits to the Fund. Coming into August, the Fund’s main exposure was long fixed income and that positioning performed well as yields generally continued their long term down trend during the month. In September, a similar positioning produced good results, but for different reasons. Fixed income was the dominant exposure for most trading advisors at the start of September as yields initially moved higher. This was due to improving investor optimism, following strong manufacturing numbers out of China and the United States. Then mid-month, the Federal Reserve talked about the possibility of a further round of quantitative easing. Yields reversed, ending the month close to where they started, and the Portfolio Funds recouped most of their losses from earlier in the month. They also profited from long positions in equity indices, as global equity markets had a strong month. In commodities, long positions in precious metals and agricultural gained as up trends continued. In currencies, overall short positions in the U.S. dollar generated profits and lost money in fixed income.

Tudor Tensor was the best performer in September partly due to the non-trend diversification. Winton had the weakest return with smaller risk allocations to the equity, FX and commodity sectors resulted in close to flat performance.

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 Portfolio Funds are a speculative commodity pools. The market sensitive instruments held by the Portfolio Funds 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 Portfolio Fund’s open positions and, consequently, in its earnings and cash flow. The Portfolio 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 Portfolio Fund’s open positions and the liquidity of the markets in which it trades.

The Portfolio Funds, under the direction of their respective advisors, rapidly acquire and liquidate 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 past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Portfolio Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Portfolio Funds’ speculative trading and the recurrence in the markets traded by the Portfolio Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Portfolio Funds’ losses in any market sector will be limited to Value at Risk or by each Portfolio Funds’ 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 Portfolio Fund’s risk exposure in the various market sectors traded by the advisors is quantified below in terms of Value at Risk. Due to the Portfolio Fund’s fair value accounting, any loss in the fair value of the Portfolio Fund’s open positions is directly reflected in the Portfolio 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 of the Portfolio Funds have been used 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 Portfolio Funds), 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 Portfolio Funds’ Trading Value at Risk in Different Market Sectors

The following tables indicate the average, highest, and lowest trading Value at Risk associated with the Portfolio Funds’ open positions by market category for the nine months ended September 30, 2011 and 2010.

Altis Class DS (1)

September 30, 2011

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

Agricultural Commodities	$	866,157	0.67	%	$	2,247,955	$	27,921
Energy	4,055,703		3.13	%	8,793,444		2,110,408
Interest Rates	1,335,972		1.03	%	2,739,606		537,011
Metals	4,050,037		3.13	%	4,773,454		2,642,365
Stock Indices	2,914,756		2.25	%	6,962,534		329,023
Currencies	3,130,247		2.42	%	7,232,723		268,027

TOTAL	$	16,352,872	12.63	%	$	32,749,716	$	5,914,755

(1) Average capitalization of Altis Class DS is $129,458,233.

Altis Class DS (1)

September 30, 2010

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

Agricultural Commodities	$	1,460,483	1.23	%	$	1,812,902	$	876,412
Energy	2,401,018		2.03	%	3,789,264		402,379
Interest Rates	4,065,496		3.44	%	6,161,422		2,214,446
Metals	851,623		0.72	%	1,387,439		137,142
Stock Indices	3,156,368		2.67	%	5,732,823		706,111
Currencies	3,369,980		2.85	%	8,369,399		253,502

TOTAL	$	15,304,968	12.94	%	$	27,253,249	$	4,589,992

(1) Average capitalization of Altis Class DS is $118,315,515.

Transtrend Class DS (2)

September 30, 2011

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

Agricultural Commodities	$	1,187,361	0.65	%	$	2,047,893	$	469,516
Energy	2,496,337		1.37	%	6,420,443		749,518
Interest Rates	1,149,350		0.63	%	2,738,610		229,084
Metals	3,942,234		2.16	%	7,247,078		2,350,620
Stock Indices	2,978,850		1.63	%	6,077,759		95,103
Currencies	3,923,673		2.15	%	8,041,814		306,584

TOTAL	$	15,677,805	8.59	%	$	32,573,597	$	4,200,425

(2) Average capitalization of Transtrend Class DS is $182,738,983.

Transtrend Class DS (2)

September 30, 2010

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

Agricultural Commodities	$	1,289,509	0.79	%	$	2,606,125	$	556,827
Energy	5,514,794		3.38	%	9,429,287		2,903,415
Interest Rates	2,731,231		1.67	%	5,393,570		671,719
Metals	1,366,404		0.84	%	2,661,799		260,793
Stock Indices	1,633,997		1.00	%	3,291,729		547,142
Currencies	5,340,002		3.27	%	8,791,420		2,857,950

TOTAL	$	17,875,937	10.95	%	$	32,173,930	$	7,797,846

(2) Average capitalization of Transtrend Class DS is $163,246,537.

Aspect Class DS (3)

September 30, 2011

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

Agricultural Commodities	$	237,848	0.23	%	$	749,180	$	7,701
Energy	2,238,702		2.19	%	2,785,084		1,578,599
Interest Rates	1,048,086		1.03	%	1,783,137		23,089
Metals	604,425		0.59	%	890,520		243,954
Stock Indices	833,617		0.82	%	1,215,954		481,987
Currencies	1,608,525		1.58	%	2,099,819		1,297,512

TOTAL	$	6,571,203	6.44	%	$	9,523,694	$	3,632,842

(3) Average Capitalization of Aspect Class DS is $102,098,672.

Aspect Class DS (3)

September 30, 2010

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

Agricultural Commodities	$	695,979	0.76	%	$	1,064,040	$	437,968
Energy	892,647		0.98	%	1,457,212		421,434
Interest Rates	2,332,371		2.56	%	3,972,800		1,196,856
Metals	1,125,686		1.24	%	1,664,060		728,265
Stock Indices	766,169		0.84	%	1,498,136		179,497
Currencies	1,692,785		1.86	%	3,261,928		141,008

TOTAL	$	7,505,637	8.24	%	$	12,918,176	$	3,105,028

(3) Average Capitalization of Aspect Class DS is $91,099,424.

Winton Class DS (4)

September 30, 2011

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

Agricultural Commodities	$	930,272	0.51	%	$	1,621,906	$	462,721
Energy	1,513,139		0.83	%	2,047,064		1,018,159
Interest Rates	980,212		0.54	%	2,708,686		64,164
Metals	1,682,633		0.92	%	2,710,707		341,084
Stock Indices	1,531,040		0.84	%	2,622,237		369,605
Currencies	1,682,757		0.92	%	2,531,636		378,263

TOTAL	$	8,320,053	4.56	%	$	14,242,236	$	2,633,996

(4) Average capitalization of Winton Class DS is $183,164,288.

Winton Class DS (4)

September 30, 2010

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

Agricultural Commodities	$	844,611	0.51	%	$	1,506,204	$	344,797
Energy	565,305		0.34	%	985,880		235,233
Interest Rates	2,385,591		1.45	%	3,649,170		1,312,434
Metals	2,910,080		1.77	%	4,749,097		2,054,356
Stock Indices	1,334,248		0.81	%	2,760,611		76,401
Currencies	2,252,361		1.37	%	3,849,096		1,353,131

TOTAL	$	10,292,196	6.25	%	$	17,500,058	$	5,376,352

(4) Average capitalization of Winton Class DS is $164,456,302.

John Locke Class DS (5)

September 30, 2011

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

Agricultural Commodities	$	2,081,209	1.46	%	$	4,832,956	$	732,787
Energy	4,924,042		3.47	%	7,775,344		1,920,130
Interest Rates	1,217,235		0.86	%	2,325,466		266,488
Metals	3,479,215		2.45	%	7,460,069		1,447,777
Stock Indices	921,889		0.65	%	1,347,426		189,489
Currencies	1,255,406		0.88	%	2,859,194		190,130

TOTAL	$	13,878,996	9.77	%	$	26,600,455	$	4,746,801

(5) Average capitalization of John Locke Class DS is $142,080,766.

John Locke Class DS (5)

September 30, 2010

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

Agricultural Commodities	$	3,151,876	2.48	%	$	6,132,927	$	1,337,070
Energy	1,363,445		1.07	%	2,389,469		600,777
Interest Rates	1,677,614		1.32	%	4,054,236		40,451
Metals	3,517,189		2.77	%	7,769,170		1,422,337
Stock Indices	1,069,853		0.84	%	2,017,379		249,413
Currencies	656,516		0.52	%	1,760,469		159,474

TOTAL	$	11,436,493	9.00	%	$	24,123,650	$	3,809,522

(5) Average capitalization of John Locke Class DS is $127,156,082.

BlueTrend Class DS (6)

September 30, 2011

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

Agricultural Commodities	$	1,177,188	0.69	%	$	3,684,819	$	40,969
Energy	4,024,321		2.34	%	6,503,240		456,057
Interest Rates	817,522		0.48	%	1,439,863		411,095
Metals	3,433,944		2.00	%	9,847,669		24,269
Stock Indices	5,100,939		2.97	%	8,561,988		1,190,820
Currencies	1,868,382		1.09	%	3,163,893		859,290

TOTAL	$	16,422,296	9.57	%	$	33,201,472	$	2,982,500

(6) Average capitalization of BlueTrend Class DS is $171,835,960.

BlueTrend Class DS (6)

September 30, 2010

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

Agricultural Commodities	$	461,865	0.39	%	$	876,198	$	222,292
Energy	3,685,869		3.12	%	7,504,388		418,261
Interest Rates	3,520,111		2.98	%	6,229,202		1,996,318
Metals	821,064		0.69	%	1,700,837		257,397
Stock Indices	3,573,656		3.02	%	5,670,108		1,309,899
Currencies	2,195,617		1.86	%	6,309,407		87,844

TOTAL	$	14,258,182	12.06	%	$	28,290,140	$	4,292,011

(6) Average capitalization of BlueTrend Class DS is $118,276,054.

Tudor Tensor Class DS (7)

September 30, 2011

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

Agricultural Commodities	$	1,714,685	1.30	%	$	2,379,200	$	992,130
Energy	2,877,042		2.19	%	4,933,750		1,190,081
Interest Rates	2,244,558		1.71	%	4,208,264		990,433
Metals	1,050,075		0.80	%	1,977,389		370,078
Stock Indices	543,267		0.41	%	1,187,311		62,733
Currencies	2,457,102		1.87	%	6,394,328		473,792

TOTAL	$	10,886,729	8.28	%	$	21,080,242	$	4,079,247

(7) Average capitalization of Tudor Tensor Class DS is $131,422,393.

Tudor Tensor Class DS (7)

September 30, 2010

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

Agricultural Commodities	$	262,853	0.23	%	$	481,456	$	101,534
Energy	1,097,913		0.95	%	1,646,337		575,349
Interest Rates	1,546,709		1.34	%	2,030,443		1,085,170
Metals	1,064,051		0.92	%	2,868,270		266,466
Stock Indices	2,753,244		2.39	%	4,511,655		1,539,076
Currencies	1,108,472		0.96	%	2,032,136		293,075

TOTAL	$	7,833,242	6.79	%	$	13,570,297	$	3,860,670

(7) Average capitalization of Tudor Tensor Class DS is $115,196,679.

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

The face value of the market sector instruments held by the Portfolio Funds 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 Portfolio Funds. The magnitude of the Portfolio Funds’ 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 Portfolio Funds to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Portfolio Funds — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

The Portfolio Funds have 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 Portfolio Funds also have non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S. 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 Portfolio Funds’ market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Portfolio Funds manage their 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 Portfolio Funds’ primary market risk exposures as well as the strategies used and to be used by Portfolio Funds’ managers for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Portfolio Funds’ 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 Portfolio Funds. There can be no assurance that the Portfolio Funds’ 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.

Item 4. Controls and Procedures

MLAI, the Manager of ML Systematic Momentum FuturesAccess LLC, with the participation of the Manager’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 13(a) -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	$	6,020,020	4,807,171	$	1.2523
Feb-11	2,081,630		1,687,854	1.2333
Mar-11	3,967,482		3,162,348	1.2546
Apr-11	5,490,727		4,523,585	1.2138
May-11	3,944,634		3,142,133	1.2554
Jun-11	7,735,677		6,468,498	1.1959
Jul-11	3,300,769		2,851,390	1.1576
Aug-11	3,579,447		2,985,858	1.1988
Sep-11	2,621,883		2,206,044	1.1885
Oct-11	1,833,958		1,550,916	1.1825

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	14,214,345	11,267,812	$	1.2615
Feb-11	14,904,609		12,007,258	1.2413
Mar-11	20,393,724		16,163,688	1.2617
Apr-11	16,574,435		13,590,058	1.2196
May-11	13,638,095		10,820,450	1.2604
Jun-11	12,423,689		10,355,663	1.1997
Jul-11	10,144,855		8,744,057	1.1602
Aug-11	5,451,400		4,540,941	1.2005
Sep-11	6,333,873		5,326,163	1.1892
Oct-11	3,424,508		2,896,725	1.1822

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	1,349,999	912,840	$	1.4789
Feb-11	999,999		685,729	1.4583
Mar-11	6,299,998		4,241,281	1.4854
Apr-11	—		—	1.4388
May-11	—		—	1.4900
Jun-11	83,999		59,104	1.4212
Jul-11	699,999		508,240	1.3773
Aug-11	688,999		482,459	1.4281
Sep-11	—		—	1.4176
Oct-11	—		—	1.4123

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	664,870	501,221	$	1.3265
Feb-11	580,495		444,211	1.3068
Mar-11	1,825,734		1,372,939	1.3298
Apr-11	555,810		431,865	1.2870
May-11	932,294		700,183	1.3315
Jun-11	2,602,669		2,051,284	1.2688
Jul-11	1,101,972		896,933	1.2286
Aug-11	373,997		293,861	1.2727
Sep-11	286,873		227,280	1.2622
Oct-11	119,745		95,316	1.2563

CLASS D1

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	—	—	$	1.3199
Feb-11	711,112		546,379	1.3015
Mar-11	—		—	1.3257
Apr-11	—		—	1.2841
May-11	—		—	1.3298
Jun-11	—		—	1.2684
Jul-11	—		—	1.2292
Aug-11	—		—	1.2746
Sep-11	—		—	1.2652
Oct-11	—		—	1.2604

(1) Beginning of the month Net Asset Value

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. (Removed and Reserved)

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 SYSTEMATIC MOMENTUM FUTURESACCESS LLC


		By:	MERRILL LYNCH ALTERNATIVE
			INVESTMENTS LLC
			(Manager)


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


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

Attached files

MAN FRM MANAGED FUTURES STRATEGIES LLC Reports

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