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 June 30, 2012

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

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 Web site, 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.:

Large accelerated filer o		Accelerated filer o

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

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

As of June 30, 2012, 640,134,013 units of limited liability company interest were outstanding.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

QUARTERLY REPORT FOR JUNE 30, 2012 ON FORM 10-Q

Table of Contents

PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

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

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	22

Item 4.	Controls and Procedures	33

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	34

Item 1A.	Risk Factors	34

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	34

Item 3.	Defaults Upon Senior Securities	35

Item 4.	Mine Safety Disclosures	35

Item 5.	Other Information	35

Item 6.	Exhibits	35

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30,		December 31,
	2012		2011
ASSETS:

Cash	$	97,878,842	$	45,570
Investment in Portfolio Funds (Cost $648,614,847 at 2012 and $880,414,859 at 2011)	648,294,932		909,794,576
Receivable from Portfolio Fund	681,974		35,418,578
Other assets	—		119,995

TOTAL ASSETS	$	746,855,748	$	945,378,719

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor fee payable	$	1,254,986	$	1,596,782
Redemptions payable	23,491,914		34,062,410
Other liabilities	680,367		603,765

Total liabilities	25,427,267		36,262,957

MEMBERS’ CAPITAL:
Members’ Interest (640,134,013 Units and 782,897,013 Units outstanding; unlimited Units authorized)	721,428,481		909,115,762
Total members’ capital	721,428,481		909,115,762

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	746,855,748	$	945,378,719

NET ASSET VALUE PER UNIT:

Class A	$	1.1146	$	1.1452
Class C	$	1.1060	$	1.1421
Class D	$	1.3462	$	1.3729
Class I	$	1.1877	$	1.2179
Class D1	$	1.2014	$	1.2253
Class M	$	0.9946	$	1.0143

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30, 2012			June 30, 2011			June 30, 2012			June 30, 2011
TRADING PROFIT (LOSS):

Realized, net	$	11,153,198		$	1,011,300		$	17,468,244		$	2,438,194
Change in unrealized, net	(21,069,559		)	(46,546,584		)	(29,699,632		)	(76,795,545		)

Total trading profit (loss), net	(9,916,361		)	(45,535,284		)	(12,231,388		)	(74,357,351		)

INVESTMENT INCOME:
Interest, net	—			68			—			152

EXPENSES:
Sponsor fee	4,042,299			5,299,652			8,570,143			10,516,286
Other	357,049			394,237			714,048			791,388
Total expenses	4,399,348			5,693,889			9,284,191			11,307,674

NET INVESTMENT INCOME (LOSS)	(4,399,348		)	(5,693,821		)	(9,284,191		)	(11,307,522		)

NET INCOME (LOSS)	$	(14,315,709	)	$	(51,229,105	)	$	(21,515,579	)	$	(85,664,873	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	108,975,910			120,828,799			113,320,161			117,938,083
Class C	474,312,845			592,072,939			501,799,101			579,198,052
Class D	28,693,390			38,645,571			30,835,948			37,715,018
Class I	59,384,791			79,847,031			63,520,672			79,219,273
Class D1	17,362,464			32,992,785			18,450,668			34,349,506
Class M*	554,219			—			554,219			—

Net income (loss) per weighted average Unit
Class A	$	(0.0194	)	$	(0.0575	)	$	(0.0274	)	$	(0.0968	)
Class C	$	(0.0215	)	$	(0.0602	)	$	(0.0313	)	$	(0.1029	)
Class D	$	(0.0203	)	$	(0.0596	)	$	(0.0231	)	$	(0.1038	)
Class I	$	(0.0194	)	$	(0.0593	)	$	(0.0257	)	$	(0.0993	)
Class D1	$	(0.0161	)	$	(0.0484	)	$	(0.0184	)	$	(0.0830	)
Class M*	$	(0.0157	)	$	—		$	(0.0197	)	$	—

* Units issued on December 1, 2011

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited) (in Units)

	Members’ Capital December 31, 2010	Subscriptions	Redemptions		Members’ Capital June 30, 2011	Members’ Capital December 31, 2011	Subscriptions	Redemptions		Members’ Capital June 30, 2012
Class A	109,942,197	23,791,589	(11,691,069	)	122,042,717	118,415,228	3,550,860	(19,536,444	)	102,429,644
Class C	545,907,287	74,204,929	(30,987,090	)	589,125,126	541,061,830	12,555,460	(116,273,429	)	437,343,861
Class D	34,000,711	5,898,954	(3,316,073	)	36,583,592	32,964,610	1,125,100	(7,208,756	)	26,880,954
Class I	78,308,142	5,501,703	(3,210,732	)	80,599,113	69,895,943	1,415,779	(15,006,533	)	56,305,189
Class D1	35,556,370	546,379	(5,767,355	)	30,335,394	20,409,402	—	(3,789,256	)	16,620,146
Class M*	—	—	—		—	150,000	404,219	—		554,219

Total Members’ Units	803,714,707	109,943,554	(54,972,319	)	858,685,942	782,897,013	19,051,418	(161,814,418	)	640,134,013

* Units issued on December 1, 2011

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)

	Members’ Capital December 31, 2010		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2011		Members’ Capital December 31, 2011		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2012
Class A	$	137,682,539	$	29,240,170	$	(14,228,975	)	$	(11,420,903	)	$	141,272,831	$	135,614,804	$	4,100,416	$	(22,448,771	)	$	(3,102,296	)	$	114,164,153
Class C	688,642,500		92,148,897		(37,672,129		)	(59,615,259		)	683,504,009		617,955,947		14,353,390		(132,902,527		)	(15,720,308		)	483,686,502
Class D	50,284,160		8,733,995		(4,715,689		)	(3,914,976		)	50,387,490		45,258,044		1,550,000		(9,907,636		)	(712,991		)	36,187,417
Class I	103,872,241		7,161,872		(4,150,254		)	(7,863,303		)	99,020,556		85,127,204		1,750,933		(18,377,152		)	(1,630,030		)	66,870,955
Class D1	46,930,446		711,112		(7,502,221		)	(2,850,432		)	37,288,905		25,007,612		—		(4,700,354		)	(339,014		)	19,968,244
Class M*	—		—		—			—			—		152,151		409,999		—			(10,940		)	551,210

Total Members’ Interest	$	1,027,411,886	$	137,996,046	$	(68,269,268	)	$	(85,664,873	)	$	1,011,473,791	$	909,115,762	$	22,164,738	$	(188,336,440	)	$	(21,515,579	)	$	721,428,481

* Units issued on December 1, 2011

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2012 (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			Class M
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.1364		$	1.1304		$	1.3674		$	1.2097		$	1.2204		$	1.0102

Net Realized and net change in unrealized trading profit (loss)	(0.0170		)	(0.0168		)	(0.0206		)	(0.0181		)	(0.0184		)	(0.0152		)
Expenses	(0.0048		)	(0.0076		)	(0.0006		)	(0.0039		)	(0.0006		)	(0.0004		)

Net asset value, end of period	$	1.1146		$	1.1060		$	1.3462		$	1.1877		$	1.2014		$	0.9946

Total Return: (a)

Total return	-1.92		%	-2.16		%	-1.55		%	-1.82		%	-1.55		%	-1.55		%

Ratios to Average Members’ Capital:

Expenses	0.42		%	0.67		%	0.04		%	0.32		%	0.04		%	0.04		%

Net investment income (loss)	-0.42		%	-0.67		%	-0.04		%	-0.32		%	-0.04		%	-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 member’s return may vary from these returns based on timing of capital transactions.

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 (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			Class M
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.1452		$	1.1421		$	1.3729		$	1.2179		$	1.2253		$	1.0143

Net Realized and net change in unrealized trading profit (loss)	(0.0211		)	(0.0209		)	(0.0255		)	(0.0225		)	(0.0228		)	(0.0189		)
Expenses	(0.0095		)	(0.0152		)	(0.0012		)	(0.0077		)	(0.0011		)	(0.0008		)

Net asset value, end of period	$	1.1146		$	1.1060		$	1.3462		$	1.1877		$	1.2014		$	0.9946

Total Return: (a)

Total return	-2.68		%	-3.17		%	-1.95		%	-2.48		%	-1.95		%	-1.95		%

Ratios to Average Members’ Capital:

Expenses	0.83		%	1.33		%	0.08		%	0.63		%	0.08		%	0.08		%

Net investment income (loss)	-0.83		%	-1.33		%	-0.08		%	-0.63		%	-0.08		%	-0.08		%

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 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	$	1.2138		$	1.2196		$	1.4388		$	1.2870		$	1.2841

Net Realized and net change in unrealized trading profit (loss)	(0.0513		)	(0.0514		)	(0.0610		)	(0.0544		)	(0.0544		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0049		)	(0.0080		)	(0.0005		)	(0.0040		)	(0.0005		)

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

Total Return: (a)

Total return	-4.63		%	-4.87		%	-4.28		%	-4.54		%	-4.28		%

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		%

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 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)	(0.0847		)	(0.0850		)	(0.1005		)	(0.0898		)	(0.0897		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0100		)	(0.0163		)	(0.0011		)	(0.0081		)	(0.0010		)

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

Total Return: (a)

Total return	-7.57		%	-8.03		%	-6.87		%	-7.38		%	-6.87		%

Ratios to Average Members’ Capital:

Expenses	0.82		%	1.32		%	0.07		%	0.62		%	0.07		%

Net investment income (loss)	-0.82		%	-1.32		%	-0.07		%	-0.62		%	-0.07		%

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Systematic Momentum FuturesAccess LLC (the “Fund”), formerly ML Systematic Momentum FuturesAccess LLC, a Merrill Lynch FuturesAccessSM Program (“FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced operations on April 2, 2007. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund operates as a “fund of funds”, allocating and reallocating its capital, under the direction of Merrill Lynch Alternative Investments LLC (“MLAI” or “Sponsor”), the Sponsor of the Fund, among seven underlying FuturesAccess Funds (each a “Portfolio Fund”, and collectively the “Portfolio Funds”).

MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are sometimes referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Portfolio Funds’ commodity broker. Merrill Lynch International Bank (“MLIB”) is the Portfolio Funds’ primary foreign exchange forward prime broker.

FuturesAccess offers investors the opportunity to allocate and reallocate capital among a number of managed futures and other commodity trading advisors collectively employing different technical, fundamental, systematic and/or discretionary trading strategies or to those fund of funds for which MLAI allocates capital to a number of trading advisors.

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, BAC 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 June 30, 2012 and December 31, 2011 and the results of its operations for the three and six months ended June 30, 2012 and 2011. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2011.

Estimates

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

2. INVESTMENTS IN PORTFOLIO FUNDS

The seven funds in which the Fund is invested as of June 30, 2012 are: Altis FuturesAccess LLC (“Altis”) (formerly ML Altis FuturesAccess LLC), Aspect FuturesAccess LLC (“Aspect”) (formerly ML Aspect FuturesAccess LLC), ML BlueTrend FuturesAccess LLC (“BlueTrend”), John Locke FuturesAccess LLC (“John Locke”) (formerly ML John Locke FuturesAccess LLC), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), Tudor Tensor FuturesAccess LLC (“Tudor Tensor”) and ML Winton FuturesAccess LLC (“Winton”). 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 trade date. The investments in the Portfolio Funds are 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’ trading advisors.

The details of investments in Portfolio Funds at and for the six month period ended June 30, 2012, are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost		Management Fees			Performance Fees		Redemptions Permitted
Tudor Tensor	10.03	%	$	72,353,596	$	(3,430,690	)	$	79,835,479	$	(1,022,024	)	$	—	monthly
Transtrend	16.05	%	115,765,751		9,199,587			114,420,414		(1,440,210		)	—		monthly
Altis	10.03	%	72,353,595		(1,653,652		)	91,810,587		(1,024,987		)	—		monthly
Winton	17.05	%	123,001,111		(6,440,157		)	110,769,073		(1,412,600		)	—		monthly
Aspect	9.63	%	69,466,173		(1,429,015		)	60,092,992		(791,242		)	—		monthly
John Locke	10.03	%	72,353,595		(2,816,181		)	75,978,572		(1,102,104		)	—		monthly
BlueTrend	17.05	%	123,001,111		(5,661,280		)	115,707,730		(1,701,383		)	—		monthly

	89.87	%	$	648,294,932	$	(12,231,388	)	$	648,614,847	$	(8,494,550	)	$	—

The details of investments in Portfolio Funds at and for the year ended December 31, 2011, are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost		Management Fees			Performance Fees		Redemptions Permitted
Transtrend	17.01	%	154,664,583		(19,424,860		)	158,073,068		(3,583,948		)	—		monthly
Altis	12.29	%	111,702,199		(44,402,871		)	129,319,659		(2,535,363		)	—		monthly
Winton	17.01	%	154,664,303		9,917,494			132,177,938		(3,655,604		)	—		monthly
Aspect	9.45	%	85,925,338		5,314,184			71,811,623		(2,029,046		)	—		monthly
John Locke	13.23	%	120,294,680		(11,808,229		)	124,464,075		(2,790,838		)	—		monthly
BlueTrend	18.79	%	170,839,098		(2,353,478		)	145,612,242		(3,468,874		)	—		monthly
Tudor Tensor	12.29	%	111,704,375		(13,295,954		)	118,956,254		(2,589,847		)	—		monthly

	100.07	%	$	909,794,576	$	(76,053,714	)	$	880,414,859	$	(20,653,520	)	$	—

In accordance with Regulation S-X, the following is summarized financial information for each of the Portfolio Funds which require disclosure:

	As of June 30, 2012
	Total Assets		Total Liabilities		Total Capital
Transtrend	182,672,894		4,269,797		178,403,097
BlueTrend	205,580,805		8,098,930		197,481,875
Winton	1,160,569,164		37,355,040		1,123,214,124

Total	$	1,548,822,863	$	49,723,767	$	1,499,099,096

	As of December 31, 2011
	Total Assets		Total Liabilities		Total Capital
Altis	$	118,202,967	$	6,500,768	$	111,702,199
Transtrend	234,879,250		13,832,941		221,046,309

Total	$	353,082,217	$	20,333,709	$	332,748,508

	For the six months ended June 30, 2012
										Net
	Income (Loss)			Commissions			Other			Income (Loss)
Transtrend	11,369,727			(397,828		)	(1,772,312		)	9,199,587
BlueTrend	(3,441,623		)	(324,678		)	(1,894,979		)	(5,661,280		)
Winton	(4,815,684		)	(98,611		)	(1,525,862		)	(6,440,157		)

Total	$	3,112,420		$	(821,117	)	$	(5,193,153	)	$	(2,901,850	)

	For the six months ended June 30, 2011
										Net
	Income (Loss)			Commissions			Other			Income (Loss)
Altis	$	(31,167,873	)	$	(391,045	)	$	(1,394,718	)	$	(32,953,636	)
John Locke	(13,531,682		)	(623,150		)	(1,528,190		)	(15,683,022		)

Total	$	(44,699,555	)	$	(1,014,195	)	$	(2,922,908	)	$	(48,636,658	)

3. FAIR VALUE OF 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 trade date. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding year, or 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 market value measurement guidance, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

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

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. Investments that are included in this category generally are privately held debt and equity securities.

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 net asset value of the 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 Portfolio Fund’s in this case, would be classified as Level II. There were no transfers to or from any level during the three and six months ended June 30, 2012.

The following table summarizes the valuation of the Fund’s investment by the above fair value hierarchy levels as of June 30, 2012 and December 31, 2011:

Investment in
Portfolio Funds	Total		Level I		Level II		Level III

June 30, 2012	$	648,294,932	$	—	$	648,294,932	$	—
December 31, 2011	$	909,794,576	$	—	$	909,794,576	$	—

4. MARKET, CREDIT AND CONCENTRATION RISKS

The nature of this Fund has certain risks, which cannot all be presented on the financial statements as the Fund invests in the Portfolio Funds which have similar market risks as mentioned below. The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Portfolio Fund’s net unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Portfolio Funds’ Statements of Financial Condition. The Portfolio 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 trading 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 (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit (loss) on open contracts, if any, included in the Portfolio Funds’ Statements of Financial Condition. The Portfolio Funds attempt to mitigate this risk by dealing exclusively with BAC entities as clearing brokers.

The Portfolio Funds, in its normal course of business, enters into various contracts, with MLPF&S acting as its commodity broker and MLIB as its foreign currency forward counterpart. Pursuant to the arrangements with MLPF&S and MLIB (which each includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S or MLIB, respectively, the receivables and payables are offset and reported as unrealized profit or loss on open futures contracts for MLPF&S and as unrealized profit or loss on forward contracts for MLIB on the Statements of Financial Condition.

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

MLAI and the Fund have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Registrar and Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Registrar and Transfer Agent performs the transfer agent and investor services functions for the Fund. The agreement with the Registrar and Transfer agent calls for a fee to be paid based on the collective net asset of funds managed or sponsored by MLAI with the minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. MLAI allocates the Registrar and Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets and the fee is payable monthly in arrears. The Registrar and Transfer Agent fee, which ranged between 0.018% and 0.02% of aggregate asset level, allocated to the Fund for the three and

six months ended June 30, 2012 amounted to $41,019 and $85,821, respectively, of which $42,106 was payable to the Registrar and Transfer Agent as of June 30, 2012.

6. SUBSEQUENT EVENTS

As of July 1, 2012 the Fund has invested in Lynx FuturesAccess LLC. Management has evaluated the impact of subsequent events on the Fund through the date the financials were able to be issued and has determined that there were no other 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 period 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 generally equals the value of the Fund’s account under the management of the Portfolio Funds’ trading advisors as of such date, plus any other assets held by the Fund, minus accrued sponsor’s management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all 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.
2011	$	1.2333	$	1.2546	$	1.2138	$	1.2554	$	1.1959	$	1.1576
2012	$	1.1480	$	1.1623	$	1.1364	$	1.1449	$	1.1710	$	1.1146

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		Jun.
2011	$	1.2413	$	1.2617	$	1.2196	$	1.2604	$	1.1997	$	1.1602
2012	$	1.1439	$	1.1572	$	1.1304	$	1.1380	$	1.1629	$	1.1060

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		Jun.
2011	$	1.4583	$	1.4854	$	1.4388	$	1.4900	$	1.4212	$	1.3773
2012	$	1.3780	$	1.3969	$	1.3674	$	1.3794	$	1.4126	$	1.3462

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		Jun.
2011	$	1.3068	$	1.3298	$	1.2870	$	1.3315	$	1.2688	$	1.2286
2012	$	1.2213	$	1.2369	$	1.2097	$	1.2192	$	1.2474	$	1.1877

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D1

	Jan.		Feb.		Mar.		Apr.		May		Jun.
2011	$	1.3015	$	1.3257	$	1.2841	$	1.3298	$	1.2684	$	1.2292
2012	$	1.2298	$	1.2467	$	1.2204	$	1.2311	$	1.2607	$	1.2014

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

	Jan.		Feb.		Mar.		Apr.		May		Jun.
2011	n/a		n/a		n/a		n/a		n/a		n/a
2012	$	1.0180	$	1.0320	$	1.0102	$	1.0191	$	1.0436	$	0.9946

Liquidity and Capital Resources

The Fund does not engage in the sale of goods or services. The Fund’s assets generally are its (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 three or six months ended June 30, 2012 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 profits or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2012. Fund capital decreased 20.65% from $909,115,762 to $721,428,481. This decrease was attributable to the net loss from operations of $21,515,579, coupled with the redemption of 161,814,418 Redeemable Units resulting in an outflow of $188,336,440. The cash outflow was offset with cash inflow of $22,164,738 due to subscriptions of 19,051,418 Units. Future redemptions could impact the amount of funds available for investment in the Portfolio Funds 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 profits and losses on investments is recognized when the investments are sold. Any change in net unrealized profit 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. As of June 30, 2012 the Fund holds no cash equivalents. Cash was held at a nationally recognized financial institution.

Fair Value Measurements

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

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 respective 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 is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2008.

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, 2012 to June 30, 2012

January 1, 2012 to March 31, 2012

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the underlying Portfolio Fund Level and the allocation to each underlying Portfolio Fund as of March 31, 2012:

March 31, 2012

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions

Agriculture	$	3,339,558		127.92	%
Currencies	(2,644,596		)	-101.30	%
Energy	1,159,328			44.41	%
Interest rates	101,467			3.89	%
Metals	(1,424,076		)	-54.55	%
Stock indices	2,078,931			79.63	%

Total	$	2,610,612		100.00	%

The Fund experienced a net trading loss for the first quarter ended March 31, 2012 of $2,315,027.

In the first two months of 2012, the investment environment was one of risk seeking. Equities and commodities generally rallied and the U.S. dollar was down. Despite a bias towards risk, fixed income

did not sell off in any significant way. The Portfolio Fund trading advisors generally spent part of January adjusting to this environment. By February, their portfolios were well positioned to take advantage of these trends. The Fund was up 1.3% in these two months. At the start of March, the Fund continued to be long risk assets and long fixed income. The only exceptions to the rule were short positions in natural gas, the euro, and some industrial metal and agricultural markets. This positioning suffered losses in March due to reversals.

The most significant reversal in March was seen in fixed income, at the longer end of the curve. Yields on notes and bonds jumped higher in the middle of the month and given that most of the Portfolio Funds had sizeable positions resulted in losses. While yields backed down towards month end, the damage was done as many Portfolio Funds trading advisors had already reduced positions, failing to benefit from the latter moves. Currencies also saw some reversals as the U.S. dollar generally strengthened, in particular against commodity currencies such as the Australian dollar and the Canadian dollar. With Portfolio Funds typically holding long positions in these currencies, losses were posted to the Fund. Short positions in the euro were generally unprofitable as the currency ended relatively flat against the U.S. dollar despite poor economic performance in the Eurozone.

Many commodities joined the reversal theme. Following two good months, commodity markets fell in March. These included many oil markets and precious metals, two sectors where the Portfolio Funds trading advisors had built up long positions, as a result, the reversals posted losses. In other sectors, trends seem to continue. Natural gas, where the Portfolio Funds trading advisors have been short for a while, had another very big leg down. For many of the Portfolio Funds trading advisors, this was the best performing market. Some industrial metal and agricultural markets also experienced profits from short positions due to falling prices.

Equity indices generally saw positive performance. The Portfolio Funds trading advisors tended to be long, with the largest allocations to the U.S. and European indices. U.S. equity prices were up for the quarter, continuing the trend and producing gains. But equity prices in Europe were not able to keep up the momentum and fell, posting losses. The Portfolio Funds trading advisors also saw some profits from long positions in Japan and Asia.

April 1, 2012 to June 30, 2012

June 30, 2012

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions

Agriculture	$	(444,482	)	25.75	%
Currencies	(3,515,848		)	203.64	%
Energy	(2,706,707		)	156.78	%
Interest rates	4,330,812			-250.85	%
Metals	822,793			-47.66	%
Stock indices	(213,032		)	12.34	%

Total	$	(1,726,464	)	100.00	%

The Fund experienced a net trading loss for the quarter ended June 30, 2012 of $9,916,361

The Fund started the second quarter long risk assets and long fixed income. April and May were positive months, thanks to strong gains in fixed income, small gains in currencies and relatively smaller losses in equity indices and commodities. The Portfolio Funds trading advisors repositioned their portfolios during these two months to match the prevailing investment environment, shorting risk assets and increasing long positions in fixed income. June saw reversals in every asset class causing significant losses across asset classes that erased the gains from April and May.

In fixed income, the Portfolio Funds trading advisors started the second quarter long most markets. As the economic outlook began to deteriorate in April, yields started to head lower. In response, the Portfolio Funds trading advisors pushed their bets by adding to their long positions, resulting in strong gains as yields continued to make new lows. Gains were especially strong in May, as many fixed income markets reached new lows in yields. June saw a slight give back of these profits as yields backed-up due to improving sentiment.

In the three remaining asset classes, trend followers generally lost money, with equities posting the worst returns. As a result of strong upward trends in the first quarter, the Portfolio Funds trading advisors were positioned long equities in several geographies. In April, global equity indices were down, driven by growing debt related concerns in Europe as well as signs of slowing in various economies. These downward moves continued during May, accelerating in many markets. As the Portfolio Funds posted losses, the Portfolio Funds trading advisors started to reduce their long positions. Given that most trend-followers in the Fund use medium- to long-term signals, their reaction to reversals is not immediate and it takes some time to fully switch direction. It was not until late May that most Portfolio Funds trading advisors had finally exited most of their losing long positions and to go short. In June, equities recovered some, just as the Portfolio Funds trading advisors had established short positioning, adding to losses in this asset class.

Commodities suffered losses as well and followed a similar path as equity indices. The Portfolio Funds trading advisors started the quarter with a long bias. The big reversals in May caused losses and the Portfolio Funds trading advisors spent the month repositioning for a new bearish environment. As the markets recovered in June, Portfolio Funds sustained further losses on the newly initiated short positions. The biggest losses came in May from long positions in oil, metals and agricultural markets. Smaller losses were sustained in June in a choppy market environment.

Foreign exchange trading was also unprofitable. Starting the quarter, exposure to currencies was relatively low. In May, as the U.S. dollar rallied in a safe-haven play, the Portfolio Funds trading advisors adopted a long bias. Initially, this served them well in May as several currencies depreciated against the U.S. dollar. However, June saw a reversal as the European Union moved in a positive direction. As risk seeking returned to markets, the euro rallied against the U.S. dollar. The Portfolio Funds trading advisors had accumulated sizeable euro shorts in May, as it had exhibited a strong downward trend. With most currencies rallying against the U.S. dollar in June, losses were sustained. The asset class as a whole ended the quarter with negative performance, primarily due to euro losses.

January 1, 2011 to June 30, 2011

January 1, 2011 to March 31, 2011

March 31, 2011

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions

Agriculture	$	254,235		1.37	%
Currencies	7,906,370			42.65	%
Energy	6,249,873			33.72	%
Interest rates	(734,672		)	-3.96	%
Metals	(682,880		)	-3.68	%
Stock indices	5,542,473			29.90	%

Total	$	18,535,399		100.00	%

The Fund experienced a net trading loss for the first quarter ended 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 profits 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 profits 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

June 30, 2011

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions

Agriculture	$	1,483,473		-31.47	%
Currencies	2,976,934			-63.17	%
Energy	(2,721,962		)	57.75	%
Interest rates	(1,064,702		)	22.59	%
Metals	(7,040,698		)	149.39	%
Stock indices	1,654,009			-35.10	%

Total	$	(4,712,946	)	100.00	%

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.

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 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 Portfolio 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 their 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 trading advisors, rapidly acquire and liquidate both long and short positions in a wide range of different 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 Portfolio Fund’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Portfolio Funds’ losses in any market sector will be limited to Value at Risk or by each Portfolio Funds’ attempts to manage its market risks.

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 (in the case of exchange-traded contracts in which profits and losses on open positions are cash 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 (which would reduce the Value at Risk estimates) resulting from the fact that the Portfolio Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The following information with respect to Value at Risk (VAR) is set forth in respect of the Portfolio Funds separately rather than for the Fund on a standalone basis.

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 six months ended June 30, 2012 and 2011.

Altis Class DS (1)

	June 30, 2012
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	2,559,700	2.60	%	$	3,511,512	$	1,570,190
Energy	3,727,427		3.79	%	4,029,618		3,288,717
Interest Rates	1,234,910		1.26	%	2,147,073		424,911
Metals	1,582,172		1.61	%	1,811,616		1,428,860
Stock Indices	358,077		0.36	%	565,683		176,778
Currencies	1,813,797		1.85	%	2,032,275		1,680,000

TOTAL	$	11,276,083	11.47	%	$	14,097,777	$	8,569,456

(1) Average capitalization of Altis Class DS is $98,282,084.

Altis Class DS (1)

	June 30, 2011
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	332,012	0.25	%	$	746,919	$	27,921
Energy	4,873,379		3.73	%	8,793,444		2,110,408
Interest Rates	825,192		0.63	%	961,095		537,011
Metals	4,081,574		3.13	%	4,773,454		2,642,365
Stock Indices	4,188,184		3.21	%	6,962,534		2,279,609
Currencies	3,639,689		2.79	%	7,232,723		268,027

TOTAL	$	17,940,030	13.74	%	$	29,470,169	$	7,865,341

(1) Average capitalization of Altis Class DS is $130,522,958.

Transtrend Class DS (2)

	June 30, 2012
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	3,029,912	2.19	%	$	3,230,760	$	2,704,174
Energy	7,031,141		5.08	%	7,910,893		5,733,569
Interest Rates	1,035,278		0.75	%	1,288,143		734,794
Metals	1,415,901		1.02	%	1,658,928		1,096,159
Stock Indices	1,264,248		0.91	%	2,117,184		555,914
Currencies	1,548,391		1.12	%	1,982,594		1,226,094

TOTAL	$	15,324,871	11.07	%	$	18,188,502	$	12,050,704

(2) Average capitalization of Transtrend Class DS is $138,309,149.

Transtrend Class DS (2)

	June 30, 2011
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	1,196,554	0.65	%	$	2,045,984	$	469,078
Energy	1,277,517		0.69	%	2,243,141		748,819
Interest Rates	671,625		0.36	%	1,454,388		228,871
Metals	4,081,651		2.21	%	7,240,322		2,348,429
Stock Indices	4,393,815		2.38	%	6,072,093		2,590,456
Currencies	5,653,414		3.06	%	8,034,317		3,199,645

TOTAL	$	17,274,576	9.35	%	$	27,090,245	$	9,585,298

(2) Average capitalization of Transtrend Class DS is $184,790,681.

Aspect Class DS (3)

	June 30, 2012
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	1,727,183	2.23	%	$	1,991,024	$	1,418,607
Energy	1,087,968		1.40	%	1,343,057		817,906
Interest Rates	825,263		1.06	%	1,045,268		597,838
Metals	333,728		0.43	%	536,270		166,752
Stock Indices	2,265,546		2.92	%	2,486,366		2,030,021
Currencies	148,414		0.19	%	210,827		97,145

TOTAL	$	6,388,102	8.23	%	$	7,612,812	$	5,128,269

(3) Average Capitalization of Aspect Class DS is $77,574,479.

Aspect Class DS (3)

	June 30, 2011
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	9,191	0.01	%	$	9,814	$	8,435
Energy	2,411,936		2.34	%	3,050,561		1,729,073
Interest Rates	943,035		0.91	%	1,953,108		25,290
Metals	539,479		0.52	%	842,432		267,208
Stock Indices	927,304		0.90	%	1,331,860		527,930
Currencies	1,901,175		1.84	%	2,299,976		1,556,640

TOTAL	$	6,732,120	6.52	%	$	9,487,751	$	4,114,576

(3) Average Capitalization of Aspect Class DS is $103,271,448.

Winton Class DS (4)

	June 30, 2012
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	994,227	0.71	%	$	1,109,444	$	851,167
Energy	690,217		0.50	%	1,132,340		288,464
Interest Rates	873,436		0.63	%	1,492,178		369,509
Metals	1,600,744		1.15	%	2,106,557		1,219,547
Stock Indices	3,134,497		2.25	%	4,448,165		2,108,998
Currencies	1,273,451		0.91	%	2,376,343		292,385

TOTAL	$	8,566,572	6.15	%	$	12,665,027	$	5,130,070

(4) Average capitalization of Winton Class DS is $139,342,732.

Winton Class DS (4)

	June 30, 2011
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	1,215,270	0.66	%	$	1,807,657	$	700,448
Energy	1,604,699		0.87	%	2,142,130		1,134,765
Interest Rates	414,808		0.22	%	818,189		71,513
Metals	1,588,195		0.86	%	2,986,677		380,147
Stock Indices	1,569,667		0.85	%	2,922,552		411,935
Currencies	2,535,315		1.37	%	2,821,575		2,211,753

TOTAL	$	8,927,954	4.83	%	$	13,498,780	$	4,910,561

(4) Average capitalization of Winton Class DS is $185,012,433.

John Locke Class DS (5)

	June 30, 2012
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	3,389,381	3.23	%	$	4,796,195	$	1,721,437
Energy	1,147,523		1.09	%	2,182,703		521,287
Interest Rates	846,425		0.81	%	1,651,032		123,814
Metals	1,837,847		1.75	%	2,441,414		1,402,415
Stock Indices	2,796,395		2.66	%	3,905,755		1,454,923
Currencies	898,050		0.85	%	1,814,646		333,031

TOTAL	$	10,915,621	10.39	%	$	16,791,745	$	5,556,907

(5) Average capitalization of John Locke Class DS is $105,047,150.

John Locke Class DS (5)

	June 30, 2011
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	1,402,384	0.98	%	$	2,231,682	$	732,787
Energy	5,909,644		4.12	%	7,775,344		4,449,902
Interest Rates	1,620,945		1.13	%	2,325,466		879,747
Metals	2,564,741		1.79	%	3,952,674		1,447,777
Stock Indices	1,237,132		0.86	%	1,347,426		1,001,487
Currencies	1,452,845		1.01	%	2,859,194		190,130

TOTAL	$	14,187,691	9.89	%	$	20,491,786	$	8,701,830

(5) Average capitalization of John Locke Class DS is $143,355,205.

BlueTrend Class DS (6)

	June 30, 2012
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	1,610,038	0.99	%	$	2,353,986	$	814,769
Energy	3,239,304		1.99	%	4,641,348		1,709,964
Interest Rates	4,613,757		2.83	%	11,651,807		316,704
Metals	1,954,073		1.20	%	2,337,954		1,376,195
Stock Indices	154,311		0.09	%	340,352		46,570
Currencies	3,716,358		2.28	%	7,732,910		164,817

TOTAL	$	15,287,841	9.38	%	$	29,058,357	$	4,429,019

(6) Average capitalization of BlueTrend Class DS is $162,848,511.

BlueTrend Class DS (6)

	June 30, 2011
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	289,527	0.17	%	$	625,460	$	40,628
Energy	5,713,888		3.35	%	6,449,064		4,267,045
Interest Rates	644,960		0.38	%	977,906		407,671
Metals	1,202,030		0.71	%	2,786,118		24,066
Stock Indices	6,876,643		4.04	%	8,490,661		4,541,054
Currencies	2,266,153		1.33	%	3,137,536		1,660,299

TOTAL	$	16,993,201	9.98	%	$	22,466,745	$	10,940,763

(6) Average capitalization of BlueTrend Class DS is $170,352,059.

Tudor Tensor Class DS (7)

	June 30, 2012
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	498,331	0.51	%	$	723,005	$	286,960
Energy	1,026,678		1.05	%	2,281,980		64,669
Interest Rates	1,237,395		1.26	%	2,510,971		269,184
Metals	1,785,278		1.82	%	3,065,063		833,944
Stock Indices	1,252,359		1.27	%	1,916,483		771,668
Currencies	3,846,280		3.92	%	6,066,754		1,825,060

TOTAL	$	9,646,321	9.83	%	$	16,564,256	$	4,051,485

(7) Average capitalization of Tudor Tensor Class DS is $98,241,117.

Tudor Tensor Class DS (7)

	June 30, 2011
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	1,900,476	1.43	%	$	2,379,200	$	1,367,186
Energy	2,934,883		2.21	%	4,933,750		1,190,081
Interest Rates	2,696,434		2.03	%	4,208,264		1,330,827
Metals	980,762		0.74	%	1,977,389		370,078
Stock Indices	772,437		0.58	%	1,187,311		394,559
Currencies	2,785,038		2.10	%	6,394,328		473,792

TOTAL	$	12,070,030	9.09	%	$	21,080,242	$	5,126,523

(7) Average capitalization of Tudor Tensor Class DS is $132,666,469.

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 are 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. Even comparatively minor losses could cause MLAI to further deleverage or terminate the Portfolio Fund’s trading. 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

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 generally 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 and MLIB. 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 Funds’ primary market risk exposures as well as the strategies used and to be used by the trading advisors of the 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.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure; MLAI may urge the Portfolio Funds to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual. Except in cases in which it appears that the Portfolio Funds has begun to deviate from past practice and trading policies or to be trading erratically, MLAI basic risk control procedures consist simply of the ongoing process of monitoring the Portfolio Funds with the market risk controls being applied by the Portfolio Funds.

Risk Management

Portfolio Funds attempt to control risk in all aspects of the investment process — from confirmation of a trend to determining the optimal exposure in a given market, and to money management issues such as the startup or upgrade of investor accounts. Portfolio Funds double check the accuracy of market data, and will not trade a market without multiple price sources for analytical input. In constructing a portfolio, Portfolio Funds seek to control overall risk as well as the risk of any one position, and Portfolio Funds trade only markets that have been identified as having positive performance characteristics. Trading discipline requires plans for the exit of a market as well as for entry. Portfolio Funds factor the point of exit into the decision to enter (stop loss). The size of Portfolio Fund’s positions in a particular market is not a matter of how large a return can be generated but of how much risk it is willing to take relative to that expected return.

To attempt to reduce the risk of volatility while maintaining the potential for excellent performance, proprietary research is conducted on an ongoing basis to refine the Portfolio Funds investment strategies. Research may suggest substitution of alternative investment methodologies with respect to particular contracts; this may occur, for example, when the testing of a new methodology has indicated that its use might have resulted in different historical performance. In addition, risk management research and analysis may suggest modifications regarding the relative weighting among various contracts, the addition or deletion of particular contracts for a program, or a change in position size in relation to account equity. The weighting of capital committed to various markets in the investment programs is dynamic, and Portfolio Funds may vary the weighting at its discretion as market conditions, liquidity, position limit considerations and other factors warrant.

Portfolio Funds may determine that risks arise when markets are illiquid or erratic, which may occur cyclically during holiday seasons, or on the basis of irregularly occurring market events. In such cases, Portfolio Funds at its sole discretion may override computer-generated signals and may at times use discretion in the application of its quantitative models, which may affect performance positively or negatively.

Adjustments in position size in relation to account equity have been and continue to be an integral part of Portfolio Fund’s investment strategy. At its discretion, Portfolio Funds may adjust the size of a position in relation to equity in certain markets or entire programs. Such adjustments may be made at certain times for some programs but not for others. Factors which may affect the decision to adjust the size of a position in relation to account equity include ongoing research, program volatility, assessments of current market volatility and risk exposure, subjective judgment, and evaluation of these and other general market conditions.

Non-Trading Risk

The Fund and the Portfolio Funds control the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week and more frequently if a particular foreign currency balance becomes unusually high.

The Fund and the Portfolio Funds have cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on the cash held on deposit at MLPF&S.

Item 4. Controls and Procedures

MLAI, the Sponsor of Systematic Momentum FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and 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 June 30, 2012 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, 2011, filed with the Securities and Exchange Commission on March 23, 2012.

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 agent of the Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	619,671	541,103	$	1.1452
Feb-12	689,320		600,453	1.1480
Mar-12	817,050		702,960	1.1623
Apr-12	318,825		280,557	1.1364
May-12	616,200		538,213	1.1449
Jun-12	1,039,350		887,574	1.1710
Jul-12	323,700		290,419	1.1146

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	2,910,402	2,548,290	$	1.1421
Feb-12	3,476,983		3,039,587	1.1439
Mar-12	1,919,000		1,658,313	1.1572
Apr-12	2,955,000		2,614,119	1.1304
May-12	1,928,000		1,694,200	1.1380
Jun-12	1,164,005		1,000,951	1.1629
Jul-12	1,402,060		1,267,685	1.1060

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	1.3729
Feb-12	1,500,000		1,088,534	1.3780
Mar-12	—		—	1.3969
Apr-12	50,000		36,566	1.3674
May-12	—		—	1.3794
Jun-12	—		—	1.4126
Jul-12	—		—	1.3462

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	9,999	8,210	$	1.2179
Feb-12	154,996		126,911	1.2213
Mar-12	72,117		58,304	1.2369
Apr-12	340,000		281,061	1.2097
May-12	15,000		12,303	1.2192
Jun-12	1,158,821		928,990	1.2474
Jul-12	15,000		12,630	1.1877

CLASS D1

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	1.2253
Feb-12	—		—	1.2298
Mar-12	—		—	1.2467
Apr-12	—		—	1.2204
May-12	—		—	1.2311
Jun-12	—		—	1.2607
Jul-12	—		—	1.2014

CLASS M

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	409,999	404,219	$	1.0143
Feb-12	—		—	1.0180
Mar-12	—		—	1.0320
Apr-12	—		—	1.0102
May-12	—		—	1.0191
Jun-12	—		—	1.0436
Jul-12	—		—	0.9946

(1) Beginning of the month Net Asset Value

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D Units and Class I Units are subject to sales commissions paid to MLPF&S up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C, Class D1 and Class M Units are not subject to any sales commissions.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

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 six month periods ended June 30, 2012 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.

	SYSTEMATIC MOMENTUM FUTURESACCESS LLC


		By:	MERRILL LYNCH ALTERNATIVE
			INVESTMENTS LLC
			(Manager)


Date: August 14, 2012		By:	/s/ DEANN MORGAN
			Deann Morgan
			Chief Executive Officer and President
			(Principal Executive Officer)


Date: August 14, 2012		By:	/s/ BARBRA E. KOCSIS
			Barbra E. Kocsis
			Chief Financial Officer
			(Principal Financial and Accounting Officer)

MAN FRM MANAGED FUTURES STRATEGIES LLC - FORM 10-Q - August 14, 2012

Attached files

MAN FRM MANAGED FUTURES STRATEGIES LLC Reports