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, 2014

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		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center

250 Vesey Street, 11th Floor

New York, New York 10080

(Former name, former address or former fiscal year, if changed since last report)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (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 September 30, 2014, 197,859,176 units of limited liability company interest were outstanding.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2014 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	27

Item 4.	Controls and Procedures	37

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	38

Item 1A.	Risk Factors	38

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	38

Item 3.	Defaults Upon Senior Securities	40

Item 4.	Mine Safety Disclosures	40

Item 5.	Other Information	40

Item 6.	Exhibits	40

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2014		2013
ASSETS:

Cash	$	134,755	$	364,271
Investment in Portfolio Funds (Cost $201,301,804 for 2014 and $310,987,490 for 2013)	213,321,723		297,556,960
Receivable from Portfolio Funds	4,019,899		15,633,240

TOTAL ASSETS	$	217,476,377	$	313,554,471

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor fee payable	$	368,463	$	540,195
Redemptions payable	3,023,049		15,194,904
Other liabilities	373,517		537,344

Total liabilities	3,765,029		16,272,443

MEMBERS’ CAPITAL:
Members’ Interest (197,859,176 Units and 287,991,182 Units outstanding; unlimited Units authorized)	213,711,348		297,282,028
Total members’ capital	213,711,348		297,282,028

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	217,476,377	$	313,554,471

NET ASSET VALUE PER UNIT:

Class A	$	1.0962	$	1.0369
Class C	$	1.0635	$	1.0135
Class D	$	1.3696	$	1.2809
Class I	$	1.1787	$	1.1115
Class M	$	1.0117	$	0.9463

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 nine			For the nine
	months ended			months ended			months ended			months ended
	September 30, 2014			September 30, 2013			September 30, 2014			September 30, 2013
TRADING PROFIT (LOSS):

Realized, net	$	666,622		$	(3,247,540	)	$	(13,189,842	)	$	(9,739,700	)
Change in unrealized, net	13,004,757			(13,982,923		)	25,450,449			(11,881,004		)

Total trading profit (loss), net	13,671,379			(17,230,463		)	12,260,607			(21,620,704		)

EXPENSES:
Sponsor fee	1,109,245			2,005,610			3,737,942			6,999,810
Other	142,523			214,375			565,791			787,369
Total expenses	1,251,768			2,219,985			4,303,733			7,787,179

NET INVESTMENT INCOME (LOSS)	(1,251,768		)	(2,219,985		)	(4,303,733		)	(7,787,179		)

NET INCOME (LOSS)	$	12,419,611		$	(19,450,448	)	$	7,956,874		$	(29,407,883	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	30,268,113			61,048,025			35,664,355			68,034,488
Class C	146,441,390			270,392,580			170,375,121			299,162,458
Class D	3,270,754			12,435,493			6,364,671			13,670,933
Class I	16,558,174			27,095,915			17,644,427			31,538,144
Class D1*	—			6,606,357			—			8,709,379
Class M	10,127,075			9,457,431			9,337,568			11,194,802

Net income (loss) per weighted average Unit
Class A	$	0.0622		$	(0.0490	)	$	0.0371		$	(0.0439	)
Class C	$	0.0580		$	(0.0504	)	$	0.0287		$	(0.0456	)
Class D	$	0.0846		$	(0.0558	)	$	(0.0030	)	$	(0.0508	)
Class I	$	0.0695		$	(0.0511	)	$	0.0567		$	(0.0439	)
Class D1*	$	—		$	(0.0482	)	$	—		$	(0.0366	)
Class M	$	0.0612		$	(0.0457	)	$	0.0814		$	(0.0386	)

*Units liquidated as of December 31, 2013.

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited) (in Units)

	Members’ Capital December 31, 2012	Subscriptions	Redemptions		Members’ Capital September 30, 2013	Members’ Capital December 31, 2013	Subscriptions	Redemptions		Members’ Capital September 30, 2014
Class A	79,916,267	1,414,022	(23,557,151	)	57,773,138	44,919,355	215,578	(16,623,234	)	28,511,699
Class C	343,220,887	6,925,648	(97,528,365	)	252,618,170	208,733,990	4,368,814	(73,002,351	)	140,100,453
Class D	20,632,689	875,693	(9,472,338	)	12,036,044	10,103,544	—	(6,832,791	)	3,270,753
Class I	37,664,971	1,012,330	(13,503,422	)	25,173,879	19,789,101	197,782	(3,841,697	)	16,145,186
Class D1*	11,727,979	375,761	(5,604,390	)	6,499,350	—	—	—		—
Class M	12,456,679	517,090	(7,801,406	)	5,172,363	4,445,192	8,084,640	(2,698,747	)	9,831,085

Total Members’ Units	505,619,472	11,120,544	(157,467,072	)	359,272,944	287,991,182	12,866,814	(102,998,820	)	197,859,176

*Units liquidated as of December 31, 2013.

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

	Members’ Capital December 31, 2012		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital September 30, 2013		Members’ Capital December 31, 2013		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital September 30, 2014
Class A	$	85,424,977	$	1,524,900	$	(25,333,475	)	$	(4,257,545	)	$	57,358,857	$	46,575,864	$	213,990	$	(16,859,444	)	$	1,324,252		$	31,254,662
Class C	362,231,029		7,341,999		(102,152,195		)	(21,644,162		)	245,776,671		211,561,932		4,274,000		(71,725,274		)	4,890,506			149,001,164
Class D	26,839,468		1,106,000		(12,567,666		)	(671,001		)	14,706,801		12,941,674		—		(8,442,972		)	(19,153		)	4,479,549
Class I	42,987,295		1,179,730		(15,446,287		)	(1,954,814		)	26,765,924		21,996,156		212,328		(4,180,050		)	1,001,167			19,029,601
Class D1*	13,615,676		420,391		(6,682,414		)	(266,091		)	7,087,562		—		—		—			—			—
Class M	11,971,319		502,000		(7,190,031		)	(614,270		)	4,669,018		4,206,402		7,481,070		(2,501,202		)	760,102			9,946,372

Total Members’ Capital	$	543,069,764	$	12,075,020	$	(169,372,068	)	$	(29,407,883	)	$	356,364,833	$	297,282,028	$	12,181,388	$	(103,708,942	)	$	7,956,874		$	213,711,348

*Units liquidated as of December 31, 2013.

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2014 (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 M
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.0324		$	1.0041		$	1.2850		$	1.1089		$	0.9492

Net realized and net change in unrealized trading profit (loss)	0.0685			0.0665			0.0855			0.0736			0.0631
Expenses (b)	(0.0047		)	(0.0071		)	(0.0009		)	(0.0038		)	(0.0006		)

Net asset value, end of period	$	1.0962		$	1.0635		$	1.3696		$	1.1787		$	1.0117

Total Return: (a) (c)

Total return	6.18		%	5.92		%	6.58		%	6.29		%	6.58		%

Ratios to Average Member’s Capital: (b)(c)

Expenses	0.44		%	0.70		%	0.07		%	0.34		%	0.07		%

Net investment income (loss)	-0.44		%	-0.70		%	-0.07		%	-0.34		%	-0.07		%

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

(b) The ratios do not reflect the proportionate share of expense from the Portfolio Funds.

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (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 M
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.0369		$	1.0135		$	1.2809		$	1.1115		$	0.9463

Net realized and net change in unrealized trading profit (loss)	0.0732			0.0709			0.0916			0.0787			0.0676
Expenses (b)	(0.0139		)	(0.0209		)	(0.0029		)	(0.0115		)	(0.0022		)

Net asset value, end of period	$	1.0962		$	1.0635		$	1.3696		$	1.1787		$	1.0117

Total Return: (a) (c)

Total return	5.72		%	4.93		%	6.92		%	6.04		%	6.92		%

Ratios to Average Member’s Capital: (b)(c)

Expenses	1.36		%	2.11		%	0.23		%	1.06		%	0.23		%

Net investment income (loss)	-1.36		%	-2.11		%	-0.23		%	-1.06		%	-0.23		%

(b) The ratios do not reflect the proportionate share of expense from the Portfolio Funds.

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2013 (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	$	1.0422		$	1.0239		$	1.2779		$	1.1150		$	1.1405		$	0.9441

Net realized and net change in unrealized trading profit (loss)	(0.0450		)	(0.0442		)	(0.0553		)	(0.0482		)	(0.0494		)	(0.0408		)
Expenses (b)	(0.0044		)	(0.0068		)	(0.0007		)	(0.0036		)	(0.0006		)	(0.0006		)

Net asset value, end of period	$	0.9928		$	0.9729		$	1.2219		$	1.0632		$	1.0905		$	0.9027

Total Return: (a) (c)

Total return	-4.74		%	-4.98		%	-4.38		%	-4.64		%	-4.38		%	-4.38		%

Ratios to Average Member’s Capital: (b)(c)

Expenses	0.43		%	0.68		%	0.05		%	0.33		%	0.05		%	0.05		%

Net investment income (loss)	-0.43		%	-0.68		%	-0.05		%	-0.33		%	-0.05		%	-0.05		%

(b) The ratios do not reflect the proportionate share of expense from the Portfolio Funds.

See notes to financial statements.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 (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	$	1.0689		$	1.0554		$	1.3008		$	1.1413		$	1.1609		$	0.9610

Net realized and net change in unrealized trading profit (loss)	(0.0623		)	(0.0611		)	(0.0767		)	(0.0667		)	(0.0685		)	(0.0567		)
Expenses (b)	(0.0138		)	(0.0214		)	(0.0022		)	(0.0114		)	(0.0019		)	(0.0016		)

Net asset value, end of period	$	0.9928		$	0.9729		$	1.2219		$	1.0632		$	1.0905		$	0.9027

Total Return: (a) (c)

Total return	-7.12		%	-7.81		%	-6.07		%	-6.84		%	-6.07		%	-6.07		%

Ratios to Average Member’s Capital: (b)(c)

Expenses	1.29		%	2.04		%	0.17		%	0.99		%	0.17		%	0.17		%

Net investment income (loss)	-1.29		%	-2.04		%	-0.17		%	-0.99		%	-0.17		%	-0.17		%

(b) The ratios do not reflect the proportionate share of expense from the Portfolio Funds.

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”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, 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 “Sponsor” or “Managing Member”), the sponsor and manager of the Fund, among underlying FuturesAccess Funds (each a “Portfolio Fund”, and collectively the “Portfolio Funds”) (See Note 2). Presently there are seven Portfolio Funds. MLAI is the sponsor and manager of the Portfolio Funds.

MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Portfolio Funds. MLAI may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Portfolio Funds. MLAI may select other of its affiliates or third parties as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BAC affiliates.

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor for the Portfolio Funds participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

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 September 30, 2014 and December 31, 2013 and the results of its operations for the three and nine month periods ended September 30, 2014 and 2013. 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 report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2013.

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. Certain prior year items have been reclassified to conform to the current year presentation.

2. INVESTMENTS IN PORTFOLIO FUNDS

The seven Portfolio Funds in which the Fund is invested in as of September 30, 2014 are: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), John Locke FuturesAccess LLC (“John Locke”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), Tudor Tensor FuturesAccess LLC (“Tudor”) and ML Winton FuturesAccess LLC (“Winton”). Each of the Portfolio Funds uses a systematic-based managed futures strategy under the direction of a trading advisor unaffiliated with MLAI (each a “Trading Advisor”). 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 the Portfolio Funds’ investments, comparing performance to industry benchmarks, and conference calls and site visits with the Portfolio Funds’ respective Trading Advisors.

The details of investments in Portfolio Funds at and for the nine month period ended September 30, 2014 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 09/30/14		Management Fees			Performance Fees			Redemptions Permitted
Transtrend	16.05	%	$	34,291,379	$	4,147,200		$	30,813,362	$	(454,794	)	$	(39,054	)	Semi -Monthly
Altis*	0.00	%	—		(2,921,043		)	—		(136,040		)	—			Semi -Monthly
Winton	20.01	%	42,762,278		1,606,881			36,458,308		(683,033		)	(428,881		)	Semi -Monthly
Aspect	11.03	%	23,575,322		1,075,717			22,418,200		(384,130		)	—			Semi -Monthly
John Locke	11.03	%	23,575,323		2,733,624			22,761,824		(385,513		)	—			Semi -Monthly
BlueTrend	15.63	%	33,393,931		1,091,084			35,511,372		(603,198		)	—			Monthly
Tudor	11.03	%	23,575,323		999,261			24,986,256		(384,066		)	—			Semi -Monthly
Lynx	15.04	%	32,148,167		3,527,883			28,352,482		(477,326		)	(996,854		)	Semi -Monthly

	99.82	%	$	213,321,723	$	12,260,607		$	201,301,804	$	(3,508,100	)	$	(1,464,789	)

*Altis liquidated as of March 31, 2014

The details of investments in Portfolio Funds at and for the year ended December 31, 2013 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/13		Management Fees			Performance Fees			Redemptions Permitted
Transtrend	16.01	%	$	47,609,112	$	(1,133,475	)	$	48,383,987	$	(1,377,170	)	$	—		Semi -Monthly
Altis	10.01	%	29,755,695		(994,297		)	40,493,981		(860,493		)	—			Semi -Monthly
Winton	17.02	%	50,584,682		4,851,535			42,814,840		(1,470,171		)	(370,016		)	Semi -Monthly
Aspect	10.01	%	29,755,695		(1,840,897		)	29,271,612		(859,787		)	—			Semi -Monthly
John Locke	10.01	%	29,755,701		(770,711		)	32,368,986		(860,679		)	—			Semi -Monthly
BlueTrend	17.02	%	50,584,682		(7,091,153		)	54,095,167		(1,475,532		)	(89,462		)	Monthly
Tudor	10.01	%	29,755,698		(1,856,365		)	33,877,844		(859,774		)	—			Semi -Monthly
Lynx	10.01	%	29,755,695		2,933,172			29,681,073		(863,779		)	(12,671		)	Semi -Monthly

	100.10	%	$	297,556,960	$	(5,902,191	)	$	310,987,490	$	(8,627,385	)	$	(472,149	)

There are no investments held by the Portfolio Funds that in the aggregate exceed 5% of the Fund’s members’ capital. These investments are recorded at fair value. The following is summarized financial information for each of the Portfolio Funds:

	As of September 30, 2014
	Total Assets			Total Liabilities			Total Capital
Aspect	$	143,921,012		$	14,391,446		$	129,529,566
BlueTrend	93,311,150			8,320,821			84,990,329
John Locke	25,215,223			1,639,900			23,575,323
Lynx	47,951,675			4,388,666			43,563,009
Transtrend	74,719,967			4,407,558			70,312,409
Tudor	27,290,604			3,715,281			23,575,323
Winton	969,883,428			57,110,489			912,772,939

Total	$	1,382,293,059		$	93,974,161		$	1,288,318,898

	As of December 31, 2013
	Total Assets			Total Liabilities			Total Capital
Altis	$	33,042,864		$	3,287,169		$	29,755,695
Aspect	181,942,358			14,724,863			167,217,495
BlueTrend	131,419,686			17,583,690			113,835,996
John Locke	32,726,435			3,558,220			29,168,215
Lynx	33,893,952			4,138,257			29,755,695
Transtrend	99,784,514			13,453,024			86,331,490
Tudor	32,579,317			3,481,973			29,097,344
Winton	1,017,995,743			39,646,338			978,349,405

Total	$	1,563,384,869		$	99,873,534		$	1,463,511,335

	For the nine months ended September 30, 2014
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Altis*	$	(2,692,878	)	$	(50,824	)	$	(177,341	)	$	(2,921,043	)
Aspect	8,619,753			(412,821		)	(4,131,709		)	4,075,223
BlueTrend	5,387,299			(417,590		)	(2,449,658		)	2,520,051
John Locke	3,405,824			(176,203		)	(495,997		)	2,733,624
Lynx	7,446,393			(161,271		)	(2,020,729		)	5,264,393
Transtrend	10,391,804			(442,733		)	(1,552,613		)	8,396,458
Tudor	1,846,629			(398,290		)	(449,078		)	999,261
Winton	60,450,846			(908,716		)	(34,648,215		)	24,893,915

Total	$	94,855,670		$	(2,968,448	)	$	(45,925,340	)	$	45,961,882

	For the nine months ended September 30, 2013
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Altis	$	(462,753	)	$	(218,816	)	$	(799,101	)	$	(1,480,670	)
Aspect	(13,380,664		)	(643,556		)	(8,224,782		)	(22,249,002		)
BlueTrend	(13,703,267		)	(601,231		)	(3,330,317		)	(17,634,815		)
John Locke	(1,992,604		)	(263,817		)	(802,235		)	(3,058,656		)
Lynx	(775		)	(192,853		)	(865,760		)	(1,059,388		)
Transtrend	(5,006,136		)	(634,125		)	(2,635,885		)	(8,276,146		)
Tudor	(433,906		)	(1,165,138		)	(799,152		)	(2,398,196		)
Winton	32,731,028			(1,029,682		)	(29,966,395		)	1,734,951

Total	$	(2,249,077	)	$	(4,749,218	)	$	(47,423,627	)	$	(54,421,922	)

*Altis liquidated as of March 31, 2014

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 the measurement date (i.e. the exit price). Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized

when the investments are sold. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is a hierarchical 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 in U.S. GAAP, 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.

The 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, which management believes approximates fair value. These net asset values are the prices used to execute trades with these Portfolio Funds. As the Fund can transact with the Portfolio Funds on a monthly basis, the Fund determined that its investments in these Portfolio Funds in this case, would be classified as Level II. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level for the periods presented.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of September 30, 2014 and December 31, 2013:

Investment in
Portfolio Funds	Total		Level I		Level II		Level III

September 30, 2014	$	213,321,723	$	—	$	213,321,723	$	—
December 31, 2013	$	297,556,960	$	—	$	297,556,960	$	—

4. MARKET, CREDIT AND CONCENTRATION RISKS

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

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Portfolio Funds’ Unrealized profit (loss) on open contracts 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 it 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 will consist of the ongoing process of the respective Trading Advisor’s monitoring, with the market risk controls being applied by the respective Trading Advisors.

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/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. 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 traded contracts, and in the over-the-counter markets counterparties may also require margin.

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.

MLAI, as sponsor of the Portfolio Funds, has a general policy of maintaining clearing and prime brokerage arrangements with BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC affiliated service providers as clearing brokers or prime brokers for the Portfolio Funds.

The Portfolio Funds, in their normal course of business, enter into various contracts, with MLPF&S acting as their futures clearing broker.

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 certain parties, including BAC affiliates. 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 expects the risk of loss to be remote and, therefore, no provision has been recorded.

5. RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets. During the quarter ended September 30, 2014, the rate ranged from 0.018% to 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended September 30, 2014, and 2013 amounted to $10,632 and $24,130, respectively. The Transfer Agent fee allocated to the Fund for the nine month periods ended September 30, 2014 and 2013 amounted to $36,921 and $73,659, respectively, of which $6,155 and $10,835 was payable to the Transfer Agent as of September 30, 2014 and December 31, 2013, respectively.

Sponsor fees as presented on the Statements of Operations are paid to a related party.

6. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued 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 values and to report performance to investors 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 last calendar day of each month, the fifteenth calendar day of each month, and any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s “Net Asset Value” as of any Calculation Date generally equals the value of the Fund’s interests in the Portfolio Funds as of such date plus any other assets held by the Fund, minus accrued Sponsor’s fees and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.0725	$	1.0934	$	1.1015	$	1.0729	$	1.0948	$	1.0917	$	1.1043	$	1.1196	$	1.1179	$	1.0775	$	1.0378	$	1.0422	$	1.0452	$	1.0288	$	1.0193	$	1.0013	$	1.0223	$	0.9928
2014	$	1.0154	$	0.9920	$	0.9901	$	1.0116	$	0.9877	$	0.9905	$	0.9871	$	0.9958	$	0.9970	$	1.0221	$	1.0288	$	1.0324	$	1.0279	$	1.0222	$	1.0429	$	1.0746	$	1.0640	$	1.0962

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.0585	$	1.0786	$	1.0862	$	1.0576	$	1.0787	$	1.0752	$	1.0871	$	1.1017	$	1.0996	$	1.0594	$	1.0199	$	1.0239	$	1.0264	$	1.0098	$	1.0001	$	0.9820	$	1.0023	$	0.9729
2014	$	0.9921	$	0.9689	$	0.9666	$	0.9872	$	0.9635	$	0.9658	$	0.9620	$	0.9701	$	0.9709	$	0.9950	$	1.0011	$	1.0041	$	0.9993	$	0.9934	$	1.0131	$	1.0435	$	1.0327	$	1.0635

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.3060	$	1.3322	$	1.3430	$	1.3090	$	1.3365	$	1.3336	$	1.3498	$	1.3693	$	1.3681	$	1.3194	$	1.2716	$	1.2779	$	1.2823	$	1.2630	$	1.2521	$	1.2308	$	1.2574	$	1.2219
2014	$	1.2551	$	1.2270	$	1.2254	$	1.2528	$	1.2240	$	1.2282	$	1.2247	$	1.2363	$	1.2386	$	1.2706	$	1.2798	$	1.2850	$	1.2802	$	1.2739	$	1.3006	$	1.3409	$	1.3285	$	1.3696

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.1453	$	1.1678	$	1.1767	$	1.1463	$	1.1699	$	1.1668	$	1.1804	$	1.1970	$	1.1954	$	1.1523	$	1.1101	$	1.1150	$	1.1184	$	1.1010	$	1.0910	$	1.0719	$	1.0947	$	1.0632
2014	$	1.0887	$	1.0638	$	1.0619	$	1.0852	$	1.0597	$	1.0629	$	1.0594	$	1.0689	$	1.0704	$	1.0975	$	1.1049	$	1.1089	$	1.1043	$	1.0983	$	1.1208	$	1.1551	$	1.1439	$	1.1787

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D1


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	1.1656	$	1.1890	$	1.1986	$	1.1682	$	1.1928	$	1.1902	$	1.2046	$	1.2221	$	1.2210	$	1.1776	$	1.1349	$	1.1405	$	1.1445	$	1.1272	$	1.1175	$	1.0984	$	1.1222	$	1.0905
2014	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M


	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sept. 15th		Sept.
2013	$	0.9648	$	0.9842	$	0.9922	$	0.9670	$	0.9874	$	0.9852	$	0.9972	$	1.0117	$	1.0108	$	0.9748	$	0.9394	$	0.9441	$	0.9474	$	0.9331	$	0.9250	$	0.9093	$	0.9289	$	0.9027
2014	$	0.9272	$	0.9065	$	0.9053	$	0.9255	$	0.9042	$	0.9074	$	0.9048	$	0.9133	$	0.9150	$	0.9386	$	0.9454	$	0.9492	$	0.9457	$	0.9411	$	0.9608	$	0.9906	$	0.9814	$	1.0117

Liquidity and Capital Resources

The Portfolio Funds borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Portfolio Funds’ U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Portfolio Funds’ assets are held in cash. The net asset value of the Portfolio Funds’ cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Portfolio Funds’ profit potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow. A Portfolio Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the

Portfolio Funds to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon providing eight business days notice prior to the 1st and 16th of the month. MLAI, at any time in its discretion, may discontinue allowing redemptions as of the 15th calendar day of each month on a going forward basis. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash at the underlying Portfolio Funds, which they must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Portfolio Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Portfolio Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the respective Trading Advisor would determine, in its discretion which investments should be liquidated.

For the nine months ended September 30, 2014 the Fund’s capital decreased 28.11% from $297,282,028 to $213,711,348. This decrease was attributable to the net profit from operations of $7,956,874, coupled with the redemption of 102,998,820 Redeemable Units resulting in an outflow of $103,708,942. The cash outflow was offset with cash inflow of $12,181,388 due to subscriptions of 12,866,814 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). Purchases and sales of investments are 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 period is reported on the Statements of Operations.

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 the Fund’s treatment of fair value, see Financial Statements 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 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. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. 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 — 2011.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant,” and the Portfolio Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Portfolio Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Portfolio Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Portfolio Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Portfolio Fund would otherwise engage for its currency forward transactions.

Results of Operations

January 1, 2014 to September 30, 2014

January 1, 2014 to March 31, 2014

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, 2014:

March 31, 2014

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

Agriculture	2,117,741			47.63	%
Currencies - Futures	95,667			2.15	%
Currencies - Forwards	828,532			18.63	%
Energy	(186,834		)	-4.20	%
Interest rates	253,043			5.69	%
Metals	(205,062		)	-4.61	%
Stock indices	1,543,252			34.71	%

Total	$	4,446,339		100.00	%

The Fund experienced a net trading loss for the quarter ended March 31, 2014 of $11,853,647.

References herein to the Fund’s trading and portfolio refer to such trading conducted, and portfolios held, through the Fund’s Portfolio Funds. Reference herein to the trading and portfolios of the Portfolio Funds refer to such trading and portfolios generally.

In equity indices, the Portfolio Funds came into the first quarter with long exposure, given the strong rally in global equity prices during 2013. Positioning was greatest in U.S. and European indices. The upward trend in equities did not continue in the first quarter. Markets quickly reversed in January, rallied back in February, then showed some v-shaped moves in March. They generally ended the quarter not far from where they began, but the reversals and choppiness proved costly to trend followers, making equity indices the worst performing asset class.

Commodities also performed poorly in the first quarter. The Portfolio Funds had long positions in energies and industrial metals, but short positions in grains and precious metals coming into the first quarter. Commodities fell in January, rallied in February, and then fell again in March, exhibiting reversals and several directional shifts along the way. The largest losses were incurred in the energy sector.

In currencies, the Portfolio Funds had mixed positioning coming into the first quarter. Long positions in European currencies like the euro, British pound and Swiss franc were balanced against short positions in the Japanese yen, Canadian dollar and Australian dollar. The downward trend in the Japanese yen continued for part of the quarter and the Portfolio Funds made money, but there were reversals in the remaining major currency positions, leading to small losses.

In fixed income, the Portfolio Funds had long positioning in both interest rates and bonds. Fixed income proved to be the only profitable asset class. Yields generally moved lower over the course of the first quarter. The moves were not very large, but they benefited long positions.

In summary, the first quarter saw reversals in several asset classes. Trends in equity indices, commodities and many currency markets were interrupted. With market moves going against positioning, the Portfolio Funds saw losses in those asset classes. Gains in fixed income markets only partially made up for the losses.

April 1, 2014 to June 30, 2014

June 30, 2014

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

Agriculture	335,233			5.58	%
Currencies - Futures	543,442			9.05	%
Currencies - Forwards	(53,380		)	-0.89	%
Energy	701,193			11.67	%
Interest rates	3,178,992			52.91	%
Metals	286,607			4.77	%
Stock indices	1,016,048			16.91	%

Total	$	6,008,135		100.00	%

The Fund experienced a net trading profit for the quarter ended June 30, 2014 of $10,442,875.

The Fund gained 3.9% for the second quarter. Returns were positive for most Portfolio Funds during the second quarter. Continuing trends in equity indices and fixed income drove performance. Choppiness and some reversals in currencies and commodities minimally offset those gains.

In equity indices, the Portfolio Funds came into the second quarter with long exposure, with positions across geographies. While the first quarter had not necessarily seen the strong upward trends in global equity prices continue, there had not been any significant reversals either. As such, trend followers generally kept their positioning from year end. Exposures were greatest in U.S. and European indices. The upward trend in equities resumed to some extent in the second quarter with many markets rising in late April. These moves were beneficial to long positions. The asset class had losses in April, but was profitable in both May and June as markets rose.

In fixed income, the Portfolio Funds had long positioning within both rates and bonds given falling yields in the first quarter. Yields generally moved lower still in April and May and in several markets in June as well. These moves benefited long positions held by trend followers. Fixed income proved to be the most profitable asset class for the second quarter, generating gains in all three months.

In currencies, the Portfolio Funds lost money. The U.S. dollar exhibited somewhat choppy moves, falling in April, rising in May and falling again in June. The Portfolio Funds were profitable trading the British pound, but lost money in their yen and euro exposures. Losses in April and May were somewhat made up for by gains in June.

Commodity trading was difficult and generally contributed to losses. Oil markets were down initially before recovering in the second half of the second quarter on heightened concerns over the disruption of supply in Iraq. Long positions generally made money. Natural gas saw a reversal later in the quarter, falling as stock levels and the weather outlook improved, resulting in some losses. Larger losses came

from the agricultural sector and especially grains. With several negative supply effects such as drought conditions and tensions in Ukraine dissipating, these markets reversed and fell, leading to losses on long positions. Metal markets also shifted direction several times, depending on strength in the Chinese economy, production levels and safe-haven demand, leading to additional losses.

In summary, equity and fixed income trends continued in the second quarter. Energy markets were also profitable. On the other hand, there was some choppiness in currencies and several commodity sectors such as grains and metals suffered mild reversals which detracted from performance. Overall, the gains outweighed losses and the quarter was profitable for the Fund.

July 1, 2014 to September 30, 2014

September 30, 2014

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

Agriculture	2,805,983			41.79	%
Currencies - Futures	1,507,123			22.45	%
Currencies - Forwards	(779,389		)	-11.61	%
Energy	1,667,480			24.84	%
Interest rates	905,799			13.49	%
Metals	1,314,972			19.59	%
Stock indices	(708,170		)	-10.55	%

Total	$	6,713,798		100.00	%

The Fund experienced a net trading profit for the quarter ended September 30, 2014 of $13,671,379.

In the third quarter, managed futures and trend following strategies had positive performance. Returns were negative in July, but August and September were strong months. Continuing trends in fixed income and new trends in the currency and commodity sectors drove performance. A slight reversal in equity indices resulted in small offsetting losses.

References herein to the trading, portfolios and performance of the Portfolio Funds refer to such trading, portfolios and performance generally across the Portfolio Funds.

In equity indices, the Portfolio Funds came into the third quarter with long exposure, with positions across geographies. The largest exposures were in U.S. and European indices. These positions were due to the upward trend in the asset class which had generally continued during the second quarter. During the third quarter, this trend weakened, with global growth concerns starting to weigh on markets. September was a down month for many equity indices and gains from earlier in the quarter were given back. The sector ended with small losses for the Fund.

In fixed income, the Portfolio Funds had long positioning with both rates and bonds having generally falling yields. The moves were especially large in August, resulting in profits for the Portfolio Funds.

Yields rose slightly in September, leading to a small give back of earlier gains, but fixed income ended up being a strong driver of performance for the Portfolio Funds in the quarter overall.

Currencies also performed strongly. Diverging economic performance and central bank policies were important factors in driving currencies during the third quarter. A decently performing U.S. economy relative to much of the rest of the world meant that the U.S. dollar strengthened against most foreign currencies. The Portfolio Funds generally adopted a long U.S. dollar bias and made profits being short currencies like the euro and yen which weakened consistently through the third quarter.

Commodities were another bright spot for the Portfolio Funds. The strength in the U.S. dollar and the slow weakening of the global economy were among the factors that led to many commodities falling over the course of the third quarter. Supply and demand factors such as dissipating tensions around the Ukraine situation, higher global oil production and reports of strong harvests in many grain markets also played a role. The Portfolio Funds were generally long commodity markets coming into July, but moved to a short stance by the end of August with minimal losses. As the downward trends in the asset class accelerated in September, the Portfolio Funds were well positioned to benefit from them. Falling prices in oil markets, precious metals, grains and softs all contributed positively to performance.

In summary, fixed income trends generally continued in the third quarter. The Portfolio Funds also took advantage of relatively newer downward trends in currencies and commodities. Slight reversals in equity indices mildly detracted from performance. Overall, the third quarter was profitable for the Fund.

January 1, 2013 to September 30, 2013

January 1, 2013 to March 31, 2013

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, 2013:

March 31, 2013

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

Agriculture	1,349,564			17.51	%
Currencies - Futures	(872,803		)	-11.32	%
Currencies - Forwards	(225,284		)	-2.92	%
Energy	221,595			2.88	%
Interest rates	6,897,606			89.49	%
Metals	(86,731		)	-1.13	%
Stock indices	423,517			5.49	%

Total	$	7,707,464		100.00	%

The Fund experienced a net trading profit for the quarter ended March 31, 2013 of $13,803,946.

The Fund started the year with a long bias in both risk assets and fixed income. The only meaningful short exposures were in the Japanese yen, natural gas, grains and soft commodities. This posture shifted partially over the course of the first quarter. The biggest changes took place in currencies and commodities. These two asset classes were most affected by rising risk aversion in February and March. The Portfolio Funds got short many foreign currencies as well as metals and livestock. The only market where the shift went the other way was natural gas, as the Portfolio Funds adopted a long posture as prices rose sharply in March.

Equity indices drove performance. The Portfolio Funds came into the year with long positions across geographies given that stock prices have generally been rising since the summer of 2012. With the fiscal cliff issue resolved in the early days of the first quarter, markets continued to rise, even picking up some momentum. Gains came from diverse positions during January. In February and March, there was some divergence in markets, with U.S. and Japanese equities continuing to rise while those in Europe and China saw some downward moves due to inconclusive elections in Italy, a banking crisis in Cyprus and signs of slowing growth in China. Despite this divergence, the asset class was positive each month of the quarter.

Currencies also contributed positively to performance over the first quarter. At the start of the year, the Portfolio Funds had long positions in most foreign currencies, balanced by significant short exposure in the Japanese yen. This positioning performed positively in January given a pro-risk investment environment. In February, risk aversion returned to markets to some extent. A contracting euro-zone economy coupled with Italian elections where no single group of parties won enough votes to form a coalition government disrupted the stability for the continent. Many foreign currencies depreciated against the U.S. dollar and the Portfolio Funds generally adopted a short posture. The general trend of a strong U.S. dollar continued into March. At this point, The Portfolio Funds were decidedly long the U.S. dollar and generally made back the February losses. Overall, the asset class was positive for the quarter. Short yen positions performed best, generating gains each month of the quarter.

In fixed income, the Portfolio Funds had long positions throughout the first quarter resulting in losses. In January, these positions lost money. Risk assets were rallying while fixed income was selling off. Many even questioned whether a new period of rising interest rates was already upon us. These worries turned out to be premature as problems in Europe led to a renewed push into fixed income. Yields came back down and the Portfolio Funds made back some, though not all, of their January losses during February and March.

Commodities also performed poorly. Coming into the first quarter, the Portfolio Funds had long exposure in the oil complex and metals coupled with short exposure in natural gas and agricultural markets. Many commodities initially rallied, generating some gains. That changed in February as markets generally fell due to slowing growth and the potential for less demand from China as well as from a contracting Europe. These moves hurt the Portfolio Funds. The Portfolio Funds generally adopted a short posture in all sectors except for oil.

April 1, 2013 to June 30, 2013

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 June 30, 2013.

June 30, 2013

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

Agriculture	1,422,683			20.29	%
Currencies - Futures	1,004,116			14.32	%
Currencies - Forwards	(942,699		)	-13.44	%
Energy	(100,646		)	-1.44	%
Interest rates	129,231			1.84	%
Metals	7,198,399			102.69	%
Stock indices	(1,700,453		)	-24.26	%

Total	$	7,010,631		100.00	%

The Fund experienced a net trading loss for the quarter ended June 30, 2013 of $18,194,187.

April was a positive month, but reversals in May and June resulted in negative performance. The reversals were concentrated in fixed income markets in May and in equity and fixed income markets in June.

In fixed income, the Portfolio Funds came into the second quarter positioned long across almost all markets they traded given the downward trend in yields. Their positioning performed well in April as the economic outlook was not especially strong and central banks seemed committed to quantitative easing. This changed abruptly in May and June as markets were concerned by comments made by U.S. Federal Reserve officials. Yields rose universally. Profits made in April were given back and the asset class ended the quarter with losses. The losses were especially severe in May given that the Portfolio Funds had large positions. As yields rose, they significantly cut long exposure through the end of the quarter.

The Portfolio Funds were also long equity indices at the start of the quarter. As global equity markets had generally been rising since late summer of 2012, with increased momentum in the first quarter of 2013, the Portfolio Funds had large long positions, with concentrations in U.S., European and Japanese equity indices. These positions generally made money in April and May, but suffered offsetting losses in June when markets reversed due to the possible withdrawal of monetary stimulus sooner than expected. Most trend followers were able to finish the quarter with small profits in the asset class.

In currencies, choppiness took a toll on returns. Some big reversals (in the Australian dollar, for example) and a lack of clear direction in many other currencies resulted in the Portfolio Funds consistently losing money each month during the quarter. In April, European currencies rallied against short positions held in the Portfolio Funds; this happened even as poor economic numbers indicated further deterioration in the eurozone economy, but expectations of additional stimulus from the European Central Bank boosted many currencies. The Portfolio Funds tried to adapt by shifting direction and getting long these currencies, only to see the U.S. dollar rally. In June, it was the Japanese yen’s turn to reverse, ending multiple months of declines against the U.S. dollar and other currencies and hurting short positions. Currencies were the second worst performing asset class in the second quarter after fixed income.

Performance in commodities was mixed. The gains came primarily from metals. After some declines in the first quarter, the Portfolio Funds came into April positioned short both industrial and precious metals. As prices fell sharply over the course of the quarter, the Portfolio Funds were able to book significant profits in markets like gold, silver and copper. Trends were not as strong in the energy and agricultural markets. The Portfolio Funds saw muted gains and losses that generally canceled each other out. Due to the big trends in metals, commodities were the best performing asset class for most Portfolio Funds.

In summary, big reversals in fixed income starting in May resulted in losses for the quarter. In currencies, some choppiness and more mild reversals also led to negative performance. There were small gains in equity indices due to the continuing rally in April and May. Commodities performed well as a result of the downward trend in metals which the Portfolio Funds took advantage of well.

July 1, 2013 to September 30, 2013

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 September 30, 2013.

September 30, 2013

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

Agriculture	1,882,495			-125.46	%
Currencies - Futures	1,422,884			-94.83	%
Currencies - Forwards	(96,408		)	6.43	%
Energy	(1,115,772		)	74.36	%
Interest rates	715,852			-47.71	%
Metals	(2,694,024		)	179.55	%
Stock indices	(1,615,466		)	107.66	%

Total	$	(1,500,439	)	100.00	%

The Fund experienced a net trading loss for the third quarter ended September 30, 2013 of $17,230,463

References herein to the Fund’s trading and portfolio refer to such trading conducted, and portfolio held, through the Fund’s Portfolio Funds. References herein to the trading and portfolio of the Portfolio Funds refer to such trading and portfolios generally.

Multiple reversals in metals, fixed income, equity indices and oil markets resulted in losses for the Partnership at different points in the quarter.

In fixed income, the Portfolio Funds came into the third quarter positioned short bonds and neutral rates. With the U.S. Federal Reserve hinting at tapering, fixed income markets had abruptly reversed in May and June, ending a prolonged period where falling yields had been the norm. With yields rising sharply during those two months, trend followers had gotten short many markets. The reversals in rates had been less severe and most Portfolio Funds had a neutral and balanced posture in that sector. Given the recent reversals, risk taking was generally minimal in the asset class. The uncertainty regarding tapering introduced volatility into markets. Central bank officials generally were able to calm markets in July and yields came back down some, only to rise further in August as the next Federal Open Market Committee meeting approached and then fall again in September when the U.S. Federal Reserve decided not to taper

its bond purchases. This environment proved too choppy for most medium and longer term trend followers. Losses were sustained as the Trading Advisors tried to maneuver their portfolios based on the frequently shifting market direction. Given relatively low exposures, the losses were not too severe.

The Portfolio Funds were long equity indices at the start of the third quarter. The downward moves in markets in June had not been large enough to force the Portfolio Funds to get short. The Portfolio Funds continued to maintain a long bias with respect to global equity indices. July was a positive month for the asset class. With fewer near-term policy worries, equity markets recovered from their June losses when fears of tapering had led to downward moves. In August, concerns over Syria made headlines and markets tumbled as the possibility of military intervention grew. These concerns eased in early September and the U.S. Federal Reserve’s decision not to taper buoyed markets. Despite these mixed moves, equities finished the quarter higher and long positions held by trend followers generated profits. Equity indices were the only profitable asset class for the Portfolio Funds.

Currencies continued to prove difficult to trade. The Portfolio Funds had a long U.S. dollar bias at the start of the quarter. This positioning lost money in July and August. At first, dovish reassurances by central bankers pushed back market expectations on tapering and pointed towards policy remaining accommodative. This led to the U.S. dollar losing value, but only to strengthen again in August as a more risk averse-environment took hold. Finally, at quarter end, the U.S. dollar weakened after the U.S. Federal Reserve’s non-tapering surprise decision. Thus, the direction in currency markets changed each month, too frequently for medium term trend followers to navigate. Losses were felt across all Portfolio Funds.

Commodities were the worst performing asset class, generating the bulk of losses. The Portfolio Funds came into the quarter with a short bias in metals, energies and agriculturals but significant whipsawing resulted in poor performance. First, metals reversed, rising against the trend in what could be deemed a relief rally. Large short positions held by trend followers saw losses. The new upward trend lasted only a few months and precious metals saw sharp down moves in September just as the Portfolio Funds were getting long. At the same time, oil markets were seeing appreciation early in the quarter as geopolitical tensions rose in the Middle East, first in Egypt and then in Syria. The Portfolio Funds saw some losses initially but repositioned their portfolios to be long oil and oil product markets by the end of August. In September, oil reversed sharply after an apparent diplomatic solution was reached with Syria. This time, losses were felt in long positions. Agricultural markets also failed to produce strong gains. Thus, losses were seen across the commodity spectrum due to big reversals in several sectors.

In summary, continuing upward trends in equity indices led to some gains in the third quarter but significant reversals and choppy moves in all other asset classes resulted in losses, overwhelming any profits made in equities. In an environment without sufficient sustained trends, all Portfolio Funds saw losses. Those with larger commodity allocations fared worse. The Portfolio Funds with larger equity allocations and those with longer time horizons performed slightly better.

(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 Funds’ 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 Portfolio Funds’ main line of business.

Market movements result in frequent changes in the fair market value of the Portfolio Funds’ open positions and, consequently, in earnings and cash flow. The Portfolio Funds’ 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 Funds’ open positions and the liquidity of the markets in which their trade.

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 Fund’s and the Portfolio Funds’ past performance is not necessarily indicative of their future results.

Value at Risk is a measure of the maximum amount which the Fund and the Portfolio Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s and the Portfolio Funds’ speculative trading and the recurrence in the markets traded by the Fund and 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 Fund’s and the Portfolio Funds’ 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 inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Fund’s and the Portfolio Funds’ losses in any market sector will be limited to Value at Risk or by the Fund’s and the 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 statements” 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 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”)). 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.

Each Portfolio Fund’s risk exposure in the various market sectors traded by the Portfolio Funds is quantified below in terms of Value at Risk. Due to each 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 settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Portfolio Funds as the measure of their 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 stand alone 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 nine month periods ended September 30, 2014 and 2013.

Lynx Class DS (1)

September 30, 2014

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

Agricultural Commodities	$	1,116,376	3.62	%	$	1,713,090	$	782,297
Energy	323,401		1.05	%	608,808		48,349
Interest Rates	1,137,567		3.69	%	2,606,806		139,067
Metals	1,022,885		3.31	%	1,292,971		705,739
Stock Indices	385,273		1.25	%	1,333,254		—
Currencies	968,819		3.14	%	1,522,785		450,616

TOTAL	$	4,954,321	16.06	%	$	9,077,714	$	2,126,068

(1) Average capitalization of Lynx Class DS is $30,856,316.

Lynx Class DS (1)

September 30, 2013

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

Agricultural Commodities	$	410,083	0.59	%	$	426,033	$	400,494
Energy	725,401		1.04	%	753,616		708,439
Interest Rates	3,267,876		4.70	%	3,394,980		3,191,460
Metals	1,457,829		2.10	%	1,514,532		1,423,739
Stock Indices	2,380,002		3.42	%	2,472,572		2,324,348
Currencies	1,483,234		2.13	%	1,540,924		1,448,550

TOTAL	$	9,724,425	13.98	%	$	10,102,657	$	9,497,030

(1) Average capitalization of Lynx Class DS is $69,508,704.

Transtrend Class DS (2)

September 30, 2014

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

Agricultural Commodities	$	1,763,098	4.61	%	$	2,519,058	$	1,199,478
Energy	798,118		2.09	%	2,189,892		17,292
Interest Rates	846,501		2.21	%	1,520,113		463,761
Metals	882,513		2.31	%	2,393,120		98,556
Stock Indices	522,605		1.37	%	810,169		369,621
Currencies	1,016,122		2.66	%	1,774,646		251,781

TOTAL	$	5,828,957	15.25	%	$	11,206,998	$	2,400,489

(2) Average capitalization of Transtrend Class DS is $38,241,460.

Transtrend Class DS (2)

September 30, 2013

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

Agricultural Commodities	$	390,816	0.54	%	$	1,039,800	$	136,129
Energy	226,244		0.31	%	338,472		127,331
Interest Rates	4,377,630		6.00	%	8,114,237		1,463,565
Metals	2,336,728		3.20	%	5,035,408		874,602
Stock Indices	378,599		0.52	%	608,003		129,106
Currencies	298,805		0.41	%	855,961		14,985

TOTAL	$	8,008,822	10.98	%	$	15,991,881	$	2,745,718

(2) Average capitalization of Transtrend Class DS is $72,927,464.

Aspect Class DS (3)

September 30, 2014

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

Agricultural Commodities	$	575,830	2.29	%	$	1,020,001	$	76,810
Energy	262,830		1.05	%	465,620		65,476
Interest Rates	737,233		2.94	%	1,272,181		337,694
Metals	216,797		0.86	%	323,947		78,409
Stock Indices	533,114		2.12	%	923,200		245,606
Currencies	221,331		0.88	%	381,357		44,591

TOTAL	$	2,547,135	10.14	%	$	4,386,306	$	848,586

(3) Average capitalization of Aspect Class DS is $25,095,563.

Aspect Class DS (3)

September 30, 2013

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

Agricultural Commodities	$	398,976	0.87	%	$	1,033,787	$	79,962
Energy	322,632		0.71	%	562,047		181,730
Interest Rates	907,501		1.99	%	1,572,861		285,865
Metals	1,361,207		2.99	%	1,981,526		750,055
Stock Indices	268,902		0.59	%	597,552		4,953
Currencies	766,729		1.68	%	1,388,435		116,244

TOTAL	$	4,025,947	8.83	%	$	7,136,208	$	1,418,809

(3) Average capitalization of Aspect Class DS is $45,600,880.

Winton Class DS (4)

September 30, 2014

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

Agricultural Commodities	$	1,112,843	2.48	%	$	1,600,643	$	655,249
Energy	280,101		0.62	%	641,298		89,440
Interest Rates	879,621		1.96	%	1,543,709		175,883
Metals	598,590		1.34	%	871,642		386,334
Stock Indices	600,599		1.34	%	977,400		294,163
Currencies	302,474		0.67	%	393,676		241,102

TOTAL	$	3,774,228	8.41	%	$	6,028,368	$	1,842,171

(4) Average capitalization of Winton Class DS is $44,836,970.

Winton Class DS (4)

September 30, 2013

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

Agricultural Commodities	$	454,660	0.59	%	$	903,626	$	183,355
Energy	274,827		0.35	%	377,106		172,609
Interest Rates	1,137,876		1.47	%	1,634,878		740,672
Metals	1,061,026		1.37	%	1,872,901		40,247
Stock Indices	397,534		0.51	%	634,494		276,091
Currencies	925,975		1.19	%	1,367,729		571,325

TOTAL	$	4,251,898	5.48	%	$	6,790,734	$	1,984,299

(4) Average capitalization of Winton Class DS is $77,617,361.

John Locke Class DS (5)

September 30, 2014

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

Agricultural Commodities	$	1,050,392	4.15	%	$	1,973,890	$	354,625
Energy	471,739		1.86	%	1,140,217		2,466
Interest Rates	578,157		2.28	%	1,045,672		50,893
Metals	284,958		1.13	%	520,324		48,939
Stock Indices	624,280		2.47	%	1,096,769		275,510
Currencies	437,436		1.73	%	1,091,099		9,454

TOTAL	$	3,446,962	13.62	%	$	6,867,971	$	741,887

(5) Average capitalization of John Locke Class DS is $25,305,264.

John Locke Class DS (5)

September 30, 2013

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

Agricultural Commodities	$	250,533	0.55	%	$	355,403	$	172,907
Energy	80,589		0.18	%	131,586		50,994
Interest Rates	1,878,036		4.12	%	3,341,143		286,357
Metals	1,755,805		3.85	%	3,501,054		225,150
Stock Indices	763,623		1.67	%	1,501,428		37,083
Currencies	1,042,106		2.28	%	1,910,826		257,649

TOTAL	$	5,770,692	12.65	%	$	10,741,440	$	1,030,140

(5) Average capitalization of John Locke Class DS is $45,636,561.

BlueTrend Class DS (6)

September 30, 2014

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

Agricultural Commodities	$	925,554	2.35	%	$	1,343,852	$	446,952
Energy	410,574		1.04	%	751,025		232,389
Interest Rates	1,005,781		2.56	%	1,758,078		605,161
Metals	97,221		0.25	%	200,681		39,825
Stock Indices	666,343		1.69	%	1,318,568		95,413
Currencies	940,668		2.39	%	1,639,941		498,870

TOTAL	$	4,046,141	10.28	%	$	7,012,145	$	1,918,610

(6) Average capitalization of BlueTrend Class DS is $39,361,868.

BlueTrend Class DS (6)

September 30, 2013

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

Agricultural Commodities	$	210,282	0.27	%	$	297,985	$	74,472
Energy	602,340		0.78	%	808,162		158,849
Interest Rates	3,555,231		4.60	%	5,728,975		1,126,249
Metals	832,740		1.08	%	1,993,315		107,767
Stock Indices	759,280		0.98	%	1,527,307		21,374
Currencies	874,584		1.13	%	2,208,258		414,730

TOTAL	$	6,834,457	8.84	%	$	12,564,002	$	1,903,441

(6) Average capitalization of BlueTrend Class DS is $77,208,936.

Tudor Tensor Class DS (7)

September 30, 2014

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

Agricultural Commodities	$	332,246	1.31	%	$	793,444	$	147,798
Energy	369,434		1.46	%	479,343		216,949
Interest Rates	275,396		1.09	%	520,900		126,305
Metals	889,568		3.52	%	1,346,464		247,401
Stock Indices	350,000		1.38	%	848,970		87,279
Currencies	497,011		1.97	%	712,222		302,493

TOTAL	$	2,713,655	10.73	%	$	4,701,343	$	1,128,225

(7) Average capitalization of Tudor Tensor Class DS is $25,287,364.

Tudor Tensor Class DS (7)

September 30, 2013

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

Agricultural Commodities	$	429,905	0.94	%	$	882,779	$	164,443
Energy	294,717		0.65	%	465,942		20,112
Interest Rates	946,648		2.07	%	1,311,407		599,154
Metals	1,680,681		3.68	%	2,288,537		1,117,235
Stock Indices	639,749		1.40	%	1,186,446		326,242
Currencies	197,185		0.43	%	407,414		108,836

TOTAL	$	4,188,885	9.17	%	$	6,542,525	$	2,336,022

(7) Average capitalization of Tudor Tensor Class DS is $45,625,673.

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 their positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund and the Portfolio Funds to incur severe losses over a short period of time. The foregoing Value at Risk tables — as well as the past performance of the Fund and the Portfolio Funds — gives no indication of this “risk of ruin.”

Non-Trading Risk

The Portfolio Funds have non-trading market risk on their foreign cash balances not needed for margin. These balances (as well as the market risk they represent) are typically immaterial.

The Portfolio Funds also have non-trading market risk on approximately 90% of their assets which are held in cash at MLPF&S and MLI. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures through the Portfolio Funds — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and the Trading Advisors of the Portfolio Funds for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the risk controls for the Fund and for the trading conducted through Portfolio Funds to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s 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 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 Portfolio Funds’ market exposure, MLAI may urge the Portfolio Funds’ Trading Advisors 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 have begun to deviate from past practice and trading policies or to be trading erratically, MLAI’s basic risk control procedures consist of the ongoing process of monitoring the Portfolio Funds with the market risk controls being applied by the Trading Advisors.

Risk Management

Trading Advisors often adopt risk management principles or practices designed to limit losses to their trading programs. These principles typically restrict the size of positions taken as well as establishing stop-loss points at which losing positions are liquidated. However, there can be no assurance that “stop loss” policies will be effective to limit losses, as it may not be possible to execute the transaction necessary to close out a position against which the market is moving. In particular, certain futures markets impose “daily limits” which restrict the maximum price movement, both up and down, of a particular futures contract during any given day. Once the “daily limit” has been reached, it may be difficult, if not impossible, to liquidate an open position against which the market is moving. No risk control technique can assure that substantial, or even total, losses will be avoided.

Non-Trading Risk

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 Portfolio Funds have cash flow interest rate risk on their 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 Portfolio Funds 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

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the quarter which ended September 30, 2014, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (as defined in Rule 13a-15(f) or Rule 15d-15(f) under the Securities Exchange Act) occurred during the quarter ended September 30, 2014 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 Fund’s report on Form 10-K for the year ended December 31, 2013, filed with the Securities and Exchange Commission on March 25, 2014.

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)
1/01/2014	$	—	—	$	1.0369
1/16/2014	—		—	1.0154
2/01/2014	—		—	0.9920
2/16/2014	39,600		39,996	0.9901
3/01/2014	—		—	1.0116
3/16/2014	55,440		56,130	0.9877
4/01/2014	—		—	0.9905
4/16/2014	—		—	0.9871
5/01/2014	118,950		119,452	0.9958
5/16/2014	—		—	0.9970
6/01/2014	—		—	1.0221
6/16/2014	—		—	1.0288
7/01/2014	—		—	1.0324
7/16/2014	—		—	1.0279
8/01/2014	—		—	1.0222
8/16/2014	—		—	1.0429
9/01/2014	—		—	1.0746
9/16/2014	—		—	1.0640
10/01/2014	588,000		536,398	1.0962

CLASS C

	Subscription
	Amount		Units	NAV (1)
1/01/2014	$	157,000	154,909	$	1.0135
1/16/2014	182,000		183,449	0.9921
2/01/2014	440,000		454,123	0.9689
2/16/2014	181,000		187,254	0.9666
3/01/2014	615,000		622,974	0.9872
3/16/2014	617,000		640,374	0.9635
4/01/2014	903,000		934,976	0.9658
4/16/2014	186,000		193,347	0.9620
5/01/2014	125,000		128,853	0.9701
5/16/2014	101,000		104,027	0.9709
6/01/2014	172,000		172,864	0.9950
6/16/2014	85,000		84,907	1.0011
7/01/2014	112,000		111,543	1.0041
7/16/2014	152,000		152,106	0.9993
8/01/2014	125,000		125,830	0.9934
8/16/2014	40,000		39,483	1.0131
9/01/2014	64,000		61,332	1.0435
9/16/2014	17,000		16,463	1.0327
10/01/2014	83,000		78,044	1.0635

CLASS D

	Subscription
	Amount		Units	NAV (1)
1/01/2014	$	—	—	$	1.2809
1/16/2014	—		—	1.2551
2/01/2014	—		—	1.2270
2/16/2014	—		—	1.2254
3/01/2014	—		—	1.2528
3/16/2014	—		—	1.2240
4/01/2014	—		—	1.2282
4/16/2014	—		—	1.2247
5/01/2014	—		—	1.2363
5/16/2014	—		—	1.2386
6/01/2014	—		—	1.2706
6/16/2014	—		—	1.2798
7/01/2014	—		—	1.2850
7/16/2014	—		—	1.2802
8/01/2014	—		—	1.2739
8/16/2014	—		—	1.3006
9/01/2014	—		—	1.3409
9/16/2014	—		—	1.3285
10/01/2014	—		—	1.3696

CLASS I

	Subscription
	Amount		Units	NAV (1)
1/01/2014	$	—	—	$	1.1115
1/16/2014	—		—	1.0887
2/01/2014	—		—	1.0638
2/16/2014	—		—	1.0619
3/01/2014	107,000		98,599	1.0852
3/16/2014	31,000		29,254	1.0597
4/01/2014	74,328		69,929	1.0629
4/16/2014	—		—	1.0594
5/01/2014	—		—	1.0689
5/16/2014	—		—	1.0704
6/01/2014	—		—	1.0975
6/16/2014	—		—	1.1049
7/01/2014	—		—	1.1089
7/16/2014	—		—	1.1043
8/01/2014	—		—	1.0983
8/16/2014	—		—	1.1208
9/01/2014	—		—	1.1551
9/16/2014	—		—	1.1439
10/01/2014	—		—	1.1787

CLASS M

	Subscription
	Amount		Units	NAV (1)
1/01/2014	$	45,000	47,554	$	0.9463
1/16/2014	—		—	0.9272
2/01/2014	—		—	0.9065
2/16/2014	30,000		33,138	0.9053
3/01/2014	7,199,070		7,778,573	0.9255
3/16/2014	26,000		28,755	0.9042
4/01/2014	—		—	0.9074
4/16/2014	56,000		61,892	0.9048
5/01/2014	58,000		63,506	0.9133
5/16/2014	—		—	0.9150
6/01/2014	10,000		10,654	0.9386
6/16/2014	—		—	0.9454
7/01/2014	—		—	0.9492
7/16/2014	—		—	0.9457
8/01/2014	57,000		60,568	0.9411
8/16/2014	—		—	0.9608
9/01/2014	—		—	0.9906
9/16/2014	—		—	0.9814
10/01/2014	—		—	1.0117

(1) Beginning of the period Net Asset Value

Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront 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 nine month periods ended September 30, 2014 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.

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: November 14, 2014		By:	/s/ KEITH GLENFIELD
			Keith Glenfield
			Chief Executive Officer and President
			(Principal Executive Officer)


Date: November 14, 2014		By:	/s/ BARBRA E. KOCSIS
			Barbra E. Kocsis
			Chief Financial Officer
			(Principal Financial Officer)

MAN FRM MANAGED FUTURES STRATEGIES LLC - FORM 10-Q - November 14, 2014

Attached files

MAN FRM MANAGED FUTURES STRATEGIES LLC Reports