10-Q

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

xQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2016

OR

oTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                  to                

Commission File Number 0-51084

ML WINTON FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware	20-1227904
(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 10281

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

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, 2016, 610,040,543 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2016 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	17
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	27
Item 4.	Controls and Procedures	32
	PART II—OTHER INFORMATION
Item 1.	Legal Proceedings	32
Item 1A.	Risk Factors	32
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	32
Item 3.	Defaults Upon Senior Securities	35
Item 4.	Mine Safety Disclosures	35
Item 5.	Other Information	35
Item 6.	Exhibits	35

PART I - FINANCIAL INFORMATION

Item 1.   Financial Statements

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2016		2015
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $92,529,997 for 2016 and $96,102,994 for 2015)	$	947,217,109	$	1,040,573,314
Unrealized profit on open futures contracts	19,718,708		22,033,208
Unrealized profit on open forwards contracts	3,415,582		4,751,569
Cash and cash equivalents	560,360		518,196
Other assets	151,254		64,608
TOTAL ASSETS	$	971,063,013	$	1,067,940,895
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	14,353	$	7,009
Sponsor and Advisory fees payable	2,604,527		2,846,826
Redemptions payable	4,942,931		18,980,515
Unrealized loss on open futures contracts	15,187,754		14,613,804
Unrealized loss on open forwards contracts	1,286,049		6,680,274
Other liabilities	533,139		669,369
Total liabilities	24,568,753		43,797,797
MEMBERS’ CAPITAL:
Members’ Capital (610,040,543 Units and 679,544,349 Units outstanding; unlimited Units authorized)	946,494,260		1,024,143,098
Total Members’ Capital	946,494,260		1,024,143,098
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	971,063,013	$	1,067,940,895
NET ASSET VALUE PER UNIT:
Class A	$	1.9189	$	1.9048
Class C	$	1.7094	$	1.7095
Class D	$	2.1060	$	2.0671
Class I	$	1.9948	$	1.9742
Class M	$	1.1834	$	1.1615
Class F	$	1.1812	$	1.1508
Class F1	$	1.2103	$	1.1792
Class DI	$	0.9887	$	0.9704

See notes to financial statements.

1

ML WINTON 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,			September 30,			September 30,			September 30,
	2016			2015			2016			2015
TRADING PROFIT (LOSS):
Realized, net	$	33,927,767		$	(1,077,283	)	$	34,468,735		$	21,378,286
Change in unrealized, net	(45,681,674		)	28,966,892			1,169,788			548,709
Brokerage commissions	(213,063		)	(287,423		)	(676,801		)	(853,394		)
Total trading profit (loss), net	(11,966,970		)	27,602,186			34,961,722			21,073,601
INVESTMENT INCOME (EXPENSE):
Interest, net	468,707			(14,741		)	1,279,769			(27,209		)
EXPENSES:
Management fee	4,625,633			5,063,243			14,254,306			15,406,168
Sponsor fee	3,383,512			3,627,982			10,414,975			10,897,366
Performance fee	—			—			8,312			11,590,474
Other	581,070			685,386			1,640,456			1,995,481
Total expenses	8,590,215			9,376,611			26,318,049			39,889,489
NET INVESTMENT INCOME (LOSS)	(8,121,508		)	(9,391,352		)	(25,038,280		)	(39,916,698		)
NET INCOME (LOSS)	$	(20,088,478	)	$	18,210,834		$	9,923,442		$	(18,843,097	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A	62,532,324			64,558,660			62,915,117			64,276,194
Class C	256,599,562			280,658,211			263,312,411			273,113,179
Class D	35,491,087			36,680,840			33,285,163			36,085,398
Class I	27,617,969			30,953,000			28,069,091			31,375,273
Class DS*	—			—			—			20,935,317
Class DT**	—			5,114,642			—			5,169,635
Class M	104,330,489			101,676,238			101,558,626			98,789,242
Class F	46,520,691			46,520,691			46,520,691			46,520,691
Class F1	32,348,368			32,348,368			32,348,368			32,348,368
Class DI	56,142,619			106,503,582			75,233,667			105,819,182
Net income (loss) per weighted average Unit
Class A	$	(0.0410	)	$	0.0319		$	0.0150		$	(0.0316	)
Class C	$	(0.0407	)	$	0.0243		$	0.0021		$	(0.0431	)
Class D	$	(0.0369	)	$	0.0425		$	0.0391		$	(0.0103	)
Class I	$	(0.0394	)	$	0.0348		$	0.0254		$	(0.0308	)
Class DS*	$	—		$	—		$	—		$	0.0195
Class DT**	$	—		$	0.0602		$	—		$	0.0199
Class M	$	(0.0215	)	$	0.0216		$	0.0226		$	(0.0103	)
Class F	$	(0.0177	)	$	0.0262		$	0.0304		$	0.0020
Class F1	$	(0.0181	)	$	0.0268		$	0.0311		$	0.0021
Class DI	$	(0.0182	)	$	0.0199		$	0.0227		$	(0.0318	)

*Units fully redeemed as of April 30, 2015.

**Units fully redeemed as of December 31, 2015.

See notes to financial statements.

2

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited) (in Units)

	Members’ Units December 31, 2014	Subscriptions	Redemptions		Members’ Units September 30, 2015	Members’ Units December 31, 2015	Subscriptions	Redemptions		Members’ Units September 30, 2016
Class A	64,145,923	5,124,158	(5,019,846	)	64,250,235	63,179,258	4,040,611	(5,404,483	)	61,815,386
Class C	265,575,955	29,167,199	(17,070,399	)	277,672,755	272,305,731	6,642,751	(26,582,035	)	252,366,447
Class D	35,322,377	3,372,398	(1,729,806	)	36,964,969	36,603,739	6,001,270	(7,127,915	)	35,477,094
Class I	31,155,649	3,182,620	(3,691,385	)	30,646,884	29,501,569	3,180,195	(5,229,408	)	27,452,356
Class DS**	21,211,500	217,903	(21,429,403	)	—	—	—	—		—
Class DT***	5,341,053	1,209,341	(1,051,449	)	5,498,945	—	—	—		—
Class M	92,200,321	18,596,898	(13,069,088	)	97,728,131	102,050,874	15,701,474	(11,957,494	)	105,794,854
Class F	46,520,691	—	—		46,520,691	46,520,691	—	—		46,520,691
Class F1	32,348,368	—	—		32,348,368	32,348,368	—	—		32,348,368
Class DI*	—	108,353,925	(4,034,180	)	104,319,745	97,034,119	—	(48,768,772	)	48,265,347
Total Members’ Units	593,821,837	169,224,442	(67,095,556	)	695,950,723	679,544,349	35,566,301	(105,070,107	)	610,040,543

* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

***Units fully redeemed as of December 31, 2015.

See notes to financial statements.

3

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Members’ Capital December 31, 2014		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital September 30, 2015		Members’ Capital December 31, 2015		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2016
Class A	$	124,393,069	$	9,956,251	$	(9,751,003	)	$	(2,032,547	)	$	122,565,770	$	120,342,696	$	7,811,630	$	(10,481,038	)	$	945,991	$	118,619,279
Class C	466,870,415		51,303,065		(29,817,951		)	(11,761,646		)	476,593,883		465,517,528		11,577,099		(46,252,155		)	541,864		431,384,336
Class D	73,228,701		6,889,478		(3,507,874		)	(371,374		)	76,238,931		75,664,376		12,850,000		(15,098,991		)	1,300,546		74,715,931
Class I	62,368,274		6,371,333		(7,240,157		)	(967,542		)	60,531,908		58,240,855		6,391,617		(10,584,192		)	713,727		54,762,007
Class DS**	43,919,926		463,567		(44,791,393		)	407,900			—		—		—		—			—		—
Class DT***	11,818,184		2,598,982		(2,339,090		)	102,986			12,181,062		—		—		—			—		—
Class M	107,401,709		21,762,359		(14,888,721		)	(1,021,301		)	113,254,046		118,530,695		18,690,006		(14,325,550		)	2,297,464		125,192,615
Class F	53,188,258		—		—			93,988			53,282,246		53,536,345		—		—			1,412,102		54,948,447
Class F1	37,896,521		—		—			66,966			37,963,487		38,144,532		—		—			1,006,120		39,150,652
Class DI*	—		108,299,930		(3,931,258		)	(3,360,527		)	101,008,145		94,166,071		—		(48,150,706		)	1,705,628		47,720,993
Total Members’ Capital	$	981,085,057	$	207,644,965	$	(116,267,447	)	$	(18,843,097	)	$	1,053,619,478	$	1,024,143,098	$	57,320,352	$	(144,892,632	)	$	9,923,442	$	946,494,260

* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

***Units fully redeemed as of December 31, 2015.

See notes to financial statements.

4

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2016 (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			Class F			Class F1			Class DI
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.9599		$	1.7502		$	2.1429		$	2.0353		$	1.2041		$	1.1988		$	1.2284		$	1.0060
Net realized and net change in unrealized trading profit (loss)	(0.0233		)	(0.0208		)	(0.0255		)	(0.0242		)	(0.0144		)	(0.0143		)	(0.0147		)	(0.0120		)
Brokerage commissions	(0.0004		)	(0.0004		)	(0.0005		)	(0.0004		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0002		)
Interest income, net	0.0009			0.0008			0.0010			0.0010			0.0006			0.0006			0.0006			0.0005
Expenses	(0.0182		)	(0.0204		)	(0.0119		)	(0.0169		)	(0.0066		)	(0.0036		)	(0.0037		)	(0.0056		)
Net asset value, end of period	$	1.9189		$	1.7094		$	2.1060		$	1.9948		$	1.1834		$	1.1812		$	1.2103		$	0.9887
Total Return: (a) (c)
Total return before Performance fees	-2.09		%	-2.33		%	-1.72		%	-1.99		%	-1.72		%	-1.47		%	-1.47		%	-1.72		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-2.09		%	-2.33		%	-1.72		%	-1.99		%	-1.72		%	-1.47		%	-1.47		%	-1.72		%
Ratios to Average Members’ Capital: (c)
Expenses (excluding Performance fees) (b)	0.94		%	1.19		%	0.56		%	0.84		%	0.56		%	0.31		%	0.31		%	0.56		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.94		%	1.19		%	0.56		%	0.84		%	0.56		%	0.31		%	0.31		%	0.56		%
Net investment income (loss) (excluding Performance fees)	-0.89		%	-1.14		%	-0.51		%	-0.79		%	-0.51		%	-0.26		%	-0.26		%	-0.51		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-0.89		%	-1.14		%	-0.51		%	-0.79		%	-0.51		%	-0.26		%	-0.26		%	-0.51		%

(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 expense ratios do not include brokerage commissions.

(c) The ratios and total return are not annualized.

See notes to financial statements.

5

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 (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			Class F			Class F1			Class DI
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.9048		$	1.7095		$	2.0671		$	1.9742		$	1.1615		$	1.1508		$	1.1792		$	0.9704
Net realized and net change in unrealized trading profit (loss)	0.0671			0.0602			0.0729			0.0696			0.0410			0.0406			0.0416			0.0342
Brokerage commissions	(0.0013		)	(0.0012		)	(0.0014		)	(0.0014		)	(0.0008		)	(0.0008		)	(0.0008		)	(0.0007		)
Interest income, net	0.0025			0.0022			0.0027			0.0026			0.0015			0.0015			0.0016			0.0013
Expenses	(0.0542		)	(0.0613		)	(0.0353		)	(0.0502		)	(0.0198		)	(0.0109		)	(0.0113		)	(0.0165		)
Net asset value, end of period	$	1.9189		$	1.7094		$	2.1060		$	1.9948		$	1.1834		$	1.1812		$	1.2103		$	0.9887
Total Return: (a) (c)
Total return before Performance fees	0.74		%	-0.01		%	1.88		%	1.04		%	1.88		%	2.66		%	2.65		%	1.88		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	-0.01		%	-0.01		%	0.00		%
Total return after Performance fees	0.74		%	-0.01		%	1.88		%	1.04		%	1.88		%	2.65		%	2.64		%	1.88		%
Ratios to Average Members’ Capital: (c)
Expenses (excluding Performance fees) (b)	2.80		%	3.55		%	1.67		%	2.50		%	1.67		%	0.92		%	0.92		%	1.67		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.01		%	0.01		%	0.00		%
Expenses (including Performance fees)	2.80		%	3.55		%	1.67		%	2.50		%	1.67		%	0.93		%	0.93		%	1.67		%
Net investment income (loss) (excluding Performance fees)	-2.66		%	-3.41		%	-1.53		%	-2.36		%	-1.53		%	-0.79		%	-0.79		%	-1.53		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	-0.01		%	-0.01		%	0.00		%
Net investment income (loss) (including Performance fees)	-2.66		%	-3.41		%	-1.53		%	-2.36		%	-1.53		%	-0.80		%	-0.80		%	-1.53		%

(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 expense ratios do not include brokerage commissions.

(c) The ratios and total return are not annualized.

See notes to financial statements.

6

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2015 (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 DT			Class M			Class F			Class F1			Class DI
Per Unit Operating Performance:
Net asset value, beginning of period or at the time of offer	$	1.8757		$	1.6919		$	2.0204		$	1.9402		$	2.1672		$	1.1352		$	1.1192		$	1.1468		$	0.9485
Net realized and net change in unrealized trading profit (loss)	0.0503			0.0453			0.0542			0.0520			0.0582			0.0305			0.0301			0.0308			0.0255
Brokerage commissions	(0.0005		)	(0.0005		)	(0.0006		)	(0.0005		)	(0.0006		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0003		)
Interest income, net (c)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0179		)	(0.0203		)	(0.0115		)	(0.0166		)	(0.0096		)	(0.0065		)	(0.0037		)	(0.0037		)	(0.0054		)
Net asset value, end of period	$	1.9076		$	1.7164		$	2.0625		$	1.9751		$	2.2152		$	1.1589		$	1.1453		$	1.1736		$	0.9683
Total Return: (a) (d)
Total return before Performance fees	1.70		%	1.45		%	2.09		%	1.80		%	2.21		%	2.09		%	2.33		%	2.34		%	2.08		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	1.70		%	1.45		%	2.09		%	1.80		%	2.21		%	2.09		%	2.33		%	2.34		%	2.08		%
Ratios to Average Members’ Capital: (d)
Expenses (excluding Performance fees) (b)	0.94		%	1.19		%	0.57		%	0.84		%	0.44		%	0.57		%	0.32		%	0.32		%	0.57		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.94		%	1.19		%	0.57		%	0.84		%	0.44		%	0.57		%	0.32		%	0.32		%	0.57		%
Net investment income (loss) (excluding Performance fees)	-0.94		%	-1.19		%	-0.57		%	-0.84		%	-0.44		%	-0.57		%	-0.32		%	-0.32		%	-0.57		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-0.94		%	-1.19		%	-0.57		%	-0.84		%	-0.44		%	-0.57		%	-0.32		%	-0.32		%	-0.57		%

(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 expense ratios do not include brokerage commissions.

(c) Interest income, net is less than $0.0001 per Unit.

(d) The ratios and total return are not annualized.

See notes to financial statements.

7

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (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 DS**			Class DT			Class M			Class F			Class F1			Class DI*
Per Unit Operating Performance:
Net asset value, beginning of period or at the time of offer	$	1.9392		$	1.7580		$	2.0732		$	2.0018		$	2.0706		$	2.2127		$	1.1649		$	1.1433		$	1.1715		$	1.0000
Net realized and net change in unrealized trading profit (loss)	0.0465			0.0422			0.0497			0.0480			0.0567			0.0529			0.0279			0.0274			0.0281			(0.0119		)
Brokerage commissions	(0.0015		)	(0.0014		)	(0.0017		)	(0.0016		)	(0.0007		)	(0.0018		)	(0.0009		)	(0.0009		)	(0.0009		)	(0.0007		)
Interest income, net	(0.0000		)	(0.0000		)	(0.0001		)	(0.0001		)	0.0000			(0.0001		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0766		)	(0.0824		)	(0.0586		)	(0.0730		)	(0.0391		)	(0.0485		)	(0.0330		)	(0.0245		)	(0.0251		)	(0.0191		)
Net asset value, before full redemption	1.9076			1.7164			2.0625			1.9751			2.0875			2.2152			1.1589			1.1453			1.1736			0.9683
Less redemption	—			—			—			—			2.0875			—			—			—			—			—
Net asset value, end of period	$	1.9076		$	1.7164		$	2.0625		$	1.9751		$	—		$	2.2152		$	1.1589		$	1.1453		$	1.1736		$	0.9683
Total Return: (a) (c)
Total return before Performance fees	-0.50		%	-1.24		%	0.61		%	-0.20		%	1.95		%	0.98		%	0.61		%	1.37		%	1.37		%	-2.74		%
Performance fees	-1.13		%	-1.12		%	-1.13		%	-1.13		%	-1.13		%	-0.87		%	-1.13		%	-1.19		%	-1.19		%	-0.43		%
Total return after Performance fees	-1.63		%	-2.36		%	-0.52		%	-1.33		%	0.82		%	0.11		%	-0.52		%	0.18		%	0.18		%	-3.17		%
Ratios to Average Members’ Capital: (c)
Expenses (excluding Performance fees) (b)	2.82		%	3.57		%	1.69		%	2.52		%	1.67		%	1.32		%	1.69		%	0.94		%	0.94		%	1.70		%
Performance fees	1.10		%	1.10		%	1.10		%	1.10		%	1.10		%	0.84		%	1.10		%	1.16		%	1.16		%	0.42		%
Expenses (including Performance fees)	3.92		%	4.67		%	2.79		%	3.62		%	2.77		%	2.16		%	2.79		%	2.10		%	2.10		%	2.12		%
Net investment income (loss) (excluding Performance fees)	-2.82		%	-3.57		%	-1.69		%	-2.52		%	-1.67		%	-1.32		%	-1.69		%	-0.94		%	-0.94		%	-1.70		%
Performance fees	-1.10		%	-1.10		%	-1.10		%	-1.10		%	-1.10		%	-0.84		%	-1.10		%	-1.16		%	-1.16		%	-0.42		%
Net investment income (loss) (including Performance fees)	-3.92		%	-4.67		%	-2.79		%	-3.62		%	-2.77		%	-2.16		%	-2.79		%	-2.10		%	-2.10		%	-2.12		%

(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 expense ratios do not include brokerage commissions.

(c) The ratios and total return are not annualized.

* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

See notes to financial statements.

8

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1.ORGANIZATION

ML Winton 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 May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Trading Advisor”) is the trading advisor of the Fund.  The Trading Advisor trades the Winton Futures Program (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. 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 Fund. 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 BofA Corp. 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 BofA Corp.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. 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 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, BofA Corp. or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of September 30, 2016, the Fund holds cash equivalents. Cash was held at a nationally recognized financial institution.

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, 2016 and December 31, 2015 and the results of its operations for the three and nine month periods ended September 30, 2016 and 2015.  However, the operating results for the interim periods may not be indicative of the results for the full year.

9

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, 2015.

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.

10

2.CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of September 30, 2016 and December 31, 2015, are as follows:

September 30, 2016

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	1,038	$	22,101		0.00	%	(2,524	)	$	1,111,745		0.12	%	$	1,133,846		0.12	%	October 2016 - April 2017
Currencies - Futures	1,684	1,026,588			0.11	%	(3,291	)	2,250,334			0.24	%	3,276,922			0.35	%	December 2016
Currencies - Forwards*	422,809,938	2,129,218			0.22	%	(225,817,464	)	315			0.00	%	2,129,533			0.22	%	October 2016 - December 2016
Energy	—	—			0.00	%	(1,551	)	(4,768,343		)	-0.50	%	(4,768,343		)	-0.50	%	October 2016 - December 2016
Interest rates	21,986	4,112,618			0.43	%	(1,361	)	(444,725		)	-0.05	%	3,667,893			0.38	%	December 2016 - September 2019
Metals	1,432	(1,360,744		)	-0.14	%	(482	)	(1,837,991		)	-0.19	%	(3,198,735		)	-0.33	%	November 2016 - January 2017
Stock indices	5,699	4,418,033			0.47	%	(41	)	1,338			0.00	%	4,419,371			0.47	%	October 2016 - December 2016
Total		$	10,347,814		1.09	%			$	(3,687,327	)	-0.38	%	$	6,660,487		0.71	%

December 31, 2015

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	459	$	51,979		0.01	%	(3,851	)	$	1,311,309		0.13	%	$	1,363,288		0.14	%	January 2016 - May 2016
Currencies - Futures	574	34,405			0.00	%	(5,108	)	4,418,923			0.43	%	4,453,328			0.43	%	March 2016
Currencies - Forwards*	461,839,319	(4,714,657		)	-0.46	%	(273,519,553	)	2,785,952			0.27	%	(1,928,705		)	-0.19	%	January 2016 - June 2016
Energy	—	—			0.00	%	(2,601	)	1,389,060			0.14	%	1,389,060			0.14	%	January 2016 - May 2016
Interest rates	22,577	(4,080,903		)	-0.40	%	(762	)	(35,806		)	0.00	%	(4,116,709		)	-0.40	%	March 2016 - December 2018
Metals	327	85,008			0.01	%	(2,272	)	3,637,773			0.35	%	3,722,781			0.36	%	January 2016 - April 2016
Stock indices	2,952	1,203,351			0.12	%	(1,922	)	(595,695		)	-0.06	%	607,656			0.06	%	January 2016 - March 2016
Total		$	(7,420,817	)	-0.72	%			$	12,911,516		1.26	%	$	5,490,699		0.54	%

*Currencies-Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of September 30, 2016 and December 31, 2015. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

11

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). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes.  The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition.  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.

12

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded.  These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values.

The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.

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 during the three or nine month periods ended September 30, 2016 or the year ended December 31, 2015.

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of September 30, 2016 and December 31, 2015, are as follows:

2016

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II		Level III
Assets
Futures	$	19,718,708	$	19,203,987	$	514,721	$	—
Forwards	3,415,582		—		3,415,582		—
	$	23,134,290	$	19,203,987	$	3,930,303	$	—
Liabilities
Futures	$	15,187,754	$	13,530,480	$	1,657,274	$	—
Forwards	1,286,049		—		1,286,049		—
	$	16,473,803	$	13,530,480	$	2,943,323	$	—
September 30, 2016	$	6,660,487	$	5,673,507	$	986,980	$	—

13

2015

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III
Assets
Futures	$	22,033,208	$	19,842,837	$	2,190,371		$	—
Forwards	4,751,569		—		4,751,569			—
	$	26,784,777	$	19,842,837	$	6,941,940		$	—
Liabilities
Futures	$	14,613,804	$	13,913,792	$	700,012		$	—
Forwards	6,680,274		—		6,680,274			—
	$	21,294,078	$	13,913,792	$	7,380,286		$	—
December 31, 2015	$	5,490,699	$	5,929,045	$	(438,346	)	$	—

The Fund’s volume of trading forwards and futures as of the nine month period ended September 30, 2016 and year ended December 31, 2015 are representative of the activity throughout these periods.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At September 30, 2016 and December 31, 2015, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with its counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts plus the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.

The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and nine month periods ended September 30, 2016 and 2015:

14

	For the three months ended			For the nine months ended
	September 30, 2016			September 30, 2016
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	$	(3,415,543	)	$	(5,174,795	)
Currencies	1,857,167			10,654,113
Energy	(6,733,653		)	(8,785,504		)
Interest rates	(6,280,946		)	71,107,510
Metals	(3,982,013		)	(21,876,659		)
Stock indices	6,801,081			(10,286,142		)
Total, net	$	(11,753,907	)	$	35,638,523

	For the three months ended			For the nine months ended
	September 30, 2015			September 30, 2015
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	1,852,111			416,705
Currencies	$	(14,765,567	)	$	(12,042,074	)
Energy	22,074,055			8,728,628
Interest rates	30,471,791			31,781,874
Metals	11,627,569			5,982,689
Stock indices	(23,370,350		)	(12,940,827		)
Total, net	$	27,889,609		$	21,926,995

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities.  Fund assets could be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4.MARKET AND CREDIT 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 Fund’s unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund 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.

15

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 Trading Advisor, calculating the Net Asset Value of the Fund 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 Fund’s market exposure, MLAI may urge the Trading Advisor 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 process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.

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 unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition.

MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker.  Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S.  Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

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 BofA Corp. 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.

16

5.RELATED PARTY TRANSACTIONS

MLAI owns 48 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of September 30, 2016.

MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. 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 were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears.  The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses.  MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets.   The Transfer Agent fee allocated to the Fund for the three month periods ended September 30, 2016, and 2015 amounted to $46,517 and $133,555, respectively. The Transfer Agent fee allocated to the Fund for the nine month periods ended September 30, 2016, and 2015 amounted to $155,460 and $398,643, respectively, of which $51,706 and $59,827 was payable to the Transfer Agent as of September 30, 2016 and December 31, 2015, respectively.

Brokerage commissions, interest, net and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with 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

PERIOD-END NET ASSET VALUE PER UNIT

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 as of 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 account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, and all other liabilities of the Fund.  MLAI or its delegates are authorized to make all Net Asset Value determinations.

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund.  Therefore, the charts below are referencing Net Asset Value at each Calculation Date.

17

PERIOD-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.		Sep. 15th		Sep.
2015	$	1.9671	$	1.9900	$	1.9613	$	1.9857	$	2.0058	$	2.0193	$	2.0377	$	1.9453	$	1.9201	$	1.9422	$	1.8839	$	1.8757	$	1.9157	$	1.9426	$	1.9122	$	1.8463	$	1.8606	$	1.9076
2016	$	1.9859	$	1.9706	$	1.9902	$	2.0034	$	1.9221	$	1.9358	$	1.9457	$	1.9012	$	1.9018	$	1.8663	$	1.9094	$	1.9599	$	1.9453	$	1.9719	$	1.9704	$	1.9302	$	1.8949	$	1.9189

PERIOD-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.		Sep. 15th		Sep.
2015	$	1.7825	$	1.8025	$	1.7758	$	1.7971	$	1.8145	$	1.8260	$	1.8418	$	1.7576	$	1.7341	$	1.7534	$	1.7000	$	1.6919	$	1.7272	$	1.7508	$	1.7226	$	1.6626	$	1.6747	$	1.7164
2016	$	1.7816	$	1.7672	$	1.7839	$	1.7950	$	1.7215	$	1.7330	$	1.7411	$	1.7006	$	1.7005	$	1.6681	$	1.7058	$	1.7502	$	1.7364	$	1.7595	$	1.7574	$	1.7208	$	1.6887	$	1.7094

PERIOD-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.		Sep. 15th		Sep.
2015	$	2.1043	$	2.1301	$	2.1007	$	2.1281	$	2.1510	$	2.1669	$	2.1879	$	2.0901	$	2.0643	$	2.0894	$	2.0279	$	2.0204	$	2.0647	$	2.0950	$	2.0635	$	1.9937	$	2.0103	$	2.0625
2016	$	2.1565	$	2.1412	$	2.1638	$	2.1795	$	2.0924	$	2.1087	$	2.1207	$	2.0735	$	2.0756	$	2.0381	$	2.0864	$	2.1429	$	2.1283	$	2.1588	$	2.1585	$	2.1157	$	2.0784	$	2.1060

PERIOD-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.		Sep. 15th		Sep.
2015	$	2.0310	$	2.0549	$	2.0257	$	2.0512	$	2.0723	$	2.0866	$	2.1059	$	2.0108	$	1.9851	$	2.0083	$	1.9483	$	1.9402	$	1.9818	$	2.0100	$	1.9788	$	1.9110	$	1.9261	$	1.9751
2016	$	2.0585	$	2.0431	$	2.0637	$	2.0777	$	1.9937	$	2.0083	$	2.0189	$	1.9730	$	1.9741	$	1.9375	$	1.9826	$	2.0353	$	2.0205	$	2.0485	$	2.0473	$	2.0058	$	1.9695	$	1.9948

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

Jan. 15th

Jan.

Feb. 15th

Feb.

Mar. 15th

Mar.

Apr. 15th

Apr.

May 15th

May

Jun. 15th

Jun.

Jul. 15th

Jul.

Aug. 15th

Aug.

Sep. 15th

Sep.

2015

$

2.1017

$

2.1274

$

2.0981

$

2.1255

$

2.1484

$

2.1642

$

2.1852

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

2016

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

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sep. 15th		Sep.
2015	$	2.2484	$	2.2781	$	2.2451	$	2.2767	$	2.3031	$	2.3216	$	2.3460	$	2.2402	$	2.2130	$	2.2404	$	2.1749	$	2.1672	$	2.2153	$	2.2483	$	2.2149	$	2.1404	$	2.1587	$	2.2152
2016	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

PERIOD-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.		Sep. 15th		Sep.
2015	$	1.1824	$	1.1969	$	1.1804	$	1.1958	$	1.2086	$	1.2176	$	1.2294	$	1.1744	$	1.1599	$	1.1740	$	1.1394	$	1.1352	$	1.1601	$	1.1772	$	1.1594	$	1.1202	$	1.1296	$	1.1589
2016	$	1.2117	$	1.2031	$	1.2158	$	1.2247	$	1.1757	$	1.1848	$	1.1916	$	1.1651	$	1.1662	$	1.1452	$	1.1723	$	1.2041	$	1.1958	$	1.2130	$	1.2128	$	1.1888	$	1.1678	$	1.1834

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS F

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sep. 15th		Sep.
2015	$	1.1609	$	1.1755	$	1.1597	$	1.1752	$	1.1883	$	1.1974	$	1.2095	$	1.1559	$	1.1421	$	1.1564	$	1.1229	$	1.1192	$	1.1442	$	1.1615	$	1.1445	$	1.1062	$	1.1159	$	1.1453
2016	$	1.2010	$	1.1931	$	1.2061	$	1.2153	$	1.1672	$	1.1767	$	1.1840	$	1.1581	$	1.1597	$	1.1392	$	1.1668	$	1.1988	$	1.1911	$	1.2087	$	1.2091	$	1.1856	$	1.1652	$	1.1812

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS F1

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sep. 15th		Sep.
2015	$	1.1895	$	1.2045	$	1.1883	$	1.2042	$	1.2176	$	1.2270	$	1.2393	$	1.1844	$	1.1702	$	1.1850	$	1.1505	$	1.1468	$	1.1724	$	1.1901	$	1.1727	$	1.1335	$	1.1434	$	1.1736
2016	$	1.2307	$	1.2225	$	1.2358	$	1.2452	$	1.1959	$	1.2057	$	1.2132	$	1.1866	$	1.1883	$	1.1673	$	1.1955	$	1.2284	$	1.2205	$	1.2385	$	1.2389	$	1.2149	$	1.1939	$	1.2103

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS DI

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.		Jul. 15th		Jul.		Aug. 15th		Aug.		Sep. 15th		Sep.
2015	n/a		n/a		$	0.9862	$	0.9991	$	1.0098	$	1.0173	$	1.0272	$	0.9812	$	0.9691	$	0.9809	$	0.9520	$	0.9485	$	0.9693	$	0.9835	$	0.9687	$	0.9360	$	0.9438	$	0.9683
2016	$	1.0124	$	1.0052	$	1.0158	$	1.0232	$	0.9823	$	0.9899	$	0.9956	$	0.9735	$	0.9744	$	0.9568	$	0.9795	$	1.0060	$	0.9992	$	1.0135	$	1.0133	$	0.9933	$	0.9757	$	0.9887

18

Liquidity and Capital Resources

The Fund borrows 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 Fund’s U.S. dollar deposits.  These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Fund’s assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit or loss potential might increase.  Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.  The 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 Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts.  This cash is also used to fund redemptions.  While the 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 Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

For the nine month period ended September 30, 2016, Fund capital decreased 7.58% from $1,024,143,098 to $946,494,260.  This decrease was attributable to the net income from operations of $9,923,442 coupled with the redemption of 105,070,107 redeemable Units resulting in an outflow of $144,892,632.  The cash outflow was offset with cash inflow of $57,320,352 due to subscriptions of 35,566,301 Units.  Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

The Fund is not required to provide a Statement of Cash Flows.

Investments

All investments (including derivatives) are held for trading purposes.  Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date.  Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included as a component of equity in commodity trading accounts on the Statements of Financial Condition.  Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

19

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.

Futures Contracts

The Fund trades exchange listed futures contracts.  A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration.  The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded.   Contracts may be settled in physical form or cash settled depending upon the contract.  Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction.  These amounts are considered restricted cash on the Fund’s Statements of Financial Condition.  Contracts are priced daily by the Fund and the profit or loss is based on the daily mark to market and is recorded as unrealized profit (loss).  When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.  Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker or directly with the exchange on which the contracts are traded, credit exposure is limited.  Realized profit (loss), net and change in unrealized profit (loss), net on futures contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.  The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.

Forward Foreign Currency Contracts

Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date.  Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized profit or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition.  Realized profit (loss), net and change in unrealized profit (loss), net on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

Interest Rates and Income

BofA Corp.’s “Interest Earning Program”, which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by MLAI with its affiliates. The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%, except for currencies designated by MLPF&S as “negative interest rate currencies”.  MLPF&S deposits certain of the Fund’s assets as margin or collateral with clearinghouses and/or depositories.  As a

20

result of the present low interest rate environment, these clearinghouses and depositories charge MLPF&S fees to account for the negative interest rates on cash balances for certain currencies, which may change from time to time.  Accordingly, MLPF&S charges the Fund a “negative interest rate fee” for any currencies designated by MLPF&S as a “negative interest rate currency”.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertain tax positions. 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 — 2012.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant” and the 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 Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the 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 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 Fund would otherwise engage for its currency forward transactions.

21

Results of Operations

January 1, 2016 to September 30, 2016

January 1, 2016 to March 31, 2016

The Fund experienced a net trading profit of $26,915,914 before brokerage commissions and related fees in the first quarter of 2016. The Fund’s profits were primarily attributable to the interest rates, energy and agriculture sectors. The currency, stock indices and metal sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the Euribor and Bunds futures prices both recovered their December losses during January. Profits were posted to the Fund in the middle of the quarter due to profits in Eurodollar, Bund and Japanese government bond futures prices.  Losses were posted to the Fund at the end of the quarter. In U.S. government bonds, yields rose for the first half of March only to fall by month end. The Trading Program was reducing its position in these markets during March, and hence incurred losses.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the Trading Program continued to follow the crude oil price lower amid rising stockpiles and the removal of sanctions on Iran. Profits were posted to the Fund in the middle of the quarter. A steady and profitable downwards trend in natural gas prices outshone the Trading Program’s crude oil positioning, which made minimal gains in February after relatively strong performance in January. Losses were posted to the Fund at the end of the quarter.  The Fund gave up part of its year-to-date profits within energies as the West Texas Intermediate crude prices went up per barrel in March.

The agriculture sector posted profits to the Fund.  Profits were posted to the Fund at the beginning through the middle of the quarter. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s short exposure in crops futures.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter which was reversed in the middle of the quarter. One of the most notable developments in February was the British pound sliding lower versus the U.S. dollar as heightened concerns around “Brexit” took hold — that is the possibility of Britain exiting the European Union. Losses were posted to the Fund at the end of the quarter where strengthening euro- and sterling-U.S. dollar exchange rates and an upwards shift in the eurodollar term structure led to the most notable detractors.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter which reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter as global stock markets were steadier in February as compared with January. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s short exposure to the equity markets.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter through the middle of the quarter. The Trading Program’s short position to a rising gold price detracted from performance. Losses were posted to the Fund at the end of the quarter.

22

April 1, 2016 to June 30, 2016

The Fund experienced a net trading profit of $20,476,516 before brokerage commissions and related fees in the second quarter of 2016. The Fund’s profits were primarily attributable to interest rates, currency and metal sectors. The energy, stock indices and agriculture sectors posted losses.

The interest rate sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter as long positions in bonds and short-term interest rates weighed on returns. Profits were posted to the Fund in the middle of the second quarter as the German bunds led the bond sector returns. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s positions in short-term interest rate futures.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s long positions in the Japanese yen, which rallied at the end of April after the Bank of Japan decided against further monetary easing. Losses were posted to the Fund in the middle of the quarter. The Trading Program’s long positioning in the Japanese yen and the Australian dollar held back returns. Profits were posted to the Fund at the end of the quarter.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s long positions in precious metals. Losses were posted to the Fund in the middle of the second quarter as an increased exposure to gold was responsible for most of the negative performance from the precious metals sector. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s gold positions.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The rising prices caused the Trading Program’s short positions to detract from performance, particularly in heating oil futures which rose in value during April. Losses were posted to the Fund in the middle through the end of the quarter.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. Profits were posted to the Fund in the middle of the second quarter as global stock markets rose in May. Losses were posted to the Fund at the end of the quarter as there were sell-offs in global stock market.

The agriculture sector posted losses to the Fund.  Losses were posted to the Fund at the beginning of the second quarter. The crops sector was an area that detracted from performance as corn and soybean prices surged in response to poor weather conditions in South America. Profits were posted to the Fund in the middle through the end of the quarter. Crops performed well after a difficult April thanks largely to profits from trading in soybeans.

July 1, 2016 to September 30, 2016

The Fund experienced a net trading loss of $11,753,907 before brokerage commissions and related fees in the third quarter of 2016. The Fund’s profits were primarily attributable to stock indices and currency sectors. The agriculture, metals, interest rates and energy sectors posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter. The Trading Program’s long positions in stock indices, particularly in the U.S. S&P 500 was the

23

biggest contributor to performance. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in stock indices particularly in the Hang Seng. Profits were posted to the Fund at the end of the quarter despite negative headlines around the European banking sector weighing on the Eurostoxx 50 and the DAX.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the third quarter. Performance was driven by market movements towards the end of July as a strengthening Euro hurt the Trading Program’s short position in the shared currency. Losses were posted to the Fund in the middle of the quarter as the U.S. dollar weighed on the Trading Program’s long positioning against the Japanese yen. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in the Japanese yen.

The agriculture sector posted losses to the Fund.  Losses were posted to the Fund at the beginning of the third quarter. Profits were reduced by the Trading Program’s long positions in crops and returns in the crops sector were held back after soybean markets sold off on forecasts of favorable growing conditions. Profits were posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Trading Program’s long positions in precious metals. Losses were posted to the Fund in the middle of the quarter. The Trading Program’s gains from short positions were undone by losses in long positions amid generally falling prices. Losses were posted to the Fund at the end of the quarter. The Trading Program started September with profits in precious metals but the European Central Bank announcing that it had not discussed extending its quantitative easing program triggered a market selloff and dragged performance into negative territory.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Trading Program’s long positions in bonds. Losses were posted to the Fund in the middle of the quarter. Hawkish comments from Janet Yellen and Stanley Fischer, the respective chair and vice-chair of the U.S. Federal Reserve, increased expectations of a further U.S. rate rise in 2016 which led to losses from the Trading Program’s long positions in U.S. government bonds. Losses were posted to the Fund at the end of the quarter. The Trading Program’s long positions in U.S. government bonds undid profits earned in German government bonds.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the third quarter due the Trading Program’s short positions in energy. Losses were posted to the Fund in the middle of the quarter. The Trading Program’s short positions suffered as crude oil rallied during the first half of August on hopes of a production freeze. Losses were posted to the Fund at the end of the quarter.

January 1, 2015 to September 30, 2015

January 1, 2015 to March 31, 2015

The Fund experienced a net trading profit of $64,125,347 before brokerage commissions and related fees in the first quarter of 2015. The Fund’s profits were primarily attributable to the interest rates, currency, stock indices, agriculture and energy sectors. The metals sector posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter as long positions in European bonds benefited from the Quantitative Easing announced by the European Central Bank U.S. government bonds also closed January higher. Losses were posted to the Fund in

24

the middle of the quarter. Encouraging U.S. employment data and speculation of a rate hike later this year saw a sell-off in U.S. fixed income securities during the first half of February. Fed Chair Janet Yellen’s testimony to Congress at the end of February reversed this somewhat, but not enough for the Fund’s long fixed income positions to have avoided losses. Profits were posted to the Fund at the end of the quarter. The Fund made gains in fixed income markets, with notable contributions from Bunds and Eurodollars.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter.  Swiss Central Bank announced the decision to remove the cap on the strength of the Swiss franc against the Euro. Intertwined with this was the European Central Bank affirming their commitment to Quantitative Easing, followed by the election of an anti-austerity government in Greece. The net effect on the Fund’s currency positions was a loss in the CHF-USD position being offset by a gain in the EUR-USD position. Losses were posted to the Fund in the middle of the quarter as the British pound rallied against the U.S dollar, returning to where it started the year and causing the Fund’s short position to make a loss. Profits were posted to the Fund at the end of the quarter. The short position on the Euro against the U.S. dollar made a significant positive contribution.

The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Profits were posted to the Fund in the middle of the quarter. The Fund made gains in its long stock index positions. Losses were posted to the Fund at the end of the quarter.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter only to be reversed in the middle of the quarter.  Profits were posted to the Fund at the end of the quarter.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Crude oil continued to fall. This benefited the Fund’s short futures positions in the energy sector and also assisted the cash equity systems, which continue to be net short energies. Losses were posted to the Fund in the middle of the quarter as the Fund made small losses on its short energy positions. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in energies.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning and middle of the first quarter. Losses were posted to the Fund at the end of the quarter. The Fund’s short position in copper made losses after cooper rallied with news of the world’s second largest copper mine halting production over labor protests.

April 1, 2015 to June 30, 2015

The Fund experienced a net trading loss of $70,087,961 before brokerage commissions and related fees in the second quarter of 2015. The Fund’s profits were primarily attributable to the metal sector. The agriculture, stock indices, energy, currency and interest rate sectors posted losses.

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning through the middle of the second quarter. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in gold.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. Profits were posted to the Fund in the middle of the quarter. Coffee and sugar prices continued to

25

decline, further profiting the Fund’s short positions. Losses were posted to the Fund at the end of the quarter as heavy rains in the U.S. Midwest hampered crop prospects, adversely affecting the Fund’s short grain positions.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter. Stock index positions gave up some of their earlier gains in the selloff, but still managed to post an overall profit at the end of April. Profits were posted to the Fund in the middle of the quarter as the Nikkei had a strong month of May. Losses were posted to the Fund at the end of the quarter.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Fund’s short energy positions. Losses were posted to the Fund in the middle of the quarter as the prices of oil stabilized. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in energies.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Fund’s long U.S. dollar exposure. Profits were posted to the Fund in the middle of the quarter due to the Fund’s short Japanese yen position, which was trading at a weak level relative to the U.S. dollar. Losses were posted to the Fund at the end of the quarter due the Fund’s short Euro position.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the quarter. Responsive monetary policy action from central banks, including the implementation of quantitative easing in Europe, apparently reduced concerns of further downside risks to inflation, contributing to some sharp moves lower for bond prices. Losses were posted to the Fund at the end of the quarter. An increase in U.S. non-farm payrolls and positive economic data contributed to U.S government bond higher yields. Fixed income positions suffered, particularly short term interest rates.

July 1, 2015 to September 30, 2015

The Fund experienced a net trading profit of $27,889,609 before brokerage commissions and related fees in the third quarter of 2015. The Fund’s profits were primarily attributable to the interest rate, energy, metals and agriculture sectors. The currency and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter. In July, gains came from short term interest rates. Profits were posted to the Fund in the middle of the quarter as the Fund’s losses in stock indices and currencies were offset by gains in bonds. Profits were posted to the Fund at the end of the quarter due to the Fund’s retracement of stock markets which was accompanied by a rise in fixed income. This meant the Fund’s long exposure to government bonds and short-term rates was the main driver of September’s profits.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter. Strong performance from the Fund’s energy positions overturned the sector’s year-to-date losses. Losses were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter. Energy markets continued to be big contributors to movements in the Fund, with short exposure to crude oil prices leading the energy sector to deliver profits.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Fund’s short positions in gold, which benefitted from the metal’s slide. Losses were posted to the Fund in the middle of the quarter due to the Fund’s position in precious metals.  Profits were posted to the Fund at the end of the quarter.

26

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter. Profits were posted to the Fund in the middle of the quarter. Losses were posted to the Fund at the end of the quarter. Both corn and wheat rallied in September, meaning that the Fund’s recently enlarged short positions made losses.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the third quarter. Losses were posted to the Fund in the middle of the quarter. Currencies were one of the worst performing sectors driven mainly by the Euro and Chinese yuan. Losses were posted to the Fund at the end of the quarter.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the third quarter. Losses were posted to the Fund in the middle of the quarter as the indices were one of the worst performing sectors driven mainly by the S&P500. Profits were posted to the Fund at the end of the quarter.

The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

Item 3.  Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Fund’s assets are subject to the risk of trading loss.  Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund, under the direction of the Trading Advisor, rapidly acquires and liquidates 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 past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund 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 experience to date (i.e. “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

27

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.

The Fund’s risk exposure in the various market sectors traded by the Trading Advisor is quantified below in terms of Value at Risk.  Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the 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 Fund as the measure of its Value at Risk.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels.  The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk.  In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

100% positive correlation in the different positions held in each market risk category has been assumed.  Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk.  The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the nine month periods ended September 30, 2016 and 2015, the Fund’s average capitalization was $989,845,683 and $1,061,144,115, respectively.

28

September 30, 2016

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agriculture	$	3,310,182	0.33	%	$	4,617,813	$	2,312,825
Currencies	12,669,441		1.28	%	21,985,842		73,333
Energy	2,435,632		0.25	%	5,946,746		563,007
Interest Rates	37,253,435		3.76	%	59,972,949		21,967,907
Metals	7,790,652		0.79	%	12,748,853		4,731,694
Stock Indices	2,694,188		0.27	%	4,704,190		1,507,734
TOTAL	$	66,153,530	6.68	%	$	109,976,393	$	31,156,500

September 30, 2015

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agriculture	$	8,233,838	0.78	%	$	13,834,885	$	3,235,106
Currencies	7,982,155		0.75	%	15,759,994		2,206,360
Energy	3,593,820		0.34	%	5,524,077		2,095,033
Interest Rates	39,295,041		3.70	%	56,151,635		24,738,289
Metals	7,890,478		0.74	%	12,058,917		2,833,120
Stock Indices	10,937,070		1.03	%	17,645,825		4,589,159
TOTAL	$	77,932,402	7.34	%	$	120,975,333	$	39,697,067

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

The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund.  The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles.  Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time.   The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S and MLI

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

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

29

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — 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 Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of December 31, 2015 by market sector. There have been no material changes at September 30, 2016.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries.  However, the Fund may also take positions in the government debt of smaller nations. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

Currencies

The Fund trades in a number of currencies. However, the Fund’s major exposures have typically been in the U.S. dollar/China renminbi, U.S. dollar/Euro and U.S. dollar/Indian rupee positions. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining VaR in a functional currency other than U.S. dollars.

Stock Indices

The Fund’s primary equity exposure is due to various equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

The Fund’s metals market exposure is to fluctuations in the price of precious and non-precious metals.

30

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, corn and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure.

Energy

The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of December 31, 2015. There have been no material changes at September 30, 2016.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Japanese yen, British pounds and Euros.

U.S. Dollar Cash Balance

The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

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 itself intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.

Risk Management

In respect of the Trading Program, the most important determinant of risk is the level of leverage. In order to determine the level of leverage, comprehensive information is required on the risks the Trading Program is taking, including the Trading Program’s long- and short-term forecast value at risk using both standard and proprietary volatility models, stress-tested models of extreme value at risk (tail risk) using various proprietary methods, forecasts of extreme loss frequency and measures of margin employment and leverage. The Trading Advisor forecasts volatility in each market and the correlation between markets daily in order to forecast the overall volatility of the portfolio and to adjust leverage accordingly to manage portfolio risk.  The Trading Advisor’s investment management committee is primarily responsible for managing investment risk, with oversight from the Trading Advisor’s risk committee.

31

This risk committee oversees the identification, assessment, management and monitoring of risks to which the Trading Program is exposed, including investment risk, counterparty risk, IT and security risks and regulatory risks.

Non-Trading Risk

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

The Fund has cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its 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 the end of the quarter which ended September 30, 2016, 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 (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended September 30, 2016 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, 2015, filed with the Securities and Exchange Commission on March 18, 2016.

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(a)(2) of the Securities Act and Rule 506 thereunder.  The selling agent of the Units is MLPF&S.

32

The Fund’s sales of unregistered securities are as follows for each Class of Units.

CLASS A

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	405,540	212,904	$	1.9048
1/16/2016	370,250		186,439	1.9859
2/01/2016	610,605		309,857	1.9706
2/16/2016	313,010		157,276	1.9902
3/01/2016	156,475		78,105	2.0034
3/16/2016	625,280		325,311	1.9221
4/01/2016	985,925		509,311	1.9358
4/16/2016	218,705		112,404	1.9457
5/01/2016	349,870		184,026	1.9012
5/16/2016	136,115		71,572	1.9018
6/01/2016	1,045,165		560,020	1.8663
6/16/2016	512,675		268,501	1.9094
7/01/2016	322,140		164,366	1.9599
7/16/2016	141,720		72,853	1.9453
8/01/2016	360,640		182,890	1.9719
8/16/2016	708,580		359,612	1.9704
9/01/2016	468,935		242,946	1.9302
9/16/2016	80,000		42,218	1.8949
10/01/2016	511,605		266,614	1.9189

CLASS C

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	1,074,161	628,348	$	1.7095
1/16/2016	489,000		274,472	1.7816
2/01/2016	996,972		564,154	1.7672
2/16/2016	545,000		305,510	1.7839
3/01/2016	1,485,000		827,298	1.7950
3/16/2016	1,229,000		713,913	1.7215
4/01/2016	1,339,343		772,847	1.7330
4/16/2016	448,000		257,309	1.7411
5/01/2016	319,623		187,947	1.7006
5/16/2016	175,000		102,911	1.7005
6/01/2016	614,000		368,083	1.6681
6/16/2016	327,000		191,699	1.7058
7/01/2016	478,000		273,112	1.7502
7/16/2016	336,000		193,504	1.7364
8/01/2016	915,000		520,034	1.7595
8/16/2016	569,000		323,774	1.7574
9/01/2016	227,000		131,915	1.7208
9/16/2016	10,000		5,921	1.6887
10/01/2016	2,117,000		1,238,446	1.7094

CLASS D

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	2.0671
1/16/2016	—		—	2.1565
2/01/2016	—		—	2.1412
2/16/2016	—		—	2.1638
3/01/2016	2,000,000		917,642	2.1795
3/16/2016	—		—	2.0924
4/01/2016	—		—	2.1087
4/16/2016	—		—	2.1207
5/01/2016	—		—	2.0735
5/16/2016	—		—	2.0756
6/01/2016	850,000		417,055	2.0381
6/16/2016	—		—	2.0864
7/01/2016	10,000,000		4,666,573	2.1429
7/16/2016	—		—	2.1283
8/01/2016	—		—	2.1588
8/16/2016	—		—	2.1585
9/01/2016	—		—	2.1157
9/16/2016	—		—	2.0784
10/01/2016	200,000		94,967	2.1060

CLASS I

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	802,000	406,241	$	1.9742
1/16/2016	—		—	2.0585
2/01/2016	7,817		3,826	2.0431
2/16/2016	25,000		12,114	2.0637
3/01/2016	130,000		62,569	2.0777
3/16/2016	29,000		14,546	1.9937
4/01/2016	505,000		251,456	2.0083
4/16/2016	40,000		19,813	2.0189
5/01/2016	1,010,000		511,911	1.9730
5/16/2016	—		—	1.9741
6/01/2016	19,800		10,219	1.9375
6/16/2016	25,000		12,610	1.9826
7/01/2016	—		—	2.0353
7/16/2016	1,400,000		692,898	2.0205
8/01/2016	700,000		341,713	2.0485
8/16/2016	620,000		302,838	2.0473
9/01/2016	1,078,000		537,441	2.0058
9/16/2016	—		—	1.9695
10/01/2016	335,000		167,937	1.9948

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CLASS M

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	1,241,497	1,068,874	$	1.1615
1/16/2016	97,004		80,056	1.2117
2/01/2016	1,347,192		1,119,767	1.2031
2/16/2016	345,000		283,764	1.2158
3/01/2016	117,000		95,534	1.2247
3/16/2016	2,208,244		1,878,237	1.1757
4/01/2016	1,406,881		1,187,442	1.1848
4/16/2016	486,484		408,261	1.1916
5/01/2016	984,000		844,563	1.1651
5/16/2016	92,000		78,889	1.1662
6/01/2016	1,682,069		1,468,800	1.1452
6/16/2016	95,000		81,037	1.1723
7/01/2016	1,201,514		997,852	1.2041
7/16/2016	883,000		738,418	1.1958
8/01/2016	2,328,686		1,919,774	1.2130
8/16/2016	3,680,421		3,034,648	1.2128
9/01/2016	494,014		415,558	1.1888
9/16/2016	—		—	1.1678
10/01/2016	1,658,000		1,401,048	1.1834

CLASS F

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	1.1508
1/16/2016	—		—	1.2010
2/01/2016	—		—	1.1931
2/16/2016	—		—	1.2061
3/01/2016	—		—	1.2153
3/16/2016	—		—	1.1672
4/01/2016	—		—	1.1767
4/16/2016	—		—	1.1840
5/01/2016	—		—	1.1581
5/16/2016	—		—	1.1597
6/01/2016	—		—	1.1392
6/16/2016	—		—	1.1668
7/01/2016	—		—	1.1988
7/16/2016	—		—	1.1911
8/01/2016	—		—	1.2087
8/16/2016	—		—	1.2091
9/01/2016	—		—	1.1856
9/16/2016	—		—	1.1652
10/01/2016	—		—	1.1812

CLASS F1

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	1.1792
1/16/2016	—		—	1.2307
2/01/2016	—		—	1.2225
2/16/2016	—		—	1.2358
3/01/2016	—		—	1.2452
3/16/2016	—		—	1.1959
4/01/2016	—		—	1.2057
4/16/2016	—		—	1.2132
5/01/2016	—		—	1.1866
5/16/2016	—		—	1.1883
6/01/2016	—		—	1.1673
6/16/2016	—		—	1.1955
7/01/2016	—		—	1.2284
7/16/2016	—		—	1.2205
8/01/2016	—		—	1.2385
8/16/2016	—		—	1.2389
9/01/2016	—		—	1.2149
9/16/2016	—		—	1.1939
10/01/2016	—		—	1.2103

CLASS DI

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	0.9704
1/16/2016	—		—	1.0124
2/01/2016	—		—	1.0052
2/16/2016	—		—	1.0158
3/01/2016	—		—	1.0232
3/16/2016	—		—	0.9823
4/01/2016	—		—	0.9899
4/16/2016	—		—	0.9956
5/01/2016	—		—	0.9735
5/16/2016	—		—	0.9744
6/01/2016	—		—	0.9568
6/16/2016	—		—	0.9795
7/01/2016	—		—	1.0060
7/16/2016	—		—	0.9992
8/01/2016	—		—	1.0135
8/16/2016	—		—	1.0133
9/01/2016	—		—	0.9933
9/16/2016	—		—	0.9757
10/01/2016	—		—	0.9887

(1) Beginning of the period Net Asset Value

34

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. Class F Units and Class G Units are subject to upfront sales commissions paid to MLPF&S up to 0.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts.  Class C Units, Class DI Units, Class F1 Units and Class M Units are not subject to upfront sales commissions.

(b)Not applicable.

(c)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

31.02Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02Are filed herewith.

32.01 and

32.02Section 1350 Certifications

Exhibit 32.01

and 32.02Are filed herewith.

Exhibit 101Are 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, 2016 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.

35

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	ML WINTON FUTURESACCESS LLC
	By:	MERRILL LYNCH ALTERNATIVE
		INVESTMENTS LLC
		(Manager)
Date: November 14, 2016	By:	/s/ NANCY FAHMY
		Nancy Fahmy
		Chief Executive Officer and President
		(Principal Executive Officer)
Date: November 14, 2016	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)

36

EX-31.01

EXHIBIT 31.01

Rule 13a-14(a)/15d-14(a) Certifications

I, Nancy Fahmy, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Winton FuturesAccess LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d - 15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 14, 2016	By:	/s/ NANCY FAHMY
		Nancy Fahmy
		Chief Executive Officer and President
		(Principal Executive Officer)
		Merrill Lynch Alternative Investments LLC
		Manager of the registrant

1

EX-31.02

EXHIBIT 31.02

Rule 13a-14(a)/15d-14(a) Certifications

I, Barbra E. Kocsis, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Winton FuturesAccess LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d - 15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation, of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 14, 2016	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)
		Merrill Lynch Alternative Investments LLC
		Manager of the registrant

1

EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this quarterly report of ML Winton FuturesAccess LLC (the “Company”) on Form 10-Q for the quarter ended September 30, 2016 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Nancy Fahmy, Chief Executive Officer and President of Merrill Lynch Alternative Investments LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: November 14, 2016

By:	/s/ NANCY FAHMY
	Nancy Fahmy
	Chief Executive Officer and President
	(Principal Executive Officer)

1

EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this quarterly report of ML Winton FuturesAccess LLC (the “Company”) on Form 10-Q for the quarter ended September 30, 2016 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Barbra E. Kocsis, Chief Financial Officer of Merrill Lynch Alternative Investments LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: November 14, 2016

By:	/s/ BARBRA E. KOCSIS
	Barbra E. Kocsis
	Chief Financial Officer
	(Principal Financial Officer)

1

XML

Document and Entity Information	9 Months Ended
	Sep. 30, 2016 shares
Document and Entity Information Abstract
Entity Registrant Name	ML Winton FuturesAccess LLC
Entity Central Index Key	0001309136
Document Type	10-Q
Document Period End Date	Sep. 30, 2016
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Common Stock, Shares Outstanding	610,040,543
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	Q3

XML

STATEMENTS OF FINANCIAL CONDITION - USD ($)		Sep. 30, 2016	Dec. 31, 2015
Equity in commodity trading accounts:
Cash (including restricted cash of $92,529,997 for 2016 and $96,102,994 for 2015)		$ 947,217,109	$ 1,040,573,314
Unrealized profit on open futures contracts		19,718,708	22,033,208
Unrealized profit on open forwards contracts		3,415,582	4,751,569
Cash and cash equivalents		560,360	518,196
Other assets		151,254	64,608
TOTAL ASSETS		971,063,013	1,067,940,895
LIABILITIES:
Brokerage commissions payable		14,353	7,009
Sponsor and Advisory fees payable		2,604,527	2,846,826
Redemptions payable		4,942,931	18,980,515
Unrealized loss on open futures contracts		15,187,754	14,613,804
Unrealized loss on open forwards contracts		1,286,049	6,680,274
Other liabilities		533,139	669,369
Total liabilities		24,568,753	43,797,797
MEMBERS' CAPITAL:
Members' Capital (610,040,543 Units and 679,544,349 Units outstanding; unlimited Units authorized)		946,494,260	1,024,143,098
Total Members' Capital		946,494,260	1,024,143,098
TOTAL LIABILITIES AND MEMBERS' CAPITAL		971,063,013	1,067,940,895
Class A
MEMBERS' CAPITAL:
Total Members' Capital		$ 118,619,279	$ 120,342,696
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 1.9189	$ 1.9048
Class C
MEMBERS' CAPITAL:
Total Members' Capital		$ 431,384,336	$ 465,517,528
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 1.7094	$ 1.7095
Class D
MEMBERS' CAPITAL:
Total Members' Capital		$ 74,715,931	$ 75,664,376
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 2.1060	$ 2.0671
Class I
MEMBERS' CAPITAL:
Total Members' Capital		$ 54,762,007	$ 58,240,855
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 1.9948	$ 1.9742
Class M
MEMBERS' CAPITAL:
Total Members' Capital		$ 125,192,615	$ 118,530,695
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 1.1834	$ 1.1615
Class F
MEMBERS' CAPITAL:
Total Members' Capital		$ 54,948,447	$ 53,536,345
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 1.1812	$ 1.1508
Class F1
MEMBERS' CAPITAL:
Total Members' Capital		$ 39,150,652	$ 38,144,532
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 1.2103	$ 1.1792
Class DI
MEMBERS' CAPITAL:
Total Members' Capital	[1]	$ 47,720,993	$ 94,166,071
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 0.9887	$ 0.9704

[1] Units issued on February 1, 2015.

XML

STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
STATEMENTS OF FINANCIAL CONDITION
Restricted cash	$ 92,529,997	$ 96,102,994
Units outstanding	610,040,543	679,544,349
Capital units authorized	unlimited	unlimited

XML

STATEMENTS OF OPERATIONS - USD ($)		3 Months Ended		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
TRADING PROFIT (LOSS):
Realized, net		$ 33,927,767	$ (1,077,283)	$ 34,468,735	$ 21,378,286
Change in unrealized, net		(45,681,674)	28,966,892	1,169,788	548,709
Brokerage commissions		(213,063)	(287,423)	(676,801)	(853,394)
Total trading profit (loss), net		(11,966,970)	27,602,186	34,961,722	21,073,601
INVESTMENT INCOME (EXPENSE):
Interest, net		468,707	(14,741)	1,279,769	(27,209)
EXPENSES:
Management fee		4,625,633	5,063,243	14,254,306	15,406,168
Sponsor fee		3,383,512	3,627,982	10,414,975	10,897,366
Performance fee				8,312	11,590,474
Other		581,070	685,386	1,640,456	1,995,481
Total expenses		8,590,215	9,376,611	26,318,049	39,889,489
NET INVESTMENT INCOME (LOSS)		(8,121,508)	(9,391,352)	(25,038,280)	(39,916,698)
NET INCOME (LOSS)		$ (20,088,478)	$ 18,210,834	9,923,442	(18,843,097)
Class A
EXPENSES:
NET INCOME (LOSS)				$ 945,991	$ (2,032,547)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		62,532,324	64,558,660	62,915,117	64,276,194
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0410)	$ 0.0319	$ 0.0150	$ (0.0316)
Class C
EXPENSES:
NET INCOME (LOSS)				$ 541,864	$ (11,761,646)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		256,599,562	280,658,211	263,312,411	273,113,179
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0407)	$ 0.0243	$ 0.0021	$ (0.0431)
Class D
EXPENSES:
NET INCOME (LOSS)				$ 1,300,546	$ (371,374)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		35,491,087	36,680,840	33,285,163	36,085,398
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0369)	$ 0.0425	$ 0.0391	$ (0.0103)
Class I
EXPENSES:
NET INCOME (LOSS)				$ 713,727	$ (967,542)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		27,617,969	30,953,000	28,069,091	31,375,273
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0394)	$ 0.0348	$ 0.0254	$ (0.0308)
Class DS
EXPENSES:
NET INCOME (LOSS)	[1]				$ 407,900
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	[1]				20,935,317
Net income (loss) per weighted average Unit (in dollars per unit)	[1]				$ 0.0195
Class DT
EXPENSES:
NET INCOME (LOSS)	[2]				$ 102,986
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	[2]		5,114,642		5,169,635
Net income (loss) per weighted average Unit (in dollars per unit)	[2]		$ 0.0602		$ 0.0199
Class M
EXPENSES:
NET INCOME (LOSS)				$ 2,297,464	$ (1,021,301)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		104,330,489	101,676,238	101,558,626	98,789,242
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0215)	$ 0.0216	$ 0.0226	$ (0.0103)
Class F
EXPENSES:
NET INCOME (LOSS)				$ 1,412,102	$ 93,988
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		46,520,691	46,520,691	46,520,691	46,520,691
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0177)	$ 0.0262	$ 0.0304	$ 0.0020
Class F1
EXPENSES:
NET INCOME (LOSS)				$ 1,006,120	$ 66,966
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		32,348,368	32,348,368	32,348,368	32,348,368
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0181)	$ 0.0268	$ 0.0311	$ 0.0021
Class DI
EXPENSES:
NET INCOME (LOSS)	[3]			$ 1,705,628	$ (3,360,527)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		56,142,619	106,503,582	75,233,667	105,819,182
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0182)	$ 0.0199	$ 0.0227	$ (0.0318)

[1] Units fully redeemed as of April 30, 2015.

[2] Units fully redeemed as of December 31, 2015.

[3] Units issued on February 1, 2015.

XML

STATEMENTS OF CHANGES IN MEMBERS' CAPITAL - USD ($)		3 Months Ended		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Increase (Decrease) in Members' Capital
Members' Capital				$ 1,024,143,098
Members' Capital (in Units)				679,544,349
Net Income (Loss)		$ (20,088,478)	$ 18,210,834	$ 9,923,442	$ (18,843,097)
Members' Capital		$ 946,494,260		$ 946,494,260
Members' Capital (in Units)		610,040,543		610,040,543
Class A
Increase (Decrease) in Members' Capital
Members' Capital				$ 120,342,696	$ 124,393,069
Members' Capital (in Units)				63,179,258	64,145,923
Subscriptions				$ 7,811,630	$ 9,956,251
Subscriptions (in Units)				4,040,611	5,124,158
Redemptions				$ (10,481,038)	$ (9,751,003)
Redemptions (in Units)				(5,404,483)	(5,019,846)
Net Income (Loss)				$ 945,991	$ (2,032,547)
Members' Capital		$ 118,619,279	$ 122,565,770	$ 118,619,279	$ 122,565,770
Members' Capital (in Units)		61,815,386	64,250,235	61,815,386	64,250,235
Class C
Increase (Decrease) in Members' Capital
Members' Capital				$ 465,517,528	$ 466,870,415
Members' Capital (in Units)				272,305,731	265,575,955
Subscriptions				$ 11,577,099	$ 51,303,065
Subscriptions (in Units)				6,642,751	29,167,199
Redemptions				$ (46,252,155)	$ (29,817,951)
Redemptions (in Units)				(26,582,035)	(17,070,399)
Net Income (Loss)				$ 541,864	$ (11,761,646)
Members' Capital		$ 431,384,336	$ 476,593,883	$ 431,384,336	$ 476,593,883
Members' Capital (in Units)		252,366,447	277,672,755	252,366,447	277,672,755
Class D
Increase (Decrease) in Members' Capital
Members' Capital				$ 75,664,376	$ 73,228,701
Members' Capital (in Units)				36,603,739	35,322,377
Subscriptions				$ 12,850,000	$ 6,889,478
Subscriptions (in Units)				6,001,270	3,372,398
Redemptions				$ (15,098,991)	$ (3,507,874)
Redemptions (in Units)				(7,127,915)	(1,729,806)
Net Income (Loss)				$ 1,300,546	$ (371,374)
Members' Capital		$ 74,715,931	$ 76,238,931	$ 74,715,931	$ 76,238,931
Members' Capital (in Units)		35,477,094	36,964,969	35,477,094	36,964,969
Class I
Increase (Decrease) in Members' Capital
Members' Capital				$ 58,240,855	$ 62,368,274
Members' Capital (in Units)				29,501,569	31,155,649
Subscriptions				$ 6,391,617	$ 6,371,333
Subscriptions (in Units)				3,180,195	3,182,620
Redemptions				$ (10,584,192)	$ (7,240,157)
Redemptions (in Units)				(5,229,408)	(3,691,385)
Net Income (Loss)				$ 713,727	$ (967,542)
Members' Capital		$ 54,762,007	$ 60,531,908	$ 54,762,007	$ 60,531,908
Members' Capital (in Units)		27,452,356	30,646,884	27,452,356	30,646,884
Class DS
Increase (Decrease) in Members' Capital
Members' Capital	[1]				$ 43,919,926
Members' Capital (in Units)	[1]				21,211,500
Subscriptions	[1]				$ 463,567
Subscriptions (in Units)	[1]				217,903
Redemptions	[1]				$ (44,791,393)
Redemptions (in Units)	[1]				(21,429,403)
Net Income (Loss)	[1]				$ 407,900
Class DT
Increase (Decrease) in Members' Capital
Members' Capital	[2]				$ 11,818,184
Members' Capital (in Units)	[2]				5,341,053
Subscriptions	[2]				$ 2,598,982
Subscriptions (in Units)	[2]				1,209,341
Redemptions	[2]				$ (2,339,090)
Redemptions (in Units)	[2]				(1,051,449)
Net Income (Loss)	[2]				$ 102,986
Members' Capital	[2]		$ 12,181,062		$ 12,181,062
Members' Capital (in Units)	[2]		5,498,945		5,498,945
Class M
Increase (Decrease) in Members' Capital
Members' Capital				$ 118,530,695	$ 107,401,709
Members' Capital (in Units)				102,050,874	92,200,321
Subscriptions				$ 18,690,006	$ 21,762,359
Subscriptions (in Units)				15,701,474	18,596,898
Redemptions				$ (14,325,550)	$ (14,888,721)
Redemptions (in Units)				(11,957,494)	(13,069,088)
Net Income (Loss)				$ 2,297,464	$ (1,021,301)
Members' Capital		$ 125,192,615	$ 113,254,046	$ 125,192,615	$ 113,254,046
Members' Capital (in Units)		105,794,854	97,728,131	105,794,854	97,728,131
Class F
Increase (Decrease) in Members' Capital
Members' Capital				$ 53,536,345	$ 53,188,258
Members' Capital (in Units)				46,520,691	46,520,691
Net Income (Loss)				$ 1,412,102	$ 93,988
Members' Capital		$ 54,948,447	$ 53,282,246	$ 54,948,447	$ 53,282,246
Members' Capital (in Units)		46,520,691	46,520,691	46,520,691	46,520,691
Class F1
Increase (Decrease) in Members' Capital
Members' Capital				$ 38,144,532	$ 37,896,521
Members' Capital (in Units)				32,348,368	32,348,368
Net Income (Loss)				$ 1,006,120	$ 66,966
Members' Capital		$ 39,150,652	$ 37,963,487	$ 39,150,652	$ 37,963,487
Members' Capital (in Units)		32,348,368	32,348,368	32,348,368	32,348,368
Class DI
Increase (Decrease) in Members' Capital
Members' Capital	[3]			$ 94,166,071
Members' Capital (in Units)	[3]			97,034,119
Subscriptions	[3]				$ 108,299,930
Subscriptions (in Units)	[3]				108,353,925
Redemptions	[3]			$ (48,150,706)	$ (3,931,258)
Redemptions (in Units)	[3]			(48,768,772)	(4,034,180)
Net Income (Loss)	[3]			$ 1,705,628	$ (3,360,527)
Members' Capital	[3]	$ 47,720,993	$ 101,008,145	$ 47,720,993	$ 101,008,145
Members' Capital (in Units)	[3]	48,265,347	104,319,745	48,265,347	104,319,745
Total Members' Capital
Increase (Decrease) in Members' Capital
Members' Capital				$ 1,024,143,098	$ 981,085,057
Members' Capital (in Units)				679,544,349	593,821,837
Subscriptions				$ 57,320,352	$ 207,644,965
Subscriptions (in Units)				35,566,301	169,224,442
Redemptions				$ (144,892,632)	$ (116,267,447)
Redemptions (in Units)				(105,070,107)	(67,095,556)
Net Income (Loss)				$ 9,923,442	$ (18,843,097)
Members' Capital		$ 946,494,260	$ 1,053,619,478	$ 946,494,260	$ 1,053,619,478
Members' Capital (in Units)		610,040,543	695,950,723	610,040,543	695,950,723

[1] Units fully redeemed as of April 30, 2015.

[2] Units fully redeemed as of December 31, 2015.

[3] Units issued on February 1, 2015.

XML

FINANCIAL DATA HIGHLIGHTS - $ / shares		3 Months Ended			8 Months Ended		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015		Sep. 30, 2015		Sep. 30, 2016	Sep. 30, 2015
Class A
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 1.9599	$ 1.8757				$ 1.9048	$ 1.9392
Net realized and net change in unrealized trading profit (loss)		(0.0233)	0.0503				0.0671	0.0465
Brokerage commissions		(0.0004)	(0.0005)				(0.0013)	(0.0015)
Interest income, net		0.0009	0.0000	[1]			0.0025	0.0000
Expenses		(0.0182)	(0.0179)				(0.0542)	(0.0766)
Net asset value, before full redemption								1.9076
Net asset value, end of year		$ 1.9189	$ 1.9076		$ 1.9076		$ 1.9189	$ 1.9076
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(2.09%)	1.70%				0.74%	(0.50%)
Performance fees (as a percent)	[2],[3]	0.00%	0.00%				0.00%	(1.13%)
Total return after Performance fees (as a percent)	[2],[3]	(2.09%)	1.70%				0.74%	(1.63%)
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	0.94%	0.94%				2.80%	2.82%
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	1.10%
Expenses (including Performance fees) (as a percent)	[2]	0.94%	0.94%				2.80%	3.92%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(0.89%)	(0.94%)				(2.66%)	(2.82%)
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	(1.10%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(0.89%)	(0.94%)				(2.66%)	(3.92%)
Class C
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 1.7502	$ 1.6919				$ 1.7095	$ 1.7580
Net realized and net change in unrealized trading profit (loss)		(0.0208)	0.0453				0.0602	0.0422
Brokerage commissions		(0.0004)	(0.0005)				(0.0012)	(0.0014)
Interest income, net		0.0008	0.0000	[1]			0.0022	0.0000
Expenses		(0.0204)	(0.0203)				(0.0613)	(0.0824)
Net asset value, before full redemption								1.7164
Net asset value, end of year		$ 1.7094	$ 1.7164		1.7164		$ 1.7094	$ 1.7164
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(2.33%)	1.45%				(0.01%)	(1.24%)
Performance fees (as a percent)	[2],[3]	0.00%	0.00%				0.00%	(1.12%)
Total return after Performance fees (as a percent)	[2],[3]	(2.33%)	1.45%				(0.01%)	(2.36%)
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	1.19%	1.19%				3.55%	3.57%
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	1.10%
Expenses (including Performance fees) (as a percent)	[2]	1.19%	1.19%				3.55%	4.67%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(1.14%)	(1.19%)				(3.41%)	(3.57%)
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	(1.10%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(1.14%)	(1.19%)				(3.41%)	(4.67%)
Class D
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 2.1429	$ 2.0204				$ 2.0671	$ 2.0732
Net realized and net change in unrealized trading profit (loss)		(0.0255)	0.0542				0.0729	0.0497
Brokerage commissions		(0.0005)	(0.0006)				(0.0014)	(0.0017)
Interest income, net		0.0010	0.0000	[1]			0.0027	(0.0001)
Expenses		(0.0119)	(0.0115)				(0.0353)	(0.0586)
Net asset value, before full redemption								2.0625
Net asset value, end of year		$ 2.1060	$ 2.0625		2.0625		$ 2.1060	$ 2.0625
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(1.72%)	2.09%				1.88%	0.61%
Performance fees (as a percent)	[2],[3]	0.00%	0.00%				0.00%	(1.13%)
Total return after Performance fees (as a percent)	[2],[3]	(1.72%)	2.09%				1.88%	(0.52%)
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	0.56%	0.57%				1.67%	1.69%
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	1.10%
Expenses (including Performance fees) (as a percent)	[2]	0.56%	0.57%				1.67%	2.79%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(0.51%)	(0.57%)				(1.53%)	(1.69%)
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	(1.10%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(0.51%)	(0.57%)				(1.53%)	(2.79%)
Class I
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 2.0353	$ 1.9402				$ 1.9742	$ 2.0018
Net realized and net change in unrealized trading profit (loss)		(0.0242)	0.0520				0.0696	0.0480
Brokerage commissions		(0.0004)	(0.0005)				(0.0014)	(0.0016)
Interest income, net		0.0010	0.0000	[1]			0.0026	(0.0001)
Expenses		(0.0169)	(0.0166)				(0.0502)	(0.0730)
Net asset value, before full redemption								1.9751
Net asset value, end of year		$ 1.9948	$ 1.9751		1.9751		$ 1.9948	$ 1.9751
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(1.99%)	1.80%				1.04%	(0.20%)
Performance fees (as a percent)	[2],[3]	0.00%	0.00%				0.00%	(1.13%)
Total return after Performance fees (as a percent)	[2],[3]	(1.99%)	1.80%				1.04%	(1.33%)
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	0.84%	0.84%				2.50%	2.52%
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	1.10%
Expenses (including Performance fees) (as a percent)	[2]	0.84%	0.84%				2.50%	3.62%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(0.79%)	(0.84%)				(2.36%)	(2.52%)
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	(1.10%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(0.79%)	(0.84%)				(2.36%)	(3.62%)
Class DS
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer	[5]							$ 2.0706
Net realized and net change in unrealized trading profit (loss)	[5]							0.0567
Brokerage commissions	[5]							(0.0007)
Interest income, net	[5]							0.0000
Expenses	[5]							(0.0391)
Net asset value, before full redemption	[5]							2.0875
Less redemption	[5]							$ 2.0875
Total Return:
Total return before Performance fees (as a percent)	[2],[3],[5]							1.95%
Performance fees (as a percent)	[2],[3],[5]							(1.13%)
Total return after Performance fees (as a percent)	[2],[3],[5]							0.82%
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4],[5]							1.67%
Performance fees (as a percent)	[2],[5]							1.10%
Expenses (including Performance fees) (as a percent)	[2],[5]							2.77%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2],[5]							(1.67%)
Performance fees (as a percent)	[2],[5]							(1.10%)
Net investment income (loss) (including Performance fees) (as a percent)	[2],[5]							(2.77%)
Class DT
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer			$ 2.1672					$ 2.2127
Net realized and net change in unrealized trading profit (loss)			0.0582					0.0529
Brokerage commissions			(0.0006)					(0.0018)
Interest income, net			0.0000	[1]				(0.0001)
Expenses			(0.0096)					(0.0485)
Net asset value, before full redemption								2.2152
Net asset value, end of year			$ 2.2152		2.2152			$ 2.2152
Total Return:
Total return before Performance fees (as a percent)	[2],[3]		2.21%					0.98%
Performance fees (as a percent)	[2],[3]		0.00%					(0.87%)
Total return after Performance fees (as a percent)	[2],[3]		2.21%					0.11%
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]		0.44%					1.32%
Performance fees (as a percent)	[2]		0.00%					0.84%
Expenses (including Performance fees) (as a percent)	[2]		0.44%					2.16%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]		(0.44%)					(1.32%)
Performance fees (as a percent)	[2]		0.00%					(0.84%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]		(0.44%)					(2.16%)
Class M
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 1.2041	$ 1.1352				$ 1.1615	$ 1.1649
Net realized and net change in unrealized trading profit (loss)		(0.0144)	0.0305				0.0410	0.0279
Brokerage commissions		(0.0003)	(0.0003)				(0.0008)	(0.0009)
Interest income, net		0.0006	0.0000	[1]			0.0015	0.0000
Expenses		(0.0066)	(0.0065)				(0.0198)	(0.0330)
Net asset value, before full redemption								1.1589
Net asset value, end of year		$ 1.1834	$ 1.1589		1.1589		$ 1.1834	$ 1.1589
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(1.72%)	2.09%				1.88%	0.61%
Performance fees (as a percent)	[2],[3]	0.00%	0.00%				0.00%	(1.13%)
Total return after Performance fees (as a percent)	[2],[3]	(1.72%)	2.09%				1.88%	(0.52%)
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	0.56%	0.57%				1.67%	1.69%
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	1.10%
Expenses (including Performance fees) (as a percent)	[2]	0.56%	0.57%				1.67%	2.79%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(0.51%)	(0.57%)				(1.53%)	(1.69%)
Performance fees (as a percent)	[2]	0.00%	0.00%				0.00%	(1.10%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(0.51%)	(0.57%)				(1.53%)	(2.79%)
Class F
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 1.1988	$ 1.1192				$ 1.1508	$ 1.1433
Net realized and net change in unrealized trading profit (loss)		(0.0143)	0.0301				0.0406	0.0274
Brokerage commissions		(0.0003)	(0.0003)				(0.0008)	(0.0009)
Interest income, net		0.0006	0.0000	[1]			0.0015	0.0000
Expenses		(0.0036)	(0.0037)				(0.0109)	(0.0245)
Net asset value, before full redemption								1.1453
Net asset value, end of year		$ 1.1812	$ 1.1453		1.1453		$ 1.1812	$ 1.1453
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(1.47%)	2.33%				2.66%	1.37%
Performance fees (as a percent)	[2],[3]	0.00%	0.00%				(0.01%)	(1.19%)
Total return after Performance fees (as a percent)	[2],[3]	(1.47%)	2.33%				2.65%	0.18%
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	0.31%	0.32%				0.92%	0.94%
Performance fees (as a percent)	[2]	0.00%	0.00%				0.01%	1.16%
Expenses (including Performance fees) (as a percent)	[2]	0.31%	0.32%				0.93%	2.10%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(0.26%)	(0.32%)				(0.79%)	(0.94%)
Performance fees (as a percent)	[2]	0.00%	0.00%				(0.01%)	(1.16%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(0.26%)	(0.32%)				(0.80%)	(2.10%)
Class F1
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 1.2284	$ 1.1468				$ 1.1792	$ 1.1715
Net realized and net change in unrealized trading profit (loss)		(0.0147)	0.0308				0.0416	0.0281
Brokerage commissions		(0.0003)	(0.0003)				(0.0008)	(0.0009)
Interest income, net		0.0006	0.0000	[1]			0.0016	0.0000
Expenses		(0.0037)	(0.0037)				(0.0113)	(0.0251)
Net asset value, before full redemption								1.1736
Net asset value, end of year		$ 1.2103	$ 1.1736		1.1736		$ 1.2103	$ 1.1736
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(1.47%)	2.34%				2.65%	1.37%
Performance fees (as a percent)	[2],[3]	0.00%	0.00%				(0.01%)	(1.19%)
Total return after Performance fees (as a percent)	[2],[3]	(1.47%)	2.34%				2.64%	0.18%
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	0.31%	0.32%				0.92%	0.94%
Performance fees (as a percent)	[2]	0.00%	0.00%				0.01%	1.16%
Expenses (including Performance fees) (as a percent)	[2]	0.31%	0.32%				0.93%	2.10%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(0.26%)	(0.32%)				(0.79%)	(0.94%)
Performance fees (as a percent)	[2]	0.00%	0.00%				(0.01%)	(1.16%)
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(0.26%)	(0.32%)				(0.80%)	(2.10%)
Class DI
Increase (Decrease) in Net Asset Value Per Unit
Net asset value, beginning of period or at the time of offer		$ 1.0060	$ 0.9485		1.0000	[6]	$ 0.9704
Net realized and net change in unrealized trading profit (loss)		(0.0120)	0.0255		(0.0119)	[6]	0.0342
Brokerage commissions		(0.0002)	(0.0003)		(0.0007)	[6]	(0.0007)
Interest income, net		0.0005	0.0000	[1]	0.0000	[6]	0.0013
Expenses		(0.0056)	(0.0054)		(0.0191)	[6]	(0.0165)
Net asset value, before full redemption	[6]				0.9683
Net asset value, end of year		$ 0.9887	$ 0.9683	[6]	$ 0.9683	[6]	$ 0.9887	$ 0.9683	[6]
Total Return:
Total return before Performance fees (as a percent)	[2],[3]	(1.72%)	2.08%		(2.74%)	[6]	1.88%
Performance fees (as a percent)	[2],[3]	0.00%	0.00%		(0.43%)	[6]	0.00%
Total return after Performance fees (as a percent)	[2],[3]	(1.72%)	2.08%		(3.17%)	[6]	1.88%
Ratios to Average Members' Capital:
Expenses (excluding Performance fees) (as a percent)	[2],[4]	0.56%	0.57%		1.70%	[6]	1.67%
Performance fees (as a percent)	[2]	0.00%	0.00%		0.42%	[6]	0.00%
Expenses (including Performance fees) (as a percent)	[2]	0.56%	0.57%		2.12%	[6]	1.67%
Net investment income (loss) (excluding Performance fees) (as a percent)	[2]	(0.51%)	(0.57%)		(1.70%)	[6]	(1.53%)
Performance fees (as a percent)	[2]	0.00%	0.00%		(0.42%)	[6]	0.00%
Net investment income (loss) (including Performance fees) (as a percent)	[2]	(0.51%)	(0.57%)		(2.12%)	[6]	(1.53%)

[1] Interest income, net is less than $0.0001 per Unit.

[2] The ratios and total return are not annualized.

[3] 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.

[4] The expense ratios do not include brokerage commissions.

[5] Units fully redeemed as of April 30, 2015.

[6] Units issued on February 1, 2015.

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FINANCIAL DATA HIGHLIGHTS (Parenthetical)	3 Months Ended
	Sep. 30, 2015 $ / shares
Maximum
Interest income, net	$ 0.0001

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ORGANIZATION

9 Months Ended

Sep. 30, 2016

ORGANIZATION

ORGANIZATION

1.ORGANIZATION

ML Winton 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 May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Trading Advisor”) is the trading advisor of the Fund.  The Trading Advisor trades the Winton Futures Program (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. 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 Fund. 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 BofA Corp. 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 BofA Corp.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. 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 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, BofA Corp. or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of September 30, 2016, the Fund holds cash equivalents. Cash was held at a nationally recognized financial institution.

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, 2016 and December 31, 2015 and the results of its operations for the three and nine month periods ended September 30, 2016 and 2015.  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, 2015.

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.

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CONDENSED SCHEDULES OF INVESTMENTS

9 Months Ended

Sep. 30, 2016

CONDENSED SCHEDULES OF INVESTMENTS

CONDENSED SCHEDULES OF INVESTMENTS

2.CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of September 30, 2016 and December 31, 2015, are as follows:

September 30, 2016

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	1,038	$	22,101		0.00	%	(2,524	)	$	1,111,745		0.12	%	$	1,133,846		0.12	%	October 2016 - April 2017
Currencies - Futures	1,684	1,026,588			0.11	%	(3,291	)	2,250,334			0.24	%	3,276,922			0.35	%	December 2016
Currencies - Forwards*	422,809,938	2,129,218			0.22	%	(225,817,464	)	315			0.00	%	2,129,533			0.22	%	October 2016 - December 2016
Energy	—	—			0.00	%	(1,551	)	(4,768,343		)	-0.50	%	(4,768,343		)	-0.50	%	October 2016 - December 2016
Interest rates	21,986	4,112,618			0.43	%	(1,361	)	(444,725		)	-0.05	%	3,667,893			0.38	%	December 2016 - September 2019
Metals	1,432	(1,360,744		)	-0.14	%	(482	)	(1,837,991		)	-0.19	%	(3,198,735		)	-0.33	%	November 2016 - January 2017
Stock indices	5,699	4,418,033			0.47	%	(41	)	1,338			0.00	%	4,419,371			0.47	%	October 2016 - December 2016
Total		$	10,347,814		1.09	%			$	(3,687,327	)	-0.38	%	$	6,660,487		0.71	%

December 31, 2015

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	459	$	51,979		0.01	%	(3,851	)	$	1,311,309		0.13	%	$	1,363,288		0.14	%	January 2016 - May 2016
Currencies - Futures	574	34,405			0.00	%	(5,108	)	4,418,923			0.43	%	4,453,328			0.43	%	March 2016
Currencies - Forwards*	461,839,319	(4,714,657		)	-0.46	%	(273,519,553	)	2,785,952			0.27	%	(1,928,705		)	-0.19	%	January 2016 - June 2016
Energy	—	—			0.00	%	(2,601	)	1,389,060			0.14	%	1,389,060			0.14	%	January 2016 - May 2016
Interest rates	22,577	(4,080,903		)	-0.40	%	(762	)	(35,806		)	0.00	%	(4,116,709		)	-0.40	%	March 2016 - December 2018
Metals	327	85,008			0.01	%	(2,272	)	3,637,773			0.35	%	3,722,781			0.36	%	January 2016 - April 2016
Stock indices	2,952	1,203,351			0.12	%	(1,922	)	(595,695		)	-0.06	%	607,656			0.06	%	January 2016 - March 2016
Total		$	(7,420,817	)	-0.72	%			$	12,911,516		1.26	%	$	5,490,699		0.54	%

*Currencies-Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of September 30, 2016 and December 31, 2015. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

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FAIR VALUE OF INVESTMENTS

9 Months Ended

Sep. 30, 2016

FAIR VALUE OF INVESTMENTS

FAIR VALUE OF INVESTMENTS

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). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes.  The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition.  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.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded.  These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values.

The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.

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 during the three or nine month periods ended September 30, 2016 or the year ended December 31, 2015.

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of September 30, 2016 and December 31, 2015, are as follows:

2016

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II		Level III
Assets
Futures	$	19,718,708	$	19,203,987	$	514,721	$	—
Forwards	3,415,582		—		3,415,582		—
	$	23,134,290	$	19,203,987	$	3,930,303	$	—
Liabilities
Futures	$	15,187,754	$	13,530,480	$	1,657,274	$	—
Forwards	1,286,049		—		1,286,049		—
	$	16,473,803	$	13,530,480	$	2,943,323	$	—
September 30, 2016	$	6,660,487	$	5,673,507	$	986,980	$	—

2015

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III
Assets
Futures	$	22,033,208	$	19,842,837	$	2,190,371		$	—
Forwards	4,751,569		—		4,751,569			—
	$	26,784,777	$	19,842,837	$	6,941,940		$	—
Liabilities
Futures	$	14,613,804	$	13,913,792	$	700,012		$	—
Forwards	6,680,274		—		6,680,274			—
	$	21,294,078	$	13,913,792	$	7,380,286		$	—
December 31, 2015	$	5,490,699	$	5,929,045	$	(438,346	)	$	—

The Fund’s volume of trading forwards and futures as of the nine month period ended September 30, 2016 and year ended December 31, 2015 are representative of the activity throughout these periods.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At September 30, 2016 and December 31, 2015, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with its counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts plus the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.

The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and nine month periods ended September 30, 2016 and 2015:

	For the three months ended			For the nine months ended
	September 30, 2016			September 30, 2016
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	$	(3,415,543	)	$	(5,174,795	)
Currencies	1,857,167			10,654,113
Energy	(6,733,653		)	(8,785,504		)
Interest rates	(6,280,946		)	71,107,510
Metals	(3,982,013		)	(21,876,659		)
Stock indices	6,801,081			(10,286,142		)
Total, net	$	(11,753,907	)	$	35,638,523

	For the three months ended			For the nine months ended
	September 30, 2015			September 30, 2015
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	1,852,111			416,705
Currencies	$	(14,765,567	)	$	(12,042,074	)
Energy	22,074,055			8,728,628
Interest rates	30,471,791			31,781,874
Metals	11,627,569			5,982,689
Stock indices	(23,370,350		)	(12,940,827		)
Total, net	$	27,889,609		$	21,926,995

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities.  Fund assets could be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

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MARKET AND CREDIT RISKS

9 Months Ended

Sep. 30, 2016

MARKET AND CREDIT RISKS

MARKET AND CREDIT RISKS

4.MARKET AND CREDIT 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 Fund’s unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund 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 Trading Advisor, calculating the Net Asset Value of the Fund 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 Fund’s market exposure, MLAI may urge the Trading Advisor 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 process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.

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 unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition.

MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker.  Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S.  Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

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 BofA Corp. 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.

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RELATED PARTY TRANSACTIONS

9 Months Ended

Sep. 30, 2016

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS

5.RELATED PARTY TRANSACTIONS

MLAI owns 48 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of September 30, 2016.

MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. 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 were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears.  The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses.  MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets.   The Transfer Agent fee allocated to the Fund for the three month periods ended September 30, 2016, and 2015 amounted to $46,517 and $133,555, respectively. The Transfer Agent fee allocated to the Fund for the nine month periods ended September 30, 2016, and 2015 amounted to $155,460 and $398,643, respectively, of which $51,706 and $59,827 was payable to the Transfer Agent as of September 30, 2016 and December 31, 2015, respectively.

Brokerage commissions, interest, net and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.

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SUBSEQUENT EVENTS

9 Months Ended

Sep. 30, 2016

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS

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.

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ORGANIZATION (Policies)

9 Months Ended

Sep. 30, 2016

ORGANIZATION

Estimates

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.

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CONDENSED SCHEDULES OF INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2016

CONDENSED SCHEDULES OF INVESTMENTS

Schedule of unrealized profit (loss) on open contracts on the Statements of Financial Condition

September 30, 2016

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	1,038	$	22,101		0.00	%	(2,524	)	$	1,111,745		0.12	%	$	1,133,846		0.12	%	October 2016 - April 2017
Currencies - Futures	1,684	1,026,588			0.11	%	(3,291	)	2,250,334			0.24	%	3,276,922			0.35	%	December 2016
Currencies - Forwards*	422,809,938	2,129,218			0.22	%	(225,817,464	)	315			0.00	%	2,129,533			0.22	%	October 2016 - December 2016
Energy	—	—			0.00	%	(1,551	)	(4,768,343		)	-0.50	%	(4,768,343		)	-0.50	%	October 2016 - December 2016
Interest rates	21,986	4,112,618			0.43	%	(1,361	)	(444,725		)	-0.05	%	3,667,893			0.38	%	December 2016 - September 2019
Metals	1,432	(1,360,744		)	-0.14	%	(482	)	(1,837,991		)	-0.19	%	(3,198,735		)	-0.33	%	November 2016 - January 2017
Stock indices	5,699	4,418,033			0.47	%	(41	)	1,338			0.00	%	4,419,371			0.47	%	October 2016 - December 2016
Total		$	10,347,814		1.09	%			$	(3,687,327	)	-0.38	%	$	6,660,487		0.71	%

December 31, 2015

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	459	$	51,979		0.01	%	(3,851	)	$	1,311,309		0.13	%	$	1,363,288		0.14	%	January 2016 - May 2016
Currencies - Futures	574	34,405			0.00	%	(5,108	)	4,418,923			0.43	%	4,453,328			0.43	%	March 2016
Currencies - Forwards*	461,839,319	(4,714,657		)	-0.46	%	(273,519,553	)	2,785,952			0.27	%	(1,928,705		)	-0.19	%	January 2016 - June 2016
Energy	—	—			0.00	%	(2,601	)	1,389,060			0.14	%	1,389,060			0.14	%	January 2016 - May 2016
Interest rates	22,577	(4,080,903		)	-0.40	%	(762	)	(35,806		)	0.00	%	(4,116,709		)	-0.40	%	March 2016 - December 2018
Metals	327	85,008			0.01	%	(2,272	)	3,637,773			0.35	%	3,722,781			0.36	%	January 2016 - April 2016
Stock indices	2,952	1,203,351			0.12	%	(1,922	)	(595,695		)	-0.06	%	607,656			0.06	%	January 2016 - March 2016
Total		$	(7,420,817	)	-0.72	%			$	12,911,516		1.26	%	$	5,490,699		0.54	%

*Currencies-Forwards present notional amounts as converted to USD.

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FAIR VALUE OF INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2016

FAIR VALUE OF INVESTMENTS

Schedule of unrealized profit (loss) on open forwards and futures contracts, by the fair value hierarchy levels

2016

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II		Level III
Assets
Futures	$	19,718,708	$	19,203,987	$	514,721	$	—
Forwards	3,415,582		—		3,415,582		—
	$	23,134,290	$	19,203,987	$	3,930,303	$	—
Liabilities
Futures	$	15,187,754	$	13,530,480	$	1,657,274	$	—
Forwards	1,286,049		—		1,286,049		—
	$	16,473,803	$	13,530,480	$	2,943,323	$	—
September 30, 2016	$	6,660,487	$	5,673,507	$	986,980	$	—

2015

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III
Assets
Futures	$	22,033,208	$	19,842,837	$	2,190,371		$	—
Forwards	4,751,569		—		4,751,569			—
	$	26,784,777	$	19,842,837	$	6,941,940		$	—
Liabilities
Futures	$	14,613,804	$	13,913,792	$	700,012		$	—
Forwards	6,680,274		—		6,680,274			—
	$	21,294,078	$	13,913,792	$	7,380,286		$	—
December 31, 2015	$	5,490,699	$	5,929,045	$	(438,346	)	$	—

Schedule of trading profits and losses before brokerage commissions, by commodity industry sector

	For the three months ended			For the nine months ended
	September 30, 2016			September 30, 2016
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	$	(3,415,543	)	$	(5,174,795	)
Currencies	1,857,167			10,654,113
Energy	(6,733,653		)	(8,785,504		)
Interest rates	(6,280,946		)	71,107,510
Metals	(3,982,013		)	(21,876,659		)
Stock indices	6,801,081			(10,286,142		)
Total, net	$	(11,753,907	)	$	35,638,523

	For the three months ended			For the nine months ended
	September 30, 2015			September 30, 2015
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	1,852,111			416,705
Currencies	$	(14,765,567	)	$	(12,042,074	)
Energy	22,074,055			8,728,628
Interest rates	30,471,791			31,781,874
Metals	11,627,569			5,982,689
Stock indices	(23,370,350		)	(12,940,827		)
Total, net	$	27,889,609		$	21,926,995

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CONDENSED SCHEDULES OF INVESTMENTS (Details)	Sep. 30, 2016 USD ($) contract	Dec. 31, 2015 USD ($) contract
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ 6,660,487	$ 5,490,699
Percent of Members' Capital	0.71%	0.54%
Maximum
CONDENSED SCHEDULES OF INVESTMENTS
Single investment threshold as a percentage of members' capital	5.00%	5.00%
Agriculture
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ 1,133,846	$ 1,363,288
Percent of Members' Capital	0.12%	0.14%
Currencies | Futures
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ 3,276,922	$ 4,453,328
Percent of Members' Capital	0.35%	0.43%
Currencies | Forwards
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ 2,129,533	$ (1,928,705)
Percent of Members' Capital	0.22%	(0.19%)
Energy
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ (4,768,343)	$ 1,389,060
Percent of Members' Capital	(0.50%)	0.14%
Interest rates
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ 3,667,893	$ (4,116,709)
Percent of Members' Capital	0.38%	(0.40%)
Metals
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ (3,198,735)	$ 3,722,781
Percent of Members' Capital	(0.33%)	0.36%
Stock indices
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ 4,419,371	$ 607,656
Percent of Members' Capital	0.47%	0.06%
Long Positions
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ 10,347,814	$ (7,420,817)
Percent of Members' Capital	1.09%	(0.72%)
Long Positions | Agriculture
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	1,038	459
Net Unrealized Profit (Loss) on Open Positions	$ 22,101	$ 51,979
Percent of Members' Capital	0.00%	0.01%
Long Positions | Currencies | Futures
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	1,684	574
Net Unrealized Profit (Loss) on Open Positions	$ 1,026,588	$ 34,405
Percent of Members' Capital	0.11%	0.00%
Long Positions | Currencies | Forwards
CONDENSED SCHEDULES OF INVESTMENTS
Notional amount	$ 422,809,938	$ 461,839,319
Net Unrealized Profit (Loss) on Open Positions	$ 2,129,218	$ (4,714,657)
Percent of Members' Capital	0.22%	(0.46%)
Long Positions | Energy
CONDENSED SCHEDULES OF INVESTMENTS
Percent of Members' Capital	0.00%	0.00%
Long Positions | Interest rates
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	21,986	22,577
Net Unrealized Profit (Loss) on Open Positions	$ 4,112,618	$ (4,080,903)
Percent of Members' Capital	0.43%	(0.40%)
Long Positions | Metals
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	1,432	327
Net Unrealized Profit (Loss) on Open Positions	$ (1,360,744)	$ 85,008
Percent of Members' Capital	(0.14%)	0.01%
Long Positions | Stock indices
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	5,699	2,952
Net Unrealized Profit (Loss) on Open Positions	$ 4,418,033	$ 1,203,351
Percent of Members' Capital	0.47%	0.12%
Short Positions
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	$ (3,687,327)	$ 12,911,516
Percent of Members' Capital	(0.38%)	1.26%
Short Positions | Agriculture
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	2,524	3,851
Net Unrealized Profit (Loss) on Open Positions	$ 1,111,745	$ 1,311,309
Percent of Members' Capital	0.12%	0.13%
Short Positions | Currencies | Futures
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	3,291	5,108
Net Unrealized Profit (Loss) on Open Positions	$ 2,250,334	$ 4,418,923
Percent of Members' Capital	0.24%	0.43%
Short Positions | Currencies | Forwards
CONDENSED SCHEDULES OF INVESTMENTS
Notional amount	$ 225,817,464	$ 273,519,553
Net Unrealized Profit (Loss) on Open Positions	$ 315	$ 2,785,952
Percent of Members' Capital	0.00%	0.27%
Short Positions | Energy
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	1,551	2,601
Net Unrealized Profit (Loss) on Open Positions	$ (4,768,343)	$ 1,389,060
Percent of Members' Capital	(0.50%)	0.14%
Short Positions | Interest rates
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	1,361	762
Net Unrealized Profit (Loss) on Open Positions	$ (444,725)	$ (35,806)
Percent of Members' Capital	(0.05%)	0.00%
Short Positions | Metals
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	482	2,272
Net Unrealized Profit (Loss) on Open Positions	$ (1,837,991)	$ 3,637,773
Percent of Members' Capital	(0.19%)	0.35%
Short Positions | Stock indices
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts | contract	41	1,922
Net Unrealized Profit (Loss) on Open Positions	$ 1,338	$ (595,695)
Percent of Members' Capital	0.00%	(0.06%)

XML

FAIR VALUE OF INVESTMENTS - UNREALIZED PROFIT (LOSS) ON CONTRACTS BY FAIR VALUE HIERARCHY (Details) - USD ($)	Sep. 30, 2016	Dec. 31, 2015
Fair value of investments
Fair value assets, amount transferred between measurement levels	$ 0	$ 0
Fair value liabilities, amount transferred between measurement levels	0	0
Net unrealized profit (loss) on open contracts	6,660,487	5,490,699
Total
Fair value of investments
Assets	23,134,290	26,784,777
Liabilities	16,473,803	21,294,078
Net unrealized profit (loss) on open contracts	6,660,487	5,490,699
Total | Futures
Fair value of investments
Assets	19,718,708	22,033,208
Liabilities	15,187,754	14,613,804
Total | Forwards
Fair value of investments
Assets	3,415,582	4,751,569
Liabilities	1,286,049	6,680,274
Level I
Fair value of investments
Assets	19,203,987	19,842,837
Liabilities	13,530,480	13,913,792
Net unrealized profit (loss) on open contracts	5,673,507	5,929,045
Level I | Futures
Fair value of investments
Assets	19,203,987	19,842,837
Liabilities	13,530,480	13,913,792
Level II
Fair value of investments
Assets	3,930,303	6,941,940
Liabilities	2,943,323	7,380,286
Net unrealized profit (loss) on open contracts	986,980	(438,346)
Level II | Futures
Fair value of investments
Assets	514,721	2,190,371
Liabilities	1,657,274	700,012
Level II | Forwards
Fair value of investments
Assets	3,415,582	4,751,569
Liabilities	$ 1,286,049	$ 6,680,274

XML

FAIR VALUE OF INVESTMENTS - OTHER INFORMATION (Details)	9 Months Ended
	Sep. 30, 2016
FAIR VALUE OF INVESTMENTS
Derivative, Credit Risk Related Contingent Features, Existence and Nature	There are no credit related contingent features embedded in these derivative contracts.

XML

FAIR VALUE OF INVESTMENTS - TRADING PROFITS AND LOSSES BY INDUSTRY SECTOR (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Trading profits and losses
Total, net	$ (11,753,907)	$ 27,889,609	$ 35,638,523	$ 21,926,995
Agriculture
Trading profits and losses
Total, net	(3,415,543)	1,852,111	(5,174,795)	416,705
Currencies
Trading profits and losses
Total, net	1,857,167	(14,765,567)	10,654,113	(12,042,074)
Energy
Trading profits and losses
Total, net	(6,733,653)	22,074,055	(8,785,504)	8,728,628
Interest rates
Trading profits and losses
Total, net	(6,280,946)	30,471,791	71,107,510	31,781,874
Metals
Trading profits and losses
Total, net	(3,982,013)	11,627,569	(21,876,659)	5,982,689
Stock indices
Trading profits and losses
Total, net	$ 6,801,081	$ (23,370,350)	$ (10,286,142)	$ (12,940,827)

XML

MARKET AND CREDIT RISKS (Details)	9 Months Ended
	Sep. 30, 2016 USD ($) claim
Indemnifications
Number of claims made with respect to indemnities | claim	0
Provision for loss contingency | $	$ 0

XML

RELATED PARTY TRANSACTIONS (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015	Dec. 31, 2014
Related party transactions
Units owned (in units)	610,040,543		610,040,543		679,544,349
Fund's net asset value (as a percent)	0.71%		0.71%		0.54%
Class D
Related party transactions
Units owned (in units)	35,477,094	36,964,969	35,477,094	36,964,969	36,603,739	35,322,377
MLAI | Class D
Related party transactions
Units owned (in units)	48		48
MLAI | Maximum | Class D
Related party transactions
Fund's net asset value (as a percent)	1.00%		1.00%
Transfer Agent
Related party transactions
Fee rate paid by MLAI based on aggregate net assets (as a percent)			0.02%
Fees allocated to Fund	$ 46,517	$ 133,555	$ 155,460	$ 398,643
Fees payable	$ 51,706		$ 51,706		$ 59,827