0001104659-11-014258.txt : 20110315 0001104659-11-014258.hdr.sgml : 20110315 20110315095730 ACCESSION NUMBER: 0001104659-11-014258 CONFORMED SUBMISSION TYPE: 10-K PUBLIC DOCUMENT COUNT: 11 CONFORMED PERIOD OF REPORT: 20101231 FILED AS OF DATE: 20110315 DATE AS OF CHANGE: 20110315 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ML Systematic Momentum FuturesAccess LLC CENTRAL INDEX KEY: 0001393359 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 300408280 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K SEC ACT: 1934 Act SEC FILE NUMBER: 000-52505 FILM NUMBER: 11687287 BUSINESS ADDRESS: STREET 1: C/O MLAI, FOUR WORLD FINANCIAL CENTER STREET 2: 250 VESEY STREET CITY: NEW YORK STATE: NY ZIP: 10080 BUSINESS PHONE: 212-449-3517 MAIL ADDRESS: STREET 1: C/O MLAI, FOUR WORLD FINANCIAL CENTER STREET 2: 250 VESEY STREET CITY: NEW YORK STATE: NY ZIP: 10080 10-K 1 a11-7503_410k.htm 10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

x Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the fiscal year ended: December 31, 2010

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission file number: 0-52505

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware		30-0408280
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 10th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o No x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act. Yes o No x

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

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

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

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

Large accelerated filer o		Accelerated filer o

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

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

The Units of the limited liability company interest of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding equity that is readily determinable.

As of February 28, 2011 units of limited liability company interest with a Net Asset Value of $1,051,523,966 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2010 Annual Reports and Report of Independent Registered Public Accounting Firms, the annual report to security holders for the period ended December 31, 2010, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at 1-866-MER-ALTS.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

ANNUAL REPORT FOR 2010 ON FORM 10-K

Table of Contents

		PAGE

PART I

Item 1.	Business	1

Item 1A.	Risk Factors	13

Item 1B.	Unresolved Staff Comments	15

Item 2.	Properties	16

Item 3.	Legal Proceedings	16

Item 4.	Reserved	16

PART II

Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	16

Item 6.	Selected Financial Data	18

Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	26

Item 7A.	Quantitative and Qualitative Disclosures About Market Risks	34

Item 8.	Financial Statements and Supplementary Data	45

Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	45

Item 9A(T).	Controls and Procedures	45

Item 9B.	Other Information	46

PART III

Item 10.	Directors, Executive Officers and Corporate Governance	46

Item 11.	Executive Compensation	49

Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	49

Item 13.	Certain Relationships and Related Transactions and Director Independence	49

Item 14.	Principal Accounting Fees and Services	50

PART IV

Item 15.	Exhibits and Financial Statement Schedules	51

PART I

Item 1: Business

(a) General Development of Business:

ML Systematic Momentum FuturesAccess LLC (the “Fund”) was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced activities on April 2, 2007. The Fund operates as a “fund of funds” allocating and reallocating its capital under the direction of Merrill Lynch Alternate Investments LLC (“MLAI”), the sponsor and manager of the Fund, among eight underlying MLAI sponsored and managed Futures Access Funds (each a “Portfolio Fund,” or “FuturesAccess Fund” or collectively the “Portfolio Funds”). The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 6 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit ) as of the beginning of each calendar month.

MLAI is the sponsor (“Sponsor”) and the manager (“Manager”) of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the commodity broker, of the Portfolio Funds. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

The Fund calculates the Net Asset Value per Unit of each class of Units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s Net Asset Value as of any calculation date will generally equal the value of the Fund’s investments in the underlying funds as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsor’s, management and performance fees, organizational expense amortization and any operating costs and other liabilities of the Fund. MLAI is authorized to make all net asset value determinations.

As of December 31, 2010 the Net Asset Value and the Net Asset Value per Unit in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) was $1,027,411,885 and $1.2523 for Class A, $1.2615 for Class C, $1.4789 for Class D, $1.3265 for Class I, $1.3199 for Class D1 and $0 for Class DA.

The highest month-end Net Asset Value per Unit for Class A since the Fund began operations was $1.2561 (December 31, 2008) and the lowest was $0.9090 (August 31, 2007.) The highest month-end Net Asset Value per Unit for Class C since the Fund began operations was $1.2909 (December 31, 2008) and the lowest was $0.9467 (August 31, 2007). The highest month-end Net Asset Value per Unit for Class D since the Fund began operations was $1.4789 (December 31, 2010) and the lowest was $1.0212 (August 31 2007).The highest month-end Net Asset Value per Unit for Class I since the Fund began Operations was $1.3265 (December 31, 2010) and the lowest was $0.9500 (August 31, 2007). The highest month-end Net Asset Value per Unit for Class D1 since the Fund began operations was $1.3199 (December 31, 2010) and the lowest was $0.9113 (August 31, 2007) . The highest month-end Net Asset Value per Unit for Class DA since the Fund began Operations was $1.0282 (December 31, 2008) and the lowest was $0.9460 (July 31, 2009).

(b) Financial Information about Segments:

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool”. The Fund does not engage in sales of goods or services.

General

The Fund may invest in seven separate funds which trade in the futures and forward markets with the objective of achieving substantial capital appreciation

The investment objective of the Fund is to achieve superior risk-adjusted rates of return through a “single strategy-type” fund of funds approach focusing on, but not limited to, trend-following managed futures

strategies. Under the direction of MLAI, the Fund will seek to achieve this objective by allocating its capital among a group of Portfolio Funds managed by the Portfolio Funds’ respective Trading Advisors (“Trading Advisors”) which, MLAI believes, collectively have the ability to achieve substantial capital appreciation with controlled performance volatility and draw downs.

Systematic trading generally assumes that a disciplined quantitative analysis of historical and contemporaneous market information without discretionary decision making can enable a trader to forecast price action in term of trends or other market dynamics and to take positions designed to profit from it. These systems can incur substantial losses when the market significantly deviates from its usual historical patterns, e.g. when weather-related catastrophes, international political disruptions, and unanticipated supply/demand imbalances unexpectedly dominate the market. Systematic trading systems share basic similarities, although the models which they apply to historical price data differ. Such similarities imply that there will be certain market conditions which are likely to be adverse to all or substantially all of the Portfolio Funds in the Fund’s portfolio.

Systematic trading strategies are speculative and involve substantial risk. By operating the Fund as a “fund of funds” and investing in a number of different Portfolio Funds, MLAI will attempt to mitigate the volatility and certain other risks of investing in a single Portfolio Fund. While diversifying among different Trading Advisors of the Fund involves the risk of one manager’s loss frequently offsetting another’s profits, this same offsetting effect also typically reduces overall performance volatility, potentially producing a risk/return profile for the Fund that may be more consistent with the portfolio objectives of certain investors than investing in a single Portfolio Fund.

The Portfolio Funds in which the Fund may invest as of December 31, 2010 are: ML Altis FuturesAccess LLC (the “Altis Fund”), ML Aspect FuturesAccess LLC (the “Aspect Fund”), ML BlueTrend Futures (the “BlueTrend Fund”), ML John Locke FuturesAccess LLC (the “John Locke Fund”), ML Transtrend DTP Enhanced FuturesAccess LLC (the “Transtrend Fund”) ML Tudor Tensor FuturesAccess LLC (the “Tudor Fund”) and ML Winton FuturesAccess LLC (the “Winton Fund”). The Fund had a position in ML Chesapeake FuturesAccess LLC (the “Chesapeake Fund”) which liquidated January 31, 2010. Each underlying fund has its own Trading Advisor. MLAI, the sponsor and manager of the Fund, may in its discretion, change the Portfolio Funds at any time. MLAI, also at it discretion may vary the percentage of the Fund’s total portfolio allocated to the different Portfolio Funds. There is no pre-established range for the minimum and maximum allocations that may be made to any given Portfolio Fund.

( a ) ML Systematic Momentum FuturesAccess LLC currently invests in the following underlying Portfolio Funds which are advised, respectively, by the trading advisors (“Trading Advisors”) as indicated below:

Portfolio Funds		Trading Advisors

ML Altis FuturesAccess LLC		Altis Partners (Jersey) Limited
(the “Altis Fund”)		(“Altis”)
ML Aspect FuturesAccess LLC		Aspect Capital Limited
(the “Aspect Fund”)		(“Aspect”)
ML Chesapeake FuturesAccess LLC**		Chesapeake Capital Corporation
(the “Chesapeake Fund”)		(“Chesapeake”)
ML Transtrend DTP Enhanced FuturesAccess LLC		Transtrend B.V.
(the “Transtrend Fund”)		(“Transtrend”)
ML Winton FuturesAccess LLC		Winton Capital Management Limited
(the “Winton Fund”)		(“Winton”)
ML John Locke FuturesAccess LLC		John Locke Investments SA
(the “John Locke Fund”)		(“John Locke”)
ML BlueTrend FuturesAccess LLC		BlueCrest Capital Management, L.P.
(the “BlueTrend Fund”)		(“BlueTrend”)
ML GSA FuturesAccess LLC*		GSA Capital Partner, LLP
(the “GSA Fund”)		(“GSA”)
ML Tudor Tensor FuturesAccess LLC		Tudor Investment Corporation
(the “Tudor Fund”)		(“Tudor”)

* GSA Fund Liquidated as of May 2009

* Chesapeake Fund Liquidated as of January 2010

( b ) The allocation percentages of Systematic Momentum FuturesAccess LLC investment in the underlying Portfolio Funds as of December 31, 2010 is as follows:

ML Altis FuturesAccess LLC	12.83	%
ML Aspect FuturesAccess LLC	9.87	%
ML Transtrend FuturesAccess LLC	17.77	%
ML Winton FuturesAccess LLC	17.77	%
ML John Locke FuturesAccess LLC	13.82	%
ML Bluetrend FuturesAccess LLC	15.11	%
ML Tudor Tensor FuturesAccess LLC.	12.83	%

(c) Each of the Portfolio Funds is managed by MLAI. Each Trading Advisor has entered into an Advisory Agreement with the relevant Portfolio Fund and MLAI. MLAI and/or the Portfolio Fund may terminate the relevant Advisory Agreement with the Trading Advisor but will not retain any other Trading Advisor, although MLAI may dissolve the Portfolio Fund at any time. The trading strategies and investment objectives of each of the Portfolio Funds are described below.

As used herein, references to the Fund’s (i) trading activities, (ii) trading advisors, (iii) custody of assets arrangements and (iv) accounts refer to such activities, trading advisors, arrangements and accounts of the Portfolio Funds through which the Fund invests, as applicable.

Employees

The Fund has no Employees.

Portfolio Funds

Altis Fund

Trading Strategies and Investment Objectives

The Altis Fund and MLAI have entered into an Advisory Agreement with Altis where by Altis will trade in the international futures and forwards markets pursuant to the Global Futures Portfolio (the “Altis Trading Program”).

The Altis Fund is only available to Investors via indirect investment through Systematic Momentum FuturesAccess Fund and operates as a vehicle to enable Merrill Lynch clients indirectly to access the Altis Trading Program with a substantially smaller minimum investment than is generally available to other persons opening managed accounts with Altis. It is a systematic, automated trading program that builds on the market experience of Altis’ principals and employs a unique proprietary advanced asset allocator (the “Advanced Asset Allocator”). The Advanced Asset Allocator was specifically developed to manage portfolios of derivative instruments in a robust and scalable manner. The portfolio management technology combines original, traditional and contrasting investment techniques into one complete and comprehensive trading system. Investment changes are implemented after considering their effect on the whole portfolio, not just the individual markets concerned. The Altis Trading Program is designed to give investors participation in broad sectors of the world economy.

Markets

The Altis Trading Program Portfolio participates in over 140 worldwide futures markets over multiple maturities. The Altis Trading Program trades in financial and commodity markets worldwide. Types of instruments traded include, but are not limited to, energies, metals, grains and livestock. The Altis Trading Program will also trade commodity indices, stock indices, currencies, foreign exchange and other related futures and/or option contracts.

Aspect Fund

Trading Strategies and Investment Objectives

The Aspect Fund and MLAI have entered into an Advisory Agreement with Aspect whereby Aspect will trade in the international futures and forwards markets pursuant to the Aspect Diversified Program (the “Aspect Trading Program”).

The Aspect Trading Program, which Aspect has traded since December 1, 1998, is a fully systematic and broadly diversified global trading system that deploys multiple trading strategies that, primarily through the use of listed futures and foreign exchange over-the-counter derivative contracts, seek to identify and exploit directional moves in market behavior of a broad range of global financial instruments and other assets including (but not limited to) bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities (including some emerging market currencies and stock indices). By maintaining comparatively small exposure to any individual market and maintaining positions in a variety of contracts, the aim is to achieve long-term diversification. Market concentration varies according to the strength of signals, volatility and liquidity, amongst other factors.

The core objectives of the Aspect Trading Program are to: (i) produce strong medium-term capital growth; (ii) seek and exploit profit opportunities in both rising and falling markets using a disciplined quantitative and systematic investment process; (iii) seek long-term diversification away from overall movements in traditional bond and stock markets and thereby play a valuable role in enhancing the risk/return profile of traditional investment portfolios; and (iv) minimize risk by operating in a diverse range of markets and sectors using a consistent investment process that adheres to pre-defined and monitored risk limits and determines market exposure in accordance with factors including (but not limited to) market correlation, volatility, liquidity and the cost of market access.

Aspect retains the right to develop and make changes to the Aspect Trading Program at its sole discretion.

Markets

Aspect’s trading involves the speculative trading of foreign exchange over-the-counter derivative contracts and exchange traded futures contracts. The Aspect Fund trades on a variety of United States and foreign futures exchanges.

Bluetrend Fund

Trading Strategies and Investment Objectives

The Bluetrend Fund and MLAI have entered into an Advisory Agreement with Bluetrend whereby Bluetrend trades in the international futures and forwards markets pursuant to Bluetrend’s Program (the “Bluetrend Trading Program”).

BlueTrend seeks to achieve long-term appreciation in the value of its assets and to maintain an exceptional risk/return ratio by focusing on continuous research and development. The BlueTrend Program’s systematic research team combines research, model development, implementation and execution functions. It also leverages BlueCrest’s market expertise in all areas of its activity, which is designed to enable the program to have a unique competitive edge in this sector. BlueTrend FuturesAccess’ portfolio construction is regularly reviewed with a view to achieving its goal of delivering superior returns while maintaining diversity.

BlueCrest is a systematic trend follower, but its decision-making inputs are 100% technical. BlueCrest aims to apply scientific techniques to the analysis and modeling of markets, thereby seeking to deliver reliable trading systems with absolute returns and superior risk and rewards. BlueTrend FuturesAccess trades daily futures across 150+ markets in equity indexes, fixed income, foreign exchange, energy, metals, agriculturals and soft commodities. The reference price of the transaction and the daily mark to market are based on the relevant futures contract settlement price set by the exchange.

Bluetrend has the right to employ any form or method of technical analysis that it deems appropriate in trading the Bluetrend Trading Program.

Markets

BlueTrend trades daily futures across 150+ markets in equity indexes, fixed income, foreign exchange, energy, metals, agriculturals and soft commodities

John Locke Fund

Trading Strategies and Investment Objectives

The John Locke Fund and MLAI have entered into an Advisory Agreement with John Locke whereby John Locke will trade in the international futures and forwards markets pursuant to the JLI Systematic Program (the “John Locke Trading Program”).

The John Locke Fund is only available to Investors via indirect investment through Systematic Momentum FuturesAccess Fund and operates as a vehicle to enable Merrill Lynch clients indirectly to the John Locke Trading Program with a substantially smaller minimum investment than is generally available to other persons opening managed accounts with John Locke.

The John Locke Trading Program’s investment objective is to achieve substantial long-term capital appreciation while offering an efficient diversified investment vehicle trading in futures contracts and forward markets as an alternative to traditional assets such as bonds, equities or real estate. Within a very strict risk management policy, the investment program will get long, short or neutral exposure to the main world markets by systematically trading a large portfolio of futures contracts and forward markets. Investment decisions are purely

technical and involve tick-by-tick and daily market data processing. Sophisticated risk control tools such as real-time Value At Risk (“VaR”) evaluation will allow a secure use of leverage.

The cornerstone of the John Locke Trading Program’s investment process is a disciplined investment approach based on the systematic application of computerized trading strategies, qualified within a quantified risk management framework. The strategies are purely technical, based on in-depth analysis of market price movements.

Markets

John Locke’s Trading Program system tracks the daily price movements from more than 40 markets around the world, and carries out computations to determine the positions and orders in each instrument on each day. If rising prices are anticipated, a long position would be established; if prices are expected to fall, a short position is the appropriate way to realize a profit. In order to seek to optimize the risk/return ratio, the strategies implemented make use of a multidimensional diversification approach. Under this approach, a variety of commodity interests, futures and other financial instruments are employed in the primary economic sectors in markets located across broad geographic zones.

Transtrend Fund

Trading Strategies and Investment Objectives

Transtrend Fund and MLAI have entered into an Advisory Agreement with Transtrend whereby Transtrend trades in the international futures and forwards markets pursuant to the Diversified Trend Program - Enhanced Risk Profile (USD) (the “Transtrend Trading Program”). The Diversified Trend Program has two risk profiles: the Standard Risk Profile and the Enhanced Risk Profile, investable in various currencies. The Enhanced Risk Profile is approximately 1.5 times the leverage of the Standard Risk Profile.

The applied principles of risk management play a dominant role in Transtrend’s trading methodology. The Transtrend Trading Program is designed to pursue capital growth within the limits of a defined risk tolerance. The Transtrend Trading Program is entirely based on quantitative analysis of signaled price behavior of outright markets and of intra-market and/or inter-market combinations of the instruments concerned, and therefore not on fundamental analysis.

The Transtrend Trading Program may enter into both long and short positions in any of the instruments involved, or it may have no position. Long and short positions are likely to be leveraged and unhedged and/or uncovered. The degree of leverage is implicitly determined by the risk/reward profile selected by the Transtrend Fund. The degree of leverage can be expressed as the number of contracts traded or held in position per million U.S. dollar under management.

The Transtrend Trading Program is systematic by nature and requires a consistent application. Therefore, discretionary inputs are not essential to the effectiveness of the Transtrend Trading Program. Exceptional market circumstances of the observed past, both favorable and unfavorable, are integrally reflected in the presented performance profile of the Transtrend Trading Program. While Transtrend generally will not use discretionary inputs in trading client accounts, in the event of exceptional market circumstances Transtrend may use discretion in an attempt to limit risk to a position or an account. The use of discretion by Transtrend may have a positive or negative impact on performance of the Transtrend Fund.

Transtrend has the right to employ any form or method of technical analysis that it deems appropriate in trading the Transtrend Trading Program.

Markets

Transtrend trades the following instruments on U.S. and non-U.S. exchanges and markets: (a) futures, options, options on futures, and forward contracts on currencies, interest rates, interest rate instruments, commodities, individual stocks, stock indices and other indices; and (b) spot currencies, in all cases ((a) and (b))

traded on regulated markets and/or OTC markets. Transtrend does not, however, currently trade futures, options, options on futures or forward contracts on individual stocks for the Transtrend Fund. Over time, the underlying values of futures, options, options on futures and forward contracts traded may also include other economic variables which are now or may hereafter become the subject of organized futures, options or forward trading. Over time, the instruments that Transtrend trades may also include swaps or other derivative, margined instruments, in each case traded on regulated and/or OTC markets.

Tudor Fund

Trading Strategies and Investment Objectives

The Tudor Fund and MLAI have entered into an Advisory Agreement with Tudor whereby Tudor will trade in the international futures and forwards markets pursuant to the Tudor Tensor Strategy (the “Tudor Tensor Trading Program”).

The Tudor Funds strategy investment objective is to achieve capital appreciation by employing quantitative investment strategies in leveraged trading and investing in exchange traded futures contracts on currencies, fixed income instruments, stock indices and commodities, as well as over-the-counter foreign currency spot contracts. Tudor seeks to achieve this objective by directing the Tudor Tensor Trading Program strategy’s trading and investment on U.S. and non-U.S.exchanges and markets.

The Tudor Tensor Trading Program employs a number of computerized mathematical trading systems, or models, involving exchange-traded futures contracts on currencies, fixed income instruments, equity indices and commodities, as well as over-the-counter foreign currency spot contracts. These systems, when applied to market data, produce computer-generated trading signals on a largely automated basis. The systems base their investment decisions on a variety of algorithms that analyze, among other factors, historical prices and economic data in order to identify patterns or trends, predict future price direction or identify relative value opportunities.

Markets

The Tudor Tensor FuturesAccess Strategy generally trades futures and over-the-counter foreign currency instruments whose underlying instruments are one or more of the following: currencies, fixed income, stock indices and commodities. Average holding periods for each system generally range from a few days to several months.

Winton Fund

Trading Strategies and Investment Objectives

The Winton Fund and MLAI have entered into an Advisory Agreement with Winton whereby Winton trades in the international futures and forwards markets pursuant to the Winton Diversified Program (the “Winton Trading Program”).

The investment objective of the Winton Trading Program is to achieve long-term capital appreciation through compound growth. Winton seeks to achieve this goal by pursuing a diversified trading scheme that does not rely upon favorable conditions in any particular market, or on market direction.

The Winton Trading Program seeks to combine highly liquid financial instruments offering positive but low Sharpe ratios, meaning that profits have been achieved with a certain level of risk and generally low correlation over the long term to other markets such as equities and fixed income.

The Winton Trading Program employs what is traditionally known as a “systematic” approach to trading financial instruments. In this context, the term “systematic” implies that the vast majority of the trading decisions are executed, without discretion, either electronically or by a team responsible for the placement of orders, based upon the instructions generated by the Winton Computer Trading System. A majority of the trades in the Winton Trading Program are executed electronically. The Winton Trading Program blends short-term trading with long-term trend following, using multiple time frames in addition to multiple models. As its name implies, the

Winton Trading Program seeks to allocate for maximum diversification. A sophisticated system of risk management is used in the Winton Trading Program.

Winton’s trading principals may decide that external events fall entirely outside the scope of the research upon which the Winton Trading Program is based and may determine to exercise some discretion rather than follow the dictates of the system.

Markets

Winton trades in a variety of liquid U.S. and non-U.S. futures and forward contracts, including agricultural, currencies, energy, interest rates, metals and stock indices. The Winton Fund trades on a variety of United States and foreign futures exchanges. The Winton Trading Program’s portfolio consists mainly of positions in the following futures markets: stock indices; bonds; short-term interest rates; currencies; precious and base metals; grains; livestock; energy and agricultural products. In addition, the Winton Trading Program may trade in certain over-the-counter instruments, such as, but not limited to, forward contracts on foreign exchange and interest rates and swaps. In addition, the Winton Trading Program may trade in government securities such as bonds and other similar instruments.

Use of Proceeds and Cash Management Income

Subscription Proceeds

The Fund’s cash is used as security for and to pay the Fund’s trading losses as well as its expenses and redemptions. The primary use of the proceeds of the sale of the Units is to permit the Portfolio Funds to trade on a speculative basis in a wide range of different futures and forwards markets on behalf of the Fund (through the Portfolio Funds). While being used for this purpose, the Fund’s assets are also generally available for cash management, as more fully described below under “Cash Assets”.

Market Sectors

The respective advisors of the Portfolio Funds apply their proprietary systems to a broadly-diversified portfolio of futures and forward markets.

The Portfolio Funds’ commitments to different types of markets — U.S. and non-U.S., regulated and non-regulated — differ substantially from time to time, as well as over time. The Portfolio Funds have no policy restricting its relative commitment to any of these different types of markets.

Market Types

The Portfolio Funds trade on a variety of United States and foreign futures exchanges as well as “over the counter”. Substantially all of the Portfolio Funds’ off-exchange trading takes place in the highly liquid, institutionally-based currency forward markets.

Many of the Portfolio Funds’ currency trades are executed in the spot and forward foreign exchange markets (the “FX Markets”) where there are no direct execution costs. Instead, the participants, banks and dealers in the FX Markets take a “spread” between the prices at which they are prepared to buy and sell a particular currency and such spreads are built into the pricing of the spot or forward contracts with the Portfolio Funds.

Custody of Assets

Substantially, all of the Portfolio Funds’ assets are currently held in one or more Commodity Futures Trading Commission (“CFTC”) regulated customer accounts at MLPF&S or at a fund managed by an affiliated entity as discussed below.

Cash Assets

Each Portfolio Fund will generally earn interest, as described below, on its “Cash Assets”, which can be generally described as the cash actually held by the Portfolio Fund plus its “open trade equity” (unrealized gain and loss marked to market daily on open positions of the Portfolio Funds). Cash Assets are held primarily in U.S. dollars, and to a lesser extent in foreign currencies, and are comprised of each Portfolio Funds’ cash balances held in the offset accounts (as described below) — which include “open trade equity” (unrealized gain and loss on open positions) on United States futures contracts, which is paid into or out of the Portfolio Funds’ account on a daily basis; the Portfolio Funds’ cash balance in foreign currencies derived from their trading in non-U.S. dollar denominated futures and options contracts, which includes open trade equity on those exchanges which settle gains and losses on open positions in such contracts prior to closing out such positions. Cash Assets do not include and the Portfolio Funds do not earn interest income on the Portfolio Funds’ gains or losses on its open forward, commodity option and certain foreign futures positions since such gains and losses are not collected or paid until such positions are closed out.

The Portfolio Funds’ Cash Assets may be greater than, less than or equal to the Portfolio Funds’ Net Asset Value (on which the redemption value of the Units is based) primarily because Net Asset Value reflects all gains and losses on open positions as well as accrued but unpaid expenses.

Interest Earned on the Fund’s U.S. Dollar Cash Assets

Certain of each FuturesAccess Fund’s U.S. dollar “Cash Assets” are held by MLPF&S in customer segregated accounts and primarily invested in CFTC-eligible investments (including, without limitation, commercial paper, U.S. government and government agency securities, prime non-U.S. government securities, corporate notes and money market funds). Cash Assets may also be maintained in “offset accounts” at major U.S. banks, interest bearing savings accounts maintained with major U.S. banks unaffiliated with Merrill Lynch and/or money market investment funds that are managed by third party managers, including affiliates of Merrill Lynch.

Offset accounts are non-interest bearing demand deposit accounts maintained with banks unaffiliated with Merrill Lynch. MLPF&S may in the future elect to maintain accounts of this nature with one or more of its affiliates. Offset account deposits reduce Merrill Lynch’s borrowing costs with such banks. An integral feature of the offset arrangements is that the participating banks specifically acknowledge that the offset accounts are for the benefit of MLPF&S’ customers, not subject to any Merrill Lynch liability.

To the extent that Cash Assets are placed with affiliates of Merrill Lynch, Merrill Lynch indirectly receives certain economic benefits and therefore has a conflict of interest in selecting such third parties. For example, Merrill Lynch may invest in money market funds managed by BlackRock, Inc. or its affiliates (“BlackRock”). Merrill Lynch is a stockholder in BlackRock and, therefore, potentially benefits from its economic interest in BlackRock whenever BlackRock receives compensation for managing Cash Assets invested in money market investment funds managed by BlackRock.

Interest Paid by Merrill Lynch on Non-U.S. Dollar Cash Assets

Each Portfolio Fund will generally earn interest, as described below, on its Cash Assets, which can be generally described as the cash actually held by such Portfolio Fund, plus its “open trade equity” (unrealized gain and loss marked to market daily on open positions). Cash Assets are held primarily in U.S. dollars, and to a lesser extent in non-U.S. currencies, and comprise the following: (a) each Portfolio Fund’s cash balances, plus open trade equity on U.S. futures; and (b) each Portfolio’s cash balances held in non-U.S. currencies as a result of realized profits and losses derived from its trading in non-U.S. dollar-denominated futures and options contracts, plus open trade equity on those exchanges which settle gains and losses on open positions in such contracts prior to closing out such positions. Cash Assets do not include, and the Portfolio Funds do not earn interest income on, the Portfolio Funds’ gains or losses on their open forward, commodity option and certain non-U.S. futures positions as such gains and losses are not collected or paid until such positions are closed out.

Each Portfolio Fund’s Cash Assets may be greater than, less than or equal to such Portfolio Fund’s Net Asset Value (on which the redemption value of the Units is based) primarily because Net Asset Value reflects all gains and losses on open positions as well as accrued but unpaid expenses.

MLPF&S intends to pay interest on the Portfolio Funds’ Cash Assets (irrespective of how such Cash Assets are held or invested) at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates, from time to time, although the actual rate paid to Portfolio Funds may be lower. In no event, however, will the rate so paid on such Cash Assets be less than 75% of such prevailing rate. MLPF&S retains the additional economic benefit derived from possession of the Portfolio Funds’ Cash Assets.

MLPF&S, in the course of acting as commodity broker for the Portfolio Funds, lends certain currencies to, and borrows certain currencies from, the Portfolio Funds. In the course of doing so, MLPF&S both retains certain amounts of interest and receives other economic benefits. In doing so, MLPF&S follows its standard procedures (as such procedures may change over time) for paying interest on the assets of the commodity pools sponsored by MLAI and other MLPF&S affiliates and traded through MLPF&S.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2010, 2009 and 2008.

	2010				2009				2008
Charges	Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets
Other Expenses	$	1,451,397	0.19	%	$	1,066,617	0.14	%	$	632,387	0.18	%
Sponsor fees	18,769,349		2.43	%	14,993,578		1.94	%	6,953,728		1.97	%
Total	$	20,220,746	2.62	%	$	16,060,195	2.08	%	$	7,586,115	2.15	%

The foregoing table does not reflect the bid-ask spreads paid by the Portfolio Funds on their forward trading, or the benefits which may be derived by Merrill Lynch from the deposit of certain of the Portfolio Funds’ U.S. dollar assets maintained at MLPF&S.

Management fees and performance fees are not included in the above table of charges, because the Fund does not charge management fees or performance fees, but instead charges a “sponsor fee” which is set forth in the table. While the Trading Advisors to the Portfolio Funds in which the Fund invests do charge management fees and performance fees, these are not included in the table since such fees are not Fund expenses. However, such management fees and performance fees reduce the Net Asset Value of the Fund’s underlying investment in each Portfolio Fund.

Each Portfolio Fund pays the relevant Trading Advisor applicable performance fees and management fees. As an investor in the Portfolio Funds, the Fund’s investment in the Portfolio Funds is therefore reduced by the performance fees and management fees paid by the Portfolio Fund to the Trading Advisor. As a result, the Fund’s returns are decreased by the performance and management fees paid by the Portfolio Funds. The Portfolio Funds generally pay the performance fees and management fees out of the cash held by them, although such fees can be paid by liquidating Portfolio Fund assets. The performance fees and management fees are not charged directly to the Fund or its members.

The Fund’s average month-end Net Asset Values during 2010, 2009 and 2008 equaled $931,310,433, $772,699,779 and $352,254,725, respectively.

During 2010, the Fund earned $3,003 in interest income, or approximately 0.0003 % of the Fund’s average month-end Net Asset Values. During 2009, the Fund earned $100,827 in interest income, or approximately 0.012 % of the Fund’s average month-end Net Asset Values . During 2008, the Fund earned $97,972 in interest income, or approximately 0.028% of the Fund’s average month-end Net Asset Values .

Description of Current Charges

Recipient	Nature of Payment	Amount of Payment
MLPF&S	Use of assets	Merrill Lynch may derive an economic benefit from the deposit of certain of the Portfolio Funds’ U.S. dollar assets in accounts maintained at MLPF&S.

MLAI	Sponsor Fees	A flat-rate monthly charge of 0.125% of 1% (1.50% annual rate) on Class A units, flat-rate monthly charge of 0.2083 of 1% (2.50% annual rate) on Class C units, a flat-rate monthly charge of 0.0917 of 1% (1.10% annual rate) on Class I units (including the monthly interest credit and before reduction for accrued month end redemptions, distributions, brokerage commissions, sponsor fees, management fees in each case as of the month of determination. Class D, D1 and DA do not pay a sponsor fee.

MLPF&S	Sales Commissions	Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are deducted from proceeds prior to entering the fund. Shares purchased and reflected in the fund records are net of any commissions charged by MLPF&S. Class C, D1 and DA Units are not subject to any sales commission.

Merrill Lynch International Bank (“MLIB”) (or an affiliate); Other counterparties	Bid—ask spreads	Bid—ask spreads are not accounted for separately as an accounting item because bid-ask spreads are an integral part of the price paid or received on all contracts for generally accepted accounting principles.

MLIB (or an affiliate); Other counterparties	EFP differentials	Certain of the Portfolio Funds’ currency trades may be executed in the form of “exchange of futures for physical” transactions, in which a counterparty (which may be MLIB or an affiliate) receives an additional “differential” spread for exchanging the Fund’s cash currency positions for equivalent futures positions.

Others	Operating expense of Fund including audit, legal and tax services	Actual payments to third parties.

MLPF&S; Others	Brokerage Commissions	The aggregate brokerage commissions charges should equal approximately 0.50% per annum of each of the Portfolio Funds’ average month-end asset.

Portfolio Funds Advisors and MLAI	Management fees	A flat monthly charge of 0.1667 of 1% of the Portfolio Funds’ month-end assets (a 2% annual rate). MLAI receives certain percentage of the management fees paid by the Portfolio Funds’ from the advisors.

Portfolio Funds Advisors and MLAI	Annual Performance Fees	Portfolio Funds receive 20% to 25% of their New Trading Profits, as performance fees. For Certain Portfolio Funds MLAI receives 25% of the 20% or 25% performance fee. “New Trading Profits” equal any increase in the Net Asset Value of the Fund, prior to reduction for any accrued performance fee, as of the current performance fee calculation date over the Fund’s “High Water Mark.” The “High Water Mark” attributable to the Fund equals the highest Net Asset Value after reduction for the performance fee then paid, as of any preceding performance fee calculation date. Net Asset Value, solely for purposes of calculating the performance fee, does not include any interest income earned by the Fund.

Regulation

The CFTC has delegated to the National Futures Association responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons, and “floor brokers” and “floor traders.” The Commodity Exchange Act requires commodity pool operators such as MLAI, commodity trading advisors such as the Portfolio Funds Trading Advisor and commodity brokers or futures commission merchants (“FCMs”) such as MLPF&S to be registered and to comply with various reporting and record keeping requirements. CFTC regulations also require FCMs to maintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by each of the Portfolio Fund’s respective Trading Advisors will be combined for position limit purposes. The Trading Advisor could be required to liquidate positions in order to comply with such limits. Any such liquidation could result in substantial costs to the Fund. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses. Currency forward contracts currently are not subject to regulation by any U.S. government agency.

Other than in respect of the registration requirements pertaining to the Fund’s securities under Section 12(g) of the Securities Exchange Act of 1934, the Fund is generally not subject to regulation by the Securities and Exchange Commission (the “SEC”). However, MLAI itself is registered as an “investment adviser” under the Investment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the Financial Industry Regulatory Authority (“FINRA”).

(d) Financial Information about Geographic Areas

The Portfolio Funds do not engage in material operations in foreign countries, nor is a material portion of the Fund’s revenue derived from customers in foreign countries.

The Portfolio Funds may trade on a number of foreign commodity exchanges. The Portfolio Funds and the Fund do not engage in the sales of goods or services.

Item 1A: Risk Factors

Past Performance Not Necessarily Indicative of Future Results

Past performance is not necessarily indicative of future results. The Trading Advisors’ past performance may not be representative of how they may trade in the future for the Portfolio Funds.

Volatile Markets; Highly Leveraged Trading

Futures and forward trading is highly leveraged, and market price levels are volatile and materially affected by unpredictable factors such as weather and governmental intervention. The combination of leverage and volatility creates a high degree of risk.

Importance of General Market Conditions

Overall market or economic conditions — which neither MLAI nor the Trading Advisors can predict or control — have a material effect on the performance of any managed futures strategy.

Possibility of Additional Government or Market Regulation

Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies during recent years have led to increased governmental as well as self-regulatory scrutiny of the alternative investment funds industry in general. In addition, certain legislation proposing greater regulation of the industry periodically is considered by the U.S. Congress, as well as the governing bodies of foreign jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Fund, MLAI, the markets in which they trade and invest or the counterparties with which they do business may be instituted in the future. Any such regulation could have a material adverse impact on the profit potential of the Fund, as well as require increased transparency as to the identity of the Fund’s members.

Forward Trading

The Portfolio Funds will trade in the forward markets, in addition to trading in the future markets. None of the CFTC, the NFA, futures exchanges nor banking authorities currently regulates the forward markets, and accordingly such markets are not subject to the breadth of regulation applicable to futures markets. The forward markets are over-the-counter, non-exchange traded markets, and in trading in these forward markets, the Portfolio Funds will be dependent on the credit standing of the counterparties with which they trade, without the financial support of any clearinghouse system, as well as on the continued operation of the counterparties. This results in the risk that a counterparty may not settle a transaction with the Portfolio Fund in accordance with its terms, because the counterparty is either unwilling or unable to do so, for example, because of a credit or liquidity problem affecting the counterparty, potentially resulting in significant loss. In addition, the prices offered for the same forward contract may vary significantly among different forward market participants. Forward markets counterparties are under no obligation to enter into forward transactions, including transactions through which the Portfolio Funds are attempting to liquidate open positions.

Effects of Speculative Position Limits

The CFTC and the U.S. commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. For example, the CFTC currently imposes speculative position limits on a number of agricultural commodities (e.g., corn, oats, wheat, soybeans and cotton). All commodity accounts controlled by the Trading Advisor and its principals and their affiliates are combined for speculative position limit purposes. The Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or limited implementation could result in substantial costs to the Fund.

Regulatory Change Could Restrict the Fund’s Operations

The Portfolio Funds implement speculative, highly leveraged strategies. From time to time there is governmental scrutiny of these types of strategies and political pressure to regulate their activities. The CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of futures, forward and option transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. In addition, several U.S. legislators and the CFTC have expressed the concern that speculative futures traders, and commodity funds in particular, may be responsible for unwarranted and dramatic swings in the prices of commodities. Non-U.S. governments have from time to time blamed the declines of their currencies on speculative currency trading and imposed restrictions on speculative trading in certain markets.

Regulatory changes could adversely affect the Portfolio Funds by restricting their markets, limiting their trading and/or increasing the taxes to which investors are subject. Adverse regulatory initiatives could develop suddenly and without notice.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was enacted in July 2010. The Reform Act includes provisions that comprehensively regulate the over-the-counter derivatives markets for the first time. The Reform Act requires that a substantial portion of over-the-counter derivatives be executed in regulated markets and submitted for clearing to regulated clearinghouses. Those over-the-counter derivatives may include over-the-counter foreign exchange forwards and swaps which are traded by the Portfolio Fund, although the U.S. Treasury has the discretion to exclude foreign exchange forwards and swaps from certain of the new regulatory requirements. If these forwards and swaps are not so excluded, the Reform Act may require them to be cleared and may subject the Portfolio Fund, the Trading Advisor, the Sponsor and/or the Portfolio Fund’s counterparties to additional regulatory requirements including minimum initial and variation margin requirements, minimum capital requirements, registration with the SEC and/or the CFTC, new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens. Some or all of these requirements may apply even if forwards and swaps are excluded by the U.S. Treasury. These new regulatory burdens would further increase the dealers’ costs, which costs are expected to be passed through to other market participants such as the Portfolio Fund in the form of higher fees and less favorable dealer marks. They may also render certain strategies in which certain Trading Advisors might otherwise engage impossible, or so costly that they will no longer be economical, to implement.

Additionally, the Reform Act, under what is commonly referred to as the “Volcker Rule,” may restrict banking entities or their affiliates, such as MLAI and certain other financial entities, from (i) purchasing units or other ownership interests in, or sponsoring, hedge funds or private equity funds (such as the Fund), with the exception of maintaining a de minimis investment, subject to certain other conditions and/or exceptions, (ii) engaging in proprietary trading and (iii) certain transactions involving conflicts of interest. The regulations and interpretations with respect to the Reform Act have yet to be issued, and the full import of the Reform Act is not yet clear. Once such regulations are issued and become effective, MLAI may take certain actions that it determines, in its sole discretion, to be necessary or advisable to comply with the Reform Act. Such changes may include, but are not limited to, the complete or partial redemption or transfer of any Units held by MLAI and/or the compulsory redemption of U.S. persons from the Fund. These actions may have a material adverse effect on the Fund and investors.

Increased Assets Under Management

There appears to be a tendency for the rates of return achieved by managed futures advisors to decline as assets under management increase. The Trading Advisors have not agreed to limit the amount of additional equity which it may manage.

Trading Advisor Risk

The Fund is subject to the risk of the bad judgment, negligence or misconduct of the trading advisors. There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to Trading Advisor misconduct.

Changes in Trading Strategy

The Trading Advisors may make material changes in its trading strategies without the knowledge or seeking the approval of MLAI

Illiquid Markets

Certain positions held by the Portfolio Funds may become illiquid, preventing the Trading Advisors from acquiring positions otherwise indicated by its strategy or making it impossible for the Trading Advisors to close out positions against which the market is moving.

Certain futures markets are subject to “daily price limits,” restricting the maximum amount by which the price of a particular contract can change during any given trading day. Once a contract’s price has moved “the limit,” it may be impossible or economically non-viable to execute trades in such contract. From time to time, prices have moved “the limit” for a number of consecutive days, making it impossible for traders against whose positions the market was moving to prevent large losses.

Trading on Non-U.S. Exchanges

The Trading Advisors may trade extensively on non-U.S. exchanges. These exchanges are not regulated by any United States governmental agency. The Portfolio Funds and consequently the Fund could incur substantial losses trading on foreign exchanges to which they would not have been subject had the Trading Advisors limited their trading to U.S. markets.

The profits and losses derived from trading foreign futures and forwards will generally be denominated in foreign currencies; consequently, the Portfolio Funds will be subject to a certain degree of exchange-rate risk in trading such contracts.

Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Brokers and Exchanges

The Portfolio Funds are subject to the risk of the insolvency of their counterparties (such as broker-dealers, futures commission merchants, exchanges, clearinghouses, banks or other financial institutions, including MLPF&S). Consequently, losses to the Portfolio Fund could develop and substantially affect performance if insolvency of any of these counterparties occurs. The Portfolio Fund’s assets could be lost or impounded during a counterparty’s bankruptcy or insolvency proceedings and a substantial portion or all of the Portfolio Fund’s assets may become unavailable to it either permanently or for a matter of years. Were any such bankruptcy or insolvency to occur or were the threat of such bankruptcy or insolvency here to occur, MLAI might decide to liquidate the Portfolio Fund or suspend, limit or otherwise alter trading, perhaps causing the Portfolio Fund to miss significant profit opportunities. In connection with offshore futures and over-the-counter forward trading, there are increased risks in dealing with offshore brokers and unregulated trading counterparties, including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated brokers and dealers.

Item 1B: Unresolved Staff Comments

None.

Item 2: Properties

The Fund and the Portfolio Funds do not use any physical properties in the conduct of their business.

The Fund’s offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, Four World Financial Center, 10TH. Floor, 250 Vesey Street, New York, New York 10080). MLAI performs administrative services for the Fund from MLAI’s offices.

Item 3: Legal Proceedings

None

Item 4: Removed and Reserved

PART II

Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Item 5(a)

(a) Market Information:

There is no established public trading market for the Units, and none is likely to develop. Members may redeem Units on ten days written notice to MLAI as of the last day of each month at their Net Asset Value , subject to certain early redemption charges.

(b) Holders:

As of December 31, 2010, there were 10,729 holders of Units, none of whom owned 5% or more of the Fund’s Units.

Fund has not made and does not contemplate making any distributions on the Units.

(d) Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

(e) Performance Graph

Not applicable.

(f) Recent Sales of Unregistered Securities:

Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act. The selling agent of the following Class of Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	8,495,734	7,454,360	$	1.1397
Feb-10	4,599,449		4,167,678	1.1036
Mar-10	3,694,299		3,312,085	1.1154
Apr-10	3,799,299		3,251,154	1.1686
May-10	3,784,640		3,200,541	1.1825
Jun-10	3,752,517		3,278,166	1.1447
Jul-10	2,040,660		1,786,448	1.1423
Aug-10	1,956,322		1,739,881	1.1244
Sep-10	2,583,735		2,217,037	1.1654
Oct-10	2,243,234		1,880,961	1.1926
Nov-10	2,184,955		1,768,908	1.2352
Dec-10	4,073,395		3,397,044	1.1991
Jan-11	6,020,020		4,807,171	1.2523
Feb-11	2,081,630		1,687,854	1.2333

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	10,791,109	9,305,889	$	1.1596
Feb-10	13,643,857		12,160,300	1.1220
Mar-10	15,703,161		13,861,030	1.1329
Apr-10	17,633,870		14,868,356	1.1860
May-10	10,053,868		8,384,512	1.1991
Jun-10	14,059,848		12,122,650	1.1598
Jul-10	9,782,235		8,459,214	1.1564
Aug-10	13,292,208		11,686,485	1.1374
Sep-10	6,284,223		5,335,107	1.1779
Oct-10	6,913,630		5,740,787	1.2043
Nov-10	6,788,934		5,447,271	1.2463
Dec-10	12,247,903		10,131,444	1.2089
Jan-11	14,214,345		11,267,812	1.2615
Feb-11	14,904,609		12,007,258	1.2413

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	1,391,999	1,049,852	$	1.3259
Feb-10	990,000		770,128	1.2855
Mar-10	—		—	1.3008
Apr-10	391,999		287,284	1.3645
May-10	—		—	1.3825
Jun-10	899,998		671,641	1.3400
Jul-10	499,999		373,440	1.3389
Aug-10	89,886		68,116	1.3196
Sep-10	1,800,000		1,314,444	1.3694
Oct-10	8,999,997		6,414,366	1.4031
Nov-10	—		—	1.4551
Dec-10	—		—	1.4143
Jan-11	1,349,999		912,840	1.4789
Feb-11	999,999		685,729	1.4583

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	1,914,992	1,592,641	$	1.2024
Feb-10	3,819,726		3,279,579	1.1647
Mar-10	1,536,743		1,305,201	1.1774
Apr-10	1,209,894		980,465	1.2340
May-10	545,111		436,368	1.2492
Jun-10	1,328,479		1,098,280	1.2096
Jul-10	639,948		529,978	1.2075
Aug-10	904,659		760,857	1.1890
Sep-10	1,231,008		998,546	1.2328
Oct-10	302,167		239,454	1.2619
Nov-10	431,900		330,325	1.3075
Dec-10	1,938,391		1,526,653	1.2696
Jan-11	664,870		501,221	1.3265
Feb-11	580,495		444,211	1.3068

CLASS D1

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	—	—	$	1.1833
Feb-10	928,469		809,264	1.1473
Mar-10	—		—	1.1609
Apr-10	—		—	1.2178
May-10	254,285		206,083	1.2339
Jun-10	—		—	1.1959
Jul-10	—		—	1.1949
Aug-10	—		—	1.1777
Sep-10	—		—	1.2222
Oct-10	—		—	1.2522
Nov-10	1,270,605		978,442	1.2986
Dec-10	498,785		395,140	1.2623
Jan-11	—		—	1.3199
Feb-11	711,112		546,379	1.3015

(1) Beginning of the month Net Asset Value

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6: Selected Financial Data

The following selected financial data has been derived from the financial statements of the Fund.

Statement of Operations	For the year ended December 31, 2010			For the year ended December 31, 2009			For the year ended December 31, 2008			For the period April 2, 2007 (Commencement of operations) to December 31, 2007

Trading profit (loss)
Realized, net	$	16,360,846		$	(4,551,852	)	$	9,202,478		$	(560,037	)
Change in unrealized, net	92,218,885			(57,300,048		)	71,910,257			14,550,075
Total trading profit (loss)	108,579,731			(61,851,900		)	81,112,735			13,990,038

INVESTMENT INCOME:
Interest	3,003			100,827			97,972			3,827

EXPENSES:
Sponsor fees	18,769,349			14,993,578			6,953,728			485,354
Other	1,451,397			1,066,617			651,887			504,521
Total Expenses	20,220,746			16,060,195			7,605,615			989,875

NET INVESTMENT INCOME (LOSS)	(20,217,743		)	(15,959,368		)	(7,507,643		)	(986,048		)

NET INCOME (LOSS)	$	88,361,988		$	(77,811,268	)	$	73,605,092		$	13,003,990

Balance Sheet Data	December 31, 2010		December 31, 2009		December 31, 2008		December 31, 2007

Members’ Capital	$	1,027,411,886	$	868,301,244	$	678,698,088	$	120,224,077
Net Asset Value per Class A Unit	1.2523		1.1397		1.2561		1.0273
Net Asset Value per Class C Unit	1.2615		1.1596		1.2908		1.0664
Net Asset Value per Class D Unit	1.4789		1.3259		1.4379		1.1571
Net Asset Value per Class I Unit	1.3265		1.2024		1.3197		1.0752
Net Asset Value per Class D1 Unit	1.3199		1.1833		1.2847		1.0350
Net Asset Value per Class DA Unit	—		—		1.0282		—

See notes to financial statements

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and report performance to investors throughout the year is useful information for the Members of the Fund.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007		n/a		n/a		n/a		n/a		n/a		n/a	$	0.9588	$	0.9090	$	0.9705	$	1.0272	$	1.0093	$	1.0278
2008	$	1.0416	$	1.1508	$	1.1243	$	1.1183	$	1.1597	$	1.2164	$	1.1364	$	1.1075	$	1.1220	$	1.1807	$	1.2232	$	1.2561
2009	$	1.2473	$	1.2484	$	1.2081	$	1.1729	$	1.1861	$	1.1601	$	1.1456	$	1.1597	$	1.1737	$	1.1342	$	1.1797	$	1.1397
2010	$	1.1036	$	1.1154	$	1.1686	$	1.1825	$	1.1447	$	1.1423	$	1.1244	$	1.1654	$	1.1926	$	1.2352	$	1.1991	$	1.2523

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007		n/a		n/a		n/a		n/a		n/a	$	1.0432	$	0.9993	$	0.9467	$	1.0099	$	1.0680	$	1.0486	$	1.0668
2008	$	1.0803	$	1.1926	$	1.1642	$	1.1570	$	1.1988	$	1.2564	$	1.1727	$	1.1420	$	1.1559	$	1.2154	$	1.2581	$	1.2909
2009	$	1.2807	$	1.2808	$	1.2385	$	1.2014	$	1.2139	$	1.1863	$	1.1705	$	1.1839	$	1.1972	$	1.1559	$	1.2012	$	1.1596
2010	$	1.1220	$	1.1329	$	1.1860	$	1.1991	$	1.1598	$	1.1564	$	1.1374	$	1.1779	$	1.2043	$	1.2463	$	1.2089	$	1.2615

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007		n/a		n/a		n/a	$	1.0339	$	1.0719	$	1.1206	$	1.0757	$	1.0212	$	1.0916	$	1.1569	$	1.1381	$	1.1603
2008	$	1.1774	$	1.3025	$	1.2741	$	1.2689	$	1.3175	$	1.3836	$	1.2942	$	1.2629	$	1.2810	$	1.3497	$	1.4001	$	1.4396
2009	$	1.4312	$	1.4343	$	1.3898	$	1.3509	$	1.3679	$	1.3395	$	1.3244	$	1.3424	$	1.3603	$	1.3161	$	1.3706	$	1.3259
2010	$	1.2855	$	1.3008	$	1.3645	$	1.3825	$	1.3400	$	1.3389	$	1.3196	$	1.3694	$	1.4031	$	1.4551	$	1.4143	$	1.4789

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007		n/a		n/a		n/a		n/a		n/a	$	1.0444	$	1.0017	$	0.9500	$	1.0146	$	1.0743	$	1.0559	$	1.0756
2008	$	1.0905	$	1.2052	$	1.1779	$	1.1719	$	1.2157	$	1.2756	$	1.1920	$	1.1622	$	1.1777	$	1.2397	$	1.2848	$	1.3199
2009	$	1.3110	$	1.3126	$	1.2708	$	1.2341	$	1.2484	$	1.2214	$	1.2066	$	1.2219	$	1.2370	$	1.1957	$	1.2440	$	1.2024
2010	$	1.1647	$	1.1774	$	1.2340	$	1.2492	$	1.2096	$	1.2075	$	1.1890	$	1.2328	$	1.2619	$	1.3075	$	1.2696	$	1.3265

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D1

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007		n/a		n/a		n/a		n/a		n/a		n/a	$	0.9600	$	0.9113	$	0.9741	$	1.0324	$	1.0157	$	1.0356
2008	$	1.0508	$	1.1624	$	1.1371	$	1.1324	$	1.1758	$	1.2348	$	1.1550	$	1.1271	$	1.1432	$	1.2045	$	1.2495	$	1.2848
2009	$	1.2773	$	1.2800	$	1.2403	$	1.2057	$	1.2208	$	1.1955	$	1.1820	$	1.1981	$	1.2141	$	1.1746	$	1.2233	$	1.1833
2010	$	1.1473	$	1.1609	$	1.2178	$	1.2339	$	1.1959	$	1.1949	$	1.1777	$	1.2222	$	1.2522	$	1.2986	$	1.2623	$	1.3199

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DA

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2008		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a	$	1.0282
2009	$	1.0222	$	1.0244	$	0.9927	$	0.9649	$	0.9770	$	0.9568	$	0.9460	$	0.9588	$	0.9716		n/a		n/a	n/a

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS A UNITS) (5)

December 31, 2010

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: July 1, 2007

Aggregate Subscriptions $180,495,488

Current Capitalization: $137,682,539

Worst Monthly Drawdown(2): (6.58)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (12.13)% (January 2009 - January 2010)

Net Asset Value per Unit for Class A, December 31, 2010: $1.2523

Monthly Rates of Return (4)

Month	2010		2009		2008		2007
January	(3.17	)%	.70	%	1.34	%	—
February	1.07		0.09		10.48		—
March	4.77		(3.22	)	(2.29	)	—
April	1.19		(2.92	)	(0.54	)	—
May	(3.20	)	1.13		3.70		—
June	(0.21	)	(2.19	)	4.89		—
July	(1.57	)	(1.25	)	(6.58	)	(4.12	)%
August	3.65		1.23		(2.54	)	(5.19	)
September	2.33		1.21		1.31		6.76
October	3.57		(3.37	)	5.23		5.85
November	(2.92	)	4.01		3.60		(1.74	)
December	4.44		(3.39	)	2.69		1.83
Compound Annual Rate of Return	9.88	%	(9.27	)%	22.21	%	2.78	%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since July 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since July 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total equity of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit . The inception to date total return is 25.23%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS C UNITS) (5)

December 31, 2010

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: June 1, 2007

Aggregate Subscriptions: $857,074,580

Current Capitalization: $688,642,500

Worst Monthly Drawdown(2): (6.66)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (13.08)% (January 2009- January 2010)

Net Asset Value per Unit for Class C, December 31, 2010: $1.2615

Monthly Rates of Return (4)

Month	2010		2009		2008		2007
January	(3.24	)%	(.79	)%	1.27	%	—
February	0.97		0.01		10.40		—
March	4.69		(3.30	)	(2.38	)	—
April	1.10		(3.00	)	(0.62	)	—
May	(3.28	)	1.04		3.61		—
June	(0.29	)	(2.27	)	4.80		4.32	%
July	(1.64	)	(1.33	)	(6.66	)	(4.20	)
August	3.56		1.14		(2.62	)	(5.27	)
September	2.24		1.12		1.22		6.67
October	3.49		(3.45	)	5.15		5.76
November	(3.00	)	3.92		3.51		(1.82	)
December	4.35		(3.46	)	2.61		1.74
Compound Annual Rate of Return	8.79	%	(10.17	)%	21.00	%	6.68	%

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since June 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since June 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit . The inception to date total return is 26.15%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS D UNITS) (5)

December 31, 2010

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: April 2, 2007

Aggregate Subscriptions: $160,286,519

Current Capitalization: $50,284,160

Worst Monthly Drawdown(2): (6.46)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (10.70)% (January 2009-October 2010)

Net Asset Value per Unit for Class D, December 31, 2010: $1.4789

Monthly Rates of Return (4)

Month	2010		2009		2008		2007
January	(3.05	)%	(.58	)%	1.47	%	—
February	1.19		0.22		10.63		—
March	4.90		(3.10	)	(2.18	)	—
April	1.32		(2.80	)	(0.41	)	3.43	%
May	(3.07	)	1.26		3.83		3.64
June	(0.08	)	(2.08	)	5.02		4.54
July	(1.44	)	(1.13	)	(6.46	)	(4.00	)
August	3.77		1.36		(2.42	)	(5.07	)
September	2.46		1.33		1.43		6.90
October	3.71		(3.25	)	5.36		5.98
November	(2.80	)	4.14		3.73		(1.62	)
December	4.57		(3.26	)	2.82		1.96
Compound Annual Rate of Return	11.54	%	(7.90	)%	24.06	%	16.04	%

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since April 2, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since April 2, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit . The inception to date total return is 47.89%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS I UNITS) (5)

December 31, 2010

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: June 1, 2007

Aggregate Subscriptions: $138,034,615

Current Capitalization: $103,872,241

Worst Monthly Drawdown(2): (6.55)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (11.74)% ( January 2009-December 2010)

Net Asset Value per Unit for Class I, December 31, 2010: $1.3265

Monthly Rates of Return (4)

Month	2010		2009		2008		2007
January	(3.14	)%	(0.67	)%	1.39	%	—
February	1.09		0.12		10.52		—
March	4.81		(3.18	)	(2.27	)	—
April	1.23		(2.89	)	(0.51	)	—
May	(3.17	)	1.16		3.74		—
June	(0.17	)	(2.16	)	4.93		4.44	%
July	(1.53	)	(1.21	)	(6.55	)	(4.09	)
August	3.68		1.27		(2.50	)	(5.16	)
September	2.36		1.24		1.33		6.80
October	3.61		(3.34	)	5.26		5.88
November	(2.89	)	4.05		3.65		(1.71	)
December	4.47		(3.35	)	2.72		1.86
Compound Annual Rate of Return	10.32	%	(8.90	)%	22.71	%	7.56	%

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit . The inception to date total return is 32.65%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS D1 UNITS) (5)

December 31, 2010

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: July 1, 2007

Aggregate Subscriptions: $53,823,261

Current Capitalization: $46,930,445

Worst Monthly Drawdown(2): (6.46)% ( July 2008)

Worst Peak-to-Valley Drawdown(3): (10.69)% (January 2009-October 2010)

Net Asset Value per Unit for Class D1, December 31, 2010: $1.3199

Monthly Rates of Return (4)

Month	2010		2009		2008		2007
January	(3.04	)%	(.58	)%	1.47	%	—
February	1.19		0.21		10.62		—
March	4.90		(3.10	)	(2.18	)	—
April	1.32		(2.79	)	(0.41	)	—
May	(3.08	)	1.25		3.83		—
June	(0.08	)	(2.07	)	5.02		—
July	(1.44	)	(1.13	)	(6.46	)	(4.00	)
August	3.78		1.36		(2.42	)	(5.07	)
September	2.45		1.34		1.43		6.90
October	3.71		(3.25	)	5.36		5.98
November	(2.80	)	4.15		3.74		(1.62	)
December	4.56		(3.27	)	2.83		1.96
Compound Annual Rate of Return	11.54	%	(7.90	)%	24.07	%	3.56	%

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit . The inception to date total return is 18.33%.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS DA UNITS) (5)

December 31, 2010

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: December 1, 2008

Aggregate Subscriptions: $56,445,187

Current Capitalization: $ 0

Worst Monthly Drawdown(2): (3.09)% ( March 2009)

Worst Peak-to-Valley Drawdown(3): (7.99)% (Jan-July 2009)

Net Asset Value per Unit for Class DA, December 31, 2010: $0

Monthly Rates of Return (4)

Month	2009		2008
January	(0.58	)%	—
February	0.22		—
March	(3.09	)	—
April	(2.80	)	—
May	1.25		—
June	(2.07	)	—
July	(1.13	)	—
August	1.35		—
September	1.34		—
October	—		—
November	—		—
December	—		2.82	%
Compound Annual Rate of Return	(5.50	)%	2.82	%

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since December 1, 2008 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since December 1, 2008 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit . The inception to date of liquidation total return is (2.84)%. Class DA was liquidated on September 30, 2009.

Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Operational Overview

This performance summary is an outline description of how the Fund performed in the past, not necessarily any indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply occurred at or about the same time.

The Portfolio Funds are unlikely to be profitable in markets in which such trends do not occur. Static or erratic prices are likely to result in losses. Similarly, unexpected events (for example, a political upheaval, natural disaster or governmental intervention) can lead to major short-term losses, as well as gains.

While there can be no assurance that the Portfolio Funds will be profitable under any given market condition, markets in which substantial and sustained price movements occur typically offer the best profit potential for the Portfolio Funds and consequently the Fund.

Results of Operations/Performance Summary

Year ended December 31, 2010

	Total Trading Profit (Loss)
Chesapeake*	$	(2,598,008	)
Transtrend	29,487,583
Altis	12,597,945
Winton	20,913,669
Aspect	14,049,609
John Locke	10,500,284
BlueTrend	18,370,900
Tudor	5,257,749

	$	108,579,731

* Liquidated as of January 31, 2010.

The Fund experienced a net trading profit for the year ended December 31, 2010 of $108,579,731

The Portfolio Funds’ long positions in equities, commodities and short positions in the U.S. dollar resulted in profits posted to the Fund in the beginning of January. Markets then reversed and losses were posted in each of these asset classes and all gains accumulated through the middle of the month were given back in these various markets. Fixed income was one asset class where existing positioning were profitable. Long positions in short term interest rate contracts posted gains however, these gains were not enough to offset losses in the three other major asset classes resulting in losses being posted to the Fund at the beginning of the first quarter. Five of the seven Portfolio Funds had positive performance in February resulting in profits being posted to the Fund. These were the medium and long term trend followers: Altis, Aspect, BlueTrend, Transtrend and Winton. Long positions in fixed income drove performance. Yields generally moved lower over the course of the month and the trading advisors benefited from having long exposure to both bonds and short term interest rate contracts. The Portfolio Funds’ benefited from short positions in European currency exposure due to the Euro and British pound losing value against the U.S. dollar. In other asset classes, some choppiness and a lack of significant trends meant that equity indices and commodities did not have much of an impact on the month’s returns. These two trading advisors, John Locke and Tudor Tensor, had negative performance in the month of February. These two trading advisors utilize trend following as an important allocation and made money in similar areas as other trend followers. However, John Locke and Tudor Tensor also allocate capital to shorter term strategies. One of these strategies, pattern recognition,

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

Most Portfolio Funds had positive performance in April resulting in profits being posted to the Fund at the beginning of the second quarter. The trading advisors who are medium and long term trend followers: Altis, Aspect, BlueTrend Transtrend and Winton performed well. In fixed income, falling overall G7 (Canada, France, Germany, Italy, Japan, United Kingdom and United States) yields meant that long positions were profitable. In currencies, a balanced posture with short European currencies against long positions in commodity and emerging markets currencies posted profits to the Fund. In commodities, some sectors lost money which was offset by gains in the energies and metals sectors. While U.S. equity indices ended the month up, European and Asian markets generally ended the month lower. All trading advisors were long in global equity indices with profits or losses dependent upon their relative size in various geographies. The Portfolio Funds had overall losses in May resulting in losses posted to the Fund in the middle of the second quarter. Medium and long term trend followers did not perform well as they were seriously affected by reversals in multiple markets. The trading advisors with shorter time horizons were better able to navigate these reversals and adjust their portfolios quickly. Equities, oil, natural gas and industrial metals all saw reversals with some markets moving more than 10% in the opposite direction of the trend. By the end of May, most trading advisors were very light in equities (but still long) and slightly short positions in energies. Other losing commodity positions were curtailed, the remaining long exposure generally being in precious metals. Currencies performance varied as some trading advisors posted profits and some lost money in the asset class. Performance depended on the relative size of short European currency positions vs. long positions in commodities and emerging markets currency positions. The trading advisors with larger short positions in European currencies managed to make money in the asset class. Fixed income yields came down during the month of May as investors sought safety in government securities. The trading advisors long positioning benefited from these moves however, the gains were not enough to offset losses in other portfolio areas. In June the Portfolio Funds posted losses to the Fund as performance was quite mixed among trading advisors. Equities and many commodity sectors had suffered significant reversals with the trading advisors being caught on the wrong side of trades. As a result, they had moved to cut risk in those asset classes. Coming into June, the trading advisors still had on some long equity exposure. They were also long precious metals, short grains and neutral in the energy sector. But in general, position sizes tended to be small. When equities continued to move downward during June and commodities continued to experience some moves that were adverse to positioning, losses were suffered but these losses were quite contained. In June, currencies were generally the worst performing asset class for the trading advisors. Having significant short European currency exposure was bad for performance as two major currencies, the British pound and Swiss franc rallied. There were some gains from short euro positions, but these were not enough to counter losses felt from reversals in the British pound and Swiss franc. Fixed income was a solid winning asset class for the trading advisors. Long positions across the yield curve generated positive returns as yields came down as a result of stronger risk adverse sentiment, especially in the second half of June. Fixed income also happened to be a portfolio area where risk was relatively greater than in other asset classes, so gains here were able to counter losses or mixed performance in all other sectors. Altis’ performance was weakest among the trading advisors in Systematic Momentum. Its losses in equity indices and currencies were greater than its peers. However, Winton’s lower level of risk taking in reversing asset classes as well as more sizable long precious metals positions relative to other trading advisors resulted in it being the best performer in June.

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

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

The Portfolio Funds posted profits to the Fund in the middle of the third quarter. May, June and July were generally characterized by reversals and choppiness in all asset classes except fixed income. As a result, coming into August, the Fund’s main exposure was to be long fixed income. This positioning did very well as yields generally continued their long term down trend during the month. With risk aversion the dominant sentiment in August, fixed income yields moved significantly lower across the curve, benefiting the trading advisors with long exposure. An absence of trends in equities, currencies and commodities meant that risk in those asset classes was not very significant. The main exposures in those sectors were small long positions in equity indices, short positions in the euro against long positions in most other major currencies, and relatively neutral positions in commodities (short positions in natural gas, long positions in oil, metals and agricultural). These positions came in flat during August. The short positions in euro and natural gas and long positions in metals resulted in profits posted to the Fund. However, long positions in equities, oil and FX lost money. Having little risk on in these sectors meant that gains and losses were small, and they generally canceled each other out. Aspect and Altis had strong returns in August due as their risk allocation to fixed income was greater than the other Portfolio Funds and in the case of Altis, short positions in oil and natural gas also contributed strongly to the return. BlueTrend and Tudor Tensor experienced small losses in August. BlueTrend’s long positioning in commodities and equities posted losses for the Fund, offsetting profits from fixed income. For Tudor Tensor, short term intra-month market fluctuations hurt the Fund’s non-trend systems. The Portfolio Funds posted profits to the Fund at the end of the third quarter. Coming into August, the Fund’s main exposure was long fixed income and that positioning performed well as yields generally continued their long term down trend during the month. In September, a similar positioning produced good results, but for different reasons. Fixed income was the dominant exposure for most trading advisors at the start of September as yields initially moved higher. This was due to improving investor optimism, following strong manufacturing numbers out of China and the United States. Then mid-month, the Federal Reserve talked about the possibility of a further round of quantitative easing. Yields reversed, ending the month close to where they started, and the Portfolio Funds recouped most of their losses from earlier in the month. They also profited from long positions in equity indices, as global equity markets had a strong month. In commodities, long positions in precious metals and agricultural gained as up trends continued. In currencies, overall short positions in the U.S. dollar generated profits and lost money in fixed income. Tudor Tensor was the best performer in September partly due to the non-trend diversification. Winton had the weakest return with smaller risk allocations to the equity, FX and commodity sectors resulted in close to flat performance.

Profits were posted to the Fund at the beginning of the fourth quarter. Commodities were the best performer as most sectors continued in their up trend. Grains, softs and metals all rose, with some markets making very strong gains. The trading advisors generally took advantage of these moves. Some remaining short exposure in the energy sector caused losses as oil reversed and rose during the month of October, but these losses were minimal. In equity indices, the global rally that began in September continued unabated in most geographies and trading advisors who had long positions benefited. Finally, the risk seeking trade manifested itself in the currency sector as well and the U.S. dollar continued to depreciate. Long positions held broadly by all the trading advisors in major foreign currencies benefited from this. Long positions in fixed income posted losses for the Portfolio Funds in October. After strong moves in August, yields generally bottomed in early September and have been rising slightly in a volatile manner since. Tudor Tensor was the best performer in October. Tudor has roughly a third of its portfolio allocated to medium term trend following and another two thirds in non-trend models like pattern recognition and fundamentally based FX strategies. All strategy groups performed very well in October. Winton had the weakest return. While the return was positive, it lagged the other Portfolio Funds. Winton has a lower volatility target and has less leverage in its portfolio. In strongly trending environments, it will typically underperform its peers. This is the

cost of having a more conservative risk taking approach. Losses were posted to the Fund in the middle of the fourth quarter as a result of numerous reversals across markets. The first few days of November generally saw existing trends extend themselves. The rally in risk assets continued unabated while yields were down resulting in profits being posted to the Fund. Starting in the second week of November, markets began to shift and many of the trends that had been in place for the last few months reversed. The most violent moves were seen in fixed income and currencies as yields shot up and foreign currencies began losing value against the U.S. dollar. These moves represented sharp reversals and all trading advisors who had long positions posted losses. In addition, equity indices and many agricultural markets also reversed, giving up profits for the month. Only precious metals continued the trend. At month end, returns from trading equity indices were slightly negative for many of the Portfolio Funds and commodities slightly positive thanks to markets like gold and silver. Transtrend was the best performer in November reducing fixed income exposure as well as switching to a short positioning in European currencies. Aspect was the worst performer due to the risk allocation to fixed income and FX coming into November and suffered when those two asset classes suffered the worst reversals. Profits were posted to the Fund at the end of the fourth quarter. Systematic Momentum performed quite well with this portfolio. During December, commodities and equities continued to move up, generating strong profits for the Fund. In general, the U.S. dollar lost value. This was positive for long positions in the currency sector, but there were some losses from the short European currency positions. Finally, in fixed income, yields continued to move up during the month and that was negative for the Fund’s long bias in the sector. Overall, the gains from the commodity and equity run up were much greater and the Fund ended the month posting profits. BlueTrend was the best performer in December. The Fund had most of the risk allocated to equity indices and the energy sector. Both areas did extremely well during the month as global equities and oil rose in line with existing trends. Tudor Tensor was the weakest performer in December. The Fund had only a 30% allocation to medium term trend following. That strategy performed very strongly; however, Tudor’s remaining non-trend strategies, while positive, did not do as well. Those strategies are shorter term and have found the trading environment more difficult to navigate.

Year ended December 31, 2009

	Total Trading Profit (Loss)
Chesapeake	$	548,547
Transtrend	(25,830,157		)
Altis	(8,896,043		)
Winton	(8,375,671		)
Aspect	(8,874,084		)
John Locke	(9,350,844		)
BlueTrend	2,608,281
GSA*	(3,681,929		)

	$	(61,851,900	)

*Liquidated as of May 30, 2009

The Fund experienced a net trading loss for the year ended December 31, 2009 of $61,851,900

Performance of the Portfolio Funds was mixed in January which reflected the choppy markets and diversification of the Portfolio Funds approach to trading. Winton was the best performer, while Altis and GSA performed the worst. The Portfolio Funds profited from falling equities, with long-term managers capturing more of the move. The Portfolio Funds also profited from a continuous down-trend in commodities. Largest losses were suffered in fixed income positions as the U.S. Treasury yields rallied and other global bonds shadowed the move. Time horizon focus did not seem to be a driver of returns in the middle of the first quarter, while asset allocation played a more significant role. The Portfolio Funds had small net short exposures to equity markets and thus registered gains in this asset class. In addition, most of the Portfolio Funds that had long positions in the U.S. dollar against various currencies posted profits. Some of the Portfolio Funds that had long positions in the Japanese yen vs. the U.S. dollar posted losses due to the Japanese yen ending the month down significantly relative to the U.S. dollar. Fixed income markets experienced volatile swings during the month as most of the Portfolio Funds ended with small losses in this sector. At the start of March, most of the Portfolio Funds had long positions in the fixed income markets. and kept this position throughout the month of March and benefited from falling yields. John Locke was the exception, since as a shorter term manager, its positioning was influenced significantly by intra-month choppiness in

fixed income markets causing large losses. All other sectors had posted losses in March as a result of significant reversals in many markets. During March, equity markets rallied following some positive corporate news in the first week. When the U.S. Federal Reserve announced the start of quantitative easing mid-month, the U.S. dollar began losing value against most major currencies and the commodity markets which are negatively correlated with the U.S. dollar and risk aversion moved up. Given that most managers in the vertical are medium to long term trend followers, they were not in a position to cut exposures very fast and were negatively affected by these reversals.

The market environment that caused a loss for the Fund in March continued through April as well. The Portfolio Funds continued to be positioned against market moves and experienced losses in most of the sectors they traded. In March, being long fixed income helped to offset losses in equity indices, currencies and commodities. In April, the losses in equity indices, currencies and commodities were more muted as many Portfolio Funds had trimmed risk in those sectors; however, long positions in fixed income proved to be a problem as global bond yields rose significantly, hurting those long positions. Overall, fixed income was the worst performing sector for the Portfolio Funds, followed by currencies. The Portfolio Funds approach to trading was mixed exposure in commodities, making money in some markets and losing money in others. In equities the positioning was more on the short side, but with extremely small exposures; losses thus were muted. May was a continuation of March and April in terms of market direction and moves. Equities and commodities were up, and bonds and the U.S. dollar was down. These new trends gave many Portfolio Fund managers a reason to adjust their portfolios to match the new environment resulting in profits being posted to the Fund. Short and medium term Portfolio Funds were more in sync with markets given that they adjust faster to new trends, while longer term Portfolio Funds have held on to their pre-March positioning somewhat longer and were not able to avoid losses. So the main difference in May relative to March and April was that many Portfolio Funds were now correctly positioned to take advantage of current trends. Short to medium term managers (John Locke, BlueTrend, Altis, Transtrend) had better performance than longer term managers (Winton, Chesapeake, Aspect). The shorter term managers adjusted better to the current market environment where equities and commodities performed well and the U.S. dollar and bonds performed poorly. Risk by asset class continued to be biased towards fixed income which had a roughly 50% risk allocation, down from more than 80% in April. Fixed income was the asset class with the fewest reversals and thus risk had moved there as equities, commodities and currencies experienced changes in trend during March. But the risk allocated to other asset classes were moving up: commodities were a third of the total and the remainder was split between currencies and equities. March, April and May had been characterized by market moves most commonly seen during periods where investors were risk seeking. There were up moves in equities and commodities and down moves in bonds and the U.S. dollar. The Portfolio Fund managers were just beginning to adjust their portfolios to match these new market directions. After suffering losses during March and April (as they were not positioned for the new trends that began in early March), most managers had begun turning around their portfolios to be more in line with where markets were going and many were able to post gains in May, but came to a stop in June as several events took place. First, short term interest rates suffered a sharp reversal during the first week of the month and the U.S. dollar had a similar reversal, gaining against most currencies. Then, mid-month, the up trends in equities and commodities reversed, as sentiment became risk averse again. As a result of these moves, most asset classes ended the month with negative attribution. The worst were short term rates and commodities. The second quarter ended with losses being posted to the Fund. The worst were short term rates and commodities. Medium term managers had the worst performance as they not only suffered from the rates and U.S. dollar moves, but also the reversals in equities and commodities. John Locke, the manager with the shortest time horizon was able to avoid big losses. Winton and Chesapeake, the longest term managers, had relatively smaller losses because the equity and commodity reversals were actually good for them since they were still holding on to their pre-March positions in those asset classes.

Losses were posted to the Fund in July which was characterized by two types of moves in many markets. At the beginning of the month, equities, commodities and bond yields were moving lower while the United States dollar gained ground against other major currencies. In mid-July, sentiment reversed and equities and commodities resumed their up trends from prior month and the United States dollar lost value against other major currencies. The moves in the second part of the month were larger in magnitude, therefore, the Portfolio Funds who shifted towards ‘risk seeking’ trades faster performed better. Transtrend was an underperformer resulting in losses in the synthetic markets it trades in. Losses were posted to the Fund in August attributable to a continuation of trends from the second half of July. Equities and fixed income ended the month up. Similarly, most commodities finished up (except oil, natural gas and grains) and currency performance was mixed. Coming into August, Portfolio Funds had small long positions in all geographies in equity indices. In commodities, the Portfolio Funds had more long positions than short positions i.e. long positions in crude oil, softs and metals with short positions in natural gas, grains and livestock. In currencies, the Portfolio Funds held short positions in the United States dollar and in fixed

income; it was long across the yield curve. In general, the equity and fixed income positioning posted profits for the Portfolio Funds throughout the month of August. Similarly, the Portfolio Funds were spot on in their commodity positioning except in crude oil. Currencies were mixed and losses in some markets canceled out profits in others. Sugar, metals and equity positions were the best performers. In September, the Portfolio Funds made most of their profits in equity indices and currencies as trends from late summer continued. Short positions in the United States dollar performed the best as the United States dollar continued to slide against other major currencies. Long equity index and long fixed income positions also continued to be profitable for the Portfolio Funds as there were neither reversals nor choppiness in those asset classes as trends from late summer continued. Commodities detracted from performance due to choppiness in crude oil and huge adverse moves in natural gas. Transtrend was the only Portfolio Fund showing a loss for the month due to its short positions in natural gas.

In October the Portfolio Funds had the positioning that had been working in August and September with long positions in equity indices and fixed income and short positions in the U.S. dollar. In commodities, there were long positions in metals with short positions in energy and grains. These positions worked in the first three weeks of the month. Equities and metals appreciated and the U.S. dollar continued its decline, so those positions posted profits to the Fund. However, the gains were offset by losses from the bond positions where yields rose and in the energy positions prices went up. Overall, the Portfolio Funds finished the first three weeks of October slightly up. In the last week of October, big reversals hit most markets. Equities and commodities declined and the U.S. dollar and bonds rallied posting losses to the Fund. Those reversals proved to be temporary and trends that had been in place since earlier in the year resumed during November. The Portfolio Funds kept their positioning during the week of reversals and thus were able to capitalize on the resumption of trends resulting in profits being posted to the Fund. In November, market moves were well aligned with positioning. Long positions in equity indices and global equity markets ended the month up significantly, resulting in profits being posted to the Fund. Similarly, the U.S. dollar continued its slid and the Portfolio Funds benefiting from the short positions in the U.S. dollar. In fixed income, global interest rates continued to come down, resulting in profits for the Portfolio Funds posting profits to the Fund in their long positions in interest rates and bond positions. Commodities also contributed positively to performance due to long positions in precious metals. Overall, most managers made money in all asset classes as trends continued in the direction of their positioning. Losses were posted to the Fund in December. This was due primarily to reversals in three of the six major asset classes in which the Fund invests through the Portfolio Funds. Fixed income was the worst performer where yields rose sharply during the month, hurting long positioning in both interest rates and bonds. Currencies also saw a big reversal as the U.S. dollar appreciated sharply against major foreign currencies which went against the Portfolio Funds short positions in the U.S. dollar. Finally in commodities, oil, natural gas and precious metals saw big reversals, especially in the first part of December, hurting existing positions. Equity indices posted profits with the long term up trend continued, generating profits. However, the profits were not enough to offset the losses.

Most of the losses in 2009 came during the March-July period. March marked the beginning of some significant reversals in equities, currencies and commodities which medium and long term trend followers were not well prepared to deal with. These reversals caused relatively large losses at first until mid summer when managers finally turned around their portfolios to match the new trends. The rest of the year was marked by choppiness in a very large number of markets and smaller frequent reversals, which prevented funds from making back earlier losses. Certain Portfolio Funds had relatively weak returns in 2009, underperforming their peers, and Transtrend and Aspect were two such Portfolio Funds. These Portfolio Funds had some concentrated positions over the course of the year that went against them, causing them to have worse than average returns. BlueTrend was an outperformer as it dealt with reversal periods better and was able to shift its exposures around faster during these periods.

Year ended December 31, 2008

	Total Trading
	Profit (Loss)
Chesapeake	$	3,583,563
Transtrend	16,444,848
Altis	29,676,850
Winton	10,361,844
Aspect	10,548,013
John Locke	10,325,464
BlueTrend	7,948,538
GSA	(7,776,386		)

	$	81,112,735

The Fund experienced a net trading profit for the year ended December 31, 2008 of $81,112,735

Profits were posted to the Fund for the first quarter. The Portfolio Funds had long positions in fixed income and precious metals, both of which benefited from fears of a United States recession, as well as sharp U.S. rate cuts. The continuing rally in grain markets was another source of profit for the Portfolio Funds. Losses came primarily from energy markets as oil prices weakened and natural gas rebounded. Going into February, commodities and fixed income are the two largest risk allocations for the Portfolio Funds as they continue to be long in most fixed income markets, while in commodities, they generally have long positions in grains, softs and precious metals, and shorts in livestock. Energy exposure has been cut back significantly after January’s losses. Profits continue to be posted to the Fund in the middle of the quarter due to returns earned in surging commodity markets. Grains and softs rallied strongly due to low inventories and positive forecasts of demand. Energy and metals climbed as these sectors are perceived as an inflation hedge. The other profitable trades included short currency positions against the U.S. dollar. The Fund posted losses at the end of the quarter. The strong trends in commodity markets in February made a sharp reversal in March, hurting most funds in the vertical. The grains and precious metals sectors recorded particularly large reversals. The Portfolio Funds were able to participate more in the upward move in February than in the March reversal thereby preserving its gains for the first quarter. The Portfolio Funds were able to limit the damage in March by reducing leverage. Most managers scaled back positions in inverse proportion to rising volatility in commodity markets.

Profits were posted to the Fund for the second quarter. The Portfolio Funds made gains in their long energy positions at the beginning of the quarter, as oil and natural gas hit historic highs which were offset by losses from reversals in financial futures markets. Most of the Portfolio Funds came into April with short positions in the U.S. dollar, long positions in bonds and short positions in equities. However, markets experienced a relief rally in April as investors began to believe the credit crisis might be over. This caused the U.S. dollar to rebound, bonds to fall and equities to rise, thus hurting the Portfolio Funds performance. The Portfolio Funds with more energy exposure did better in the month, as well as the Portfolio Funds who had short positions in the financial futures were able to unwind their positions quickly. Profits continued to be posted to the Fund in the middle of the quarter. May was a month where energies jumped to record levels. Crude oil was up 13% and natural gas was up 6.6%, continuing trends from previous months. The primary drivers of performance for the Fund was in the commodities and energy sectors. Non-commodity markets were mixed as most of the Funds managed to be flat to positive in the financial markets overall. The second quarter ended with profits being posted to the Fund. The Portfolio Funds made money through long positions in commodities and short equities positions.

Losses were posted to the Fund at the beginning of the third quarter. The Portfolio Funds posted losses at the beginning of the quarter as bullish trends in commodities dramatically reversed. The Portfolio Funds came into the month of July with long positions in most of the commodity markets. After having made most of their year-to-date gains in commodities, the Portfolio Funds had the largest losses in these markets. Goldman Sachs Commodity Index was down for the month, as well as the Energy sub-index and the correction was particularly severe in Natural Gas Index which was also down. The Portfolio Funds had a second month of poor performance in August. There were two major trends that caused the Portfolio Funds to lose money. The first was the strengthening in the U.S. dollar, following a long period of declines against most major currencies. Typically, the Portfolio Funds will be short on the U.S. dollar positions which caused losses to be posted to the Fund in the middle of the quarter. The second trend was the continued decline in commodities, following the dramatic reversal from July. Profits were posted to the Fund at the end of the third quarter. September witnessed an extended weakness in financial markets

that was manifested in a sharp sell-off in global equities and commodities, including energies, grains, and industrial metals. Bond yields fell moderately, while the U.S. dollar continued its upward move against other major currencies. The Portfolio Funds performance exhibited a fair amount of variance which was a function of the time frame of the underlying strategy. Medium-term trend followers who form the bulk of Systematic Momentum, did quite well as they were correctly positioned for the market moves.

Profits were posted to the Fund in the fourth quarter. October was a story of two months. The first half of the month was characterized by an acute panic in financial markets with global equities, commodities, and high yielding currencies dropping and dollar rising. The second half that started with the equity market rally on Monday October 13th was characterized by wild day to day volatility but kept most markets relatively range bound. Most Portfolio Funds generated sizable returns in the first half of the month and then succeeded to keep most of these gains. Altis, Bluetrend, and Transtrend were the best performers. All three benefited from bearish moves in commodities and equities and a strong U.S. dollar in the first half of the month. The majority of the losses came from GSA short term models going long Japanese and Hong Kong equities towards the beginning of the month anticipating a bounce in stock markets. Unfortunately, these models were caught in a significant market drop and experienced sizable losses. All other Portfolio Funds had a positive performance in October. Profits were posted to the Fund in November in lieu of a stormy month in the financial markets. Most of the Portfolio Funds stayed away from volatile equity markets and instead benefited from long positions in global bonds as bonds rallied and short positions in commodities as commodities continued to decline. On average, fixed income was the best contributor to the performance, followed by commodities, and then currencies as a distant third place. The Fund posted profits at the end of the year. The largest gains were made in fixed income as the Portfolio Funds profited from long positions across the curve as yields continued to fall dramatically. Short positions in commodities, particularly energy, and long positions in the Euro versus the short British pound positions also proved profitable. Equity returns were flat on the month as risk in stocks was minimal.

Variables Affecting Performance

The principal variables that determine the net performance of the Fund are gross profitability from the Portfolio Funds’ trading activities and interest income.

The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

During all periods set forth above in “Selected Financial Data”, the interest rates in many countries were at unusually low levels. In addition, low interest rates are frequently associated with reduced fixed income market volatility, and in static markets the Fund’s profit potential generally tends to be diminished. On the other hand, during periods of higher interest rates, the relative attractiveness of a high risk investment such as the Fund may be reduced as compared to high yielding and much lower risk fixed-income investments.

The Fund’s Sponsor Fees are a constant percentage of the Fund’s net assets.

Unlike many investment fields, there is no meaningful distinction in the operation of the Fund between realized and unrealized profits. Most of the contracts traded by the Portfolio Funds are highly liquid and can be closed out at any time.

Except in unusual circumstances, factors—regulatory approvals, cost of goods sold, employee relations and the like—which often materially affect an operating business, have no material impact on the Fund.

Liquidity; Capital Resources

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

Substantially all of the Portfolio Funds’ assets are held in cash at the underlying Fund. The Net Asset Value of the Portfolio Funds’ cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the profit potential generally increases. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.

Because substantially all of the Portfolio Funds’ assets are held in cash at the underlying Fund, the Portfolio Funds should be able to close out any or all of its open trading positions and liquidate any or all of its securities holdings quickly and at market prices, except in very unusual circumstances. This permits the advisors to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so. In addition, because there is a readily available market value for the Portfolio Funds positions and assets, the Fund’s monthly Net Asset Value calculations are precise, and investors need only wait ten business days to receive the full redemption proceeds of their Units.

(The Portfolio Funds and the Fund have no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 3.03(a)(4) and 3.03(a)(5) of Regulation S-K.)

Recent Accounting Developments

Recent accounting developments are discussed in Exhibit 13.01.

Item 7A: Quantitative and Qualitative Disclosures About Market Risks

Introduction

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

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

The Portfolio Funds, under the direction of their respective advisors, rapidly acquire and liquidate both long and short positions in currency markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the past performance is not necessarily indicative of its future results.

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

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statement” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Portfolio Fund’s risk exposure in the various market sectors traded by the advisors is quantified below in terms of Value at Risk. Due to the Portfolio Fund’s fair value accounting, any loss in the fair value of the Portfolio Fund’s open positions is directly reflected in the Portfolio Fund’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements of the Portfolio Funds have been used as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

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

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

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

The following information with respect to Value at Risk (“VAR”) is set forth in respect of Portfolio Funds separately, rather than for the Partnership on a stand alone basis.

Altis Class DS (1)

December 31, 2010

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

Agricultural Commodities	$	1,841,702	1.52	%	$	3,262,716	$	876,412
Energy	2,013,316		1.67	%	3,789,264		402,379
Interest Rates	4,410,522		3.65	%	6,161,422		2,214,446
Metals	948,498		0.78	%	1,387,439		137,142
Stock Indices	2,507,551		2.07	%	5,732,823		472,283
Currencies	4,834,986		4.00	%	10,087,527		253,502

TOTAL	$	16,556,575	13.69	%	$	30,421,191	$	4,356,164

(1) Average capitalization of Altis Class DS is $120,913,811.

Altis Class DS (1)

December 31, 2009

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

Agricultural Commodities	$	143,099	0.14	%	$	253,440	$	30,906
Energy	173,925		0.17	%	479,521		27,763
Interest Rates	8,974,327		8.72	%	11,279,824		6,852,385
Metals	377,634		0.37	%	846,000		79,345
Stock Indices	514,223		0.50	%	1,284,200		32,824
Currencies	268,591		0.26	%	614,380		32,398

TOTAL	$	10,451,799	10.16	%	$	14,757,365	$	7,055,621

(1) Average capitalization of Altis Class DS is $102,900,268.

Transtrend Class DS (2)

December 31, 2010

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

Agricultural Commodities	$	1,820,898	1.09	%	$	4,265,770	$	558,593
Energy	6,284,800		3.76	%	10,708,749		2,912,621
Interest Rates	3,026,207		1.81	%	5,410,671		673,849
Metals	1,225,125		0.73	%	2,670,239		261,620
Stock Indices	1,330,166		0.80	%	3,302,166		278,208
Currencies	4,148,688		2.48	%	8,819,295		361,588

TOTAL	$	17,835,884	10.67	%	$	35,176,890	$	5,046,479

(2) Average capitalization of Transtrend Class DS is $167,063,283.

Transtrend Class DS (2)

December 31, 2009

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

Agricultural Commodities	$	287,291	0.21	%	$	1,249,337	$	25,964
Energy	473,736		0.35	%	1,767,710		8,648
Interest Rates	11,698,484		8.71	%	17,620,289		6,258,260
Metals	184,060		0.14	%	568,495		2,859
Stock Indices	703,797		0.52	%	1,882,750		35,158
Currencies	551,625		0.41	%	1,936,468		63,452

TOTAL	$	13,898,993	10.34	%	$	25,025,049	$	6,394,341

(2) Average capitalization of Transtrend Class DS is $134,299,237.

Aspect Class DS (3)

December 31, 2010

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

Agricultural Commodities	$	787,301	0.85	%	$	1,231,856	$	446,200
Energy	1,052,135		1.13	%	1,784,179		429,355
Interest Rates	2,662,629		2.86	%	4,244,968		1,219,352
Metals	913,996		0.98	%	1,695,338		182,566
Stock Indices	690,643		0.74	%	1,526,295		182,871
Currencies	1,320,768		1.42	%	3,323,240		92,585

TOTAL	$	7,427,472	7.98	%	$	13,805,876	$	2,552,929

(3) Average Capitalization of Aspect Class DS is $93,027,475.

Aspect Class DS (3)

December 31, 2009

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

Agricultural Commodities	$	80,011	0.10	%	$	304,395	$	2,532
Energy	64,288		0.08	%	156,172		8,652
Interest Rates	8,234,058		10.46	%	15,531,929		4,899,067
Metals	160,258		0.20	%	642,631		3,770
Stock Indices	225,044		0.29	%	874,765		6,162
Currencies	417,518		0.53	%	1,162,691		101,820

TOTAL	$	9,181,177	11.66	%	$	18,672,583	$	5,022,003

(3) Average Capitalization of Aspect Class DS is $78,704,541.

Winton Class DS (5)

December 31, 2010

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

Agricultural Commodities	$	1,240,347	0.74	%	$	2,701,425	$	342,337
Energy	624,100		0.37	%	978,846		233,555
Interest Rates	2,998,825		1.79	%	5,401,002		1,303,069
Metals	2,273,149		1.36	%	4,715,209		368,726
Stock Indices	1,032,711		0.62	%	2,740,913		75,855
Currencies	1,833,813		1.09	%	3,821,630		543,890

TOTAL	$	10,002,945	5.97	%	$	20,359,025	$	2,867,432

(5) Average capitalization of Winton Class DS is $167,702,261.

Winton Class DS (5)

December 31, 2009

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

Agricultural Commodities	$	58,746	0.04	%	$	149,603	$	2,205
Energy	31,407		0.02	%	71,287		951
Interest Rates	7,461,866		5.51	%	8,893,168		6,431,814
Metals	154,343		0.11	%	511,177		12,354
Stock Indices	310,604		0.23	%	1,122,663		55,130
Currencies	645,294		0.48	%	1,287,106		132,495

TOTAL	$	8,662,260	6.39	%	$	12,035,004	$	6,634,949

(5) Average capitalization of Winton Class DS is $135,368,736.

John Locke Class DS (6)

December 31, 2010

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

Agricultural Commodities	$	3,083,707	2.37	%	$	6,132,927	$	1,337,070
Energy	1,146,614		0.88	%	2,389,469		331,758
Interest Rates	2,436,868		1.88	%	6,168,957		40,451
Metals	3,119,564		2.40	%	7,769,170		1,288,382
Stock Indices	824,619		0.63	%	2,017,379		59,459
Currencies	1,447,744		1.11	%	5,000,231		159,474

TOTAL	$	12,059,116	9.27	%	$	29,478,133	$	3,216,594

(6) Average capitalization of John Locke Class DS is $129,898,738.

John Locke Class DS (6)

December 31, 2009

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

Agricultural Commodities	$	313,590	0.24	%	$	968,849	$	6,390
Energy	403,371		0.31	%	1,812,797		16,382
Interest Rates	34,726,623		26.79	%	305,915,780		1,922,404
Metals	553,205		0.43	%	3,324,914		30,523
Stock Indices	467,182		0.36	%	1,976,182		10,675
Currencies	2,189,133		1.69	%	13,102,677		284,578

TOTAL	$	38,653,104	29.82	%	$	327,101,199	$	2,270,952

(6) Average capitalization of John Locke Class DS is $129,613,433.

BlueTrend Class DS (8)

December 31, 2010

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

Agricultural Commodities	$	359,938	0.28	%	$	898,513	$	16,855
Energy	2,387,171		1.89	%	6,470,091		90,081
Interest Rates	3,115,138		2.46	%	7,695,506		428,913
Metals	4,727,647		3.74	%	9,741,158		2,047,159
Stock Indices	907,375		0.72	%	1,744,153		263,952
Currencies	3,640,115		2.88	%	5,814,512		1,343,259

TOTAL	$	15,137,384	11.97	%	$	32,363,933	$	4,190,219

(8) Average capitalization of BlueTrend Class DS is $126,513,457

BlueTrend Class DS (8)

December 31, 2009

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

Agricultural Commodities	$	8,854	0.02	%	$	18,143	$	1,911
Energy	73,830		0.13	%	203,775		3,359
Interest Rates	4,042,757		7.27	%	7,381,548		2,075,299
Metals	16,462		0.03	%	46,937		2,774
Stock Indices	149,273		0.27	%	503,568		6,718
Currencies	36,183		0.07	%	124,434		1,492

TOTAL	$	4,327,359	7.79	%	$	8,278,405	$	2,091,553

(8) Average capitalization of BlueTrend Class DS is $55,643,996

Tudor Tensor Class DS (7)

December 31, 2010

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

Agricultural Commodities	$	381,025	0.32	%	$	876,635	$	101,534
Energy	1,035,365		0.87	%	1,646,337		575,349
Interest Rates	1,927,468		1.62	%	3,658,589		1,085,170
Metals	1,618,805		1.36	%	3,912,834		266,466
Stock Indices	2,172,658		1.83	%	4,511,655		376,005
Currencies	1,052,002		0.89	%	2,032,136		293,075

TOTAL	$	8,187,323	6.89	%	$	16,638,186	$	2,697,599

(7) Average capitalization of Tudor Tensor Class DS is $118,633,247.

Chesapeake Class DS (4)

December 31, 2009

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

Agricultural Commodities	$	497,738	0.63	%	$	1,421,839	$	82,583
Energy	286,359		0.36	%	1,259,154		—
Interest Rates	6,197,947		7.82	%	12,519,402		3,643,951
Metals	749,491		0.95	%	2,270,314		36,503
Stock Indices	5,263		0.01	%	60,929		—
Stock Futures	622,603		0.79	%	2,759,350		—
Currencies	334,975		0.42	%	1,066,633		24,613

TOTAL	$	8,694,376	10.98	%	$	21,357,621	$	3,787,650

(4) Average capitalization of Chesapeake Class DS is $79,257,947.

*Fund Liquidated as of January 2010

GSA Class DS (7)

December 31, 2009

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

Agricultural Commodities	$	435,011	0.46	%	$	815,648	$	3,108
Energy	526,153		0.56	%	1,174,250		46,954
Interest Rates	3,525,322		3.73	%	5,661,734		60,305
Metals	340,934		0.36	%	1,145,669		31,825
Stock Indices	1,859,526		1.97	%	4,304,255		49,439
Currencies	631,915		0.67	%	1,553,411		126,297

TOTAL	$	7,318,861	7.75	%	$	14,654,967	$	317,928

(7) Average capitalization of GSA Class DS is $94,571,167

* Fund Liquidated as of May 2009

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

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

Non-Trading Risk

The Portfolio Funds have non-trading market risk on their foreign cash balances not needed for margin.

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 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 Portfolio Funds’ advisors 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.

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 Portfolio Funds’ market exposure, MLAI may urge the Portfolio Funds’ advisors to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the advisors have begun to deviate from past practice and trading policies or to be trading erratically, MLAI’s basic control procedures consist of simply of the ongoing process of monitoring the advisors with the market risk controls being applied by the advisors themselves.

Risk Management

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

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

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

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

Non-Trading Risk

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

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

Item 8: Financial Statements and Supplementary Data

Net Income (Loss) by Quarter

Eight Quarters through December 31, 2010

	Fourth		Third		Second			First		Fourth			Third		Second			First
	Quarter		Quarter		Quarter			Quarter		Quarter			Quarter		Quarter			Quarter
	2010		2010		2010			2010		2009			2009		2009			2009
Total Income (Loss)	$	53,862,441	$	44,902,785	$	(17,308,060	)	$	27,125,567	$	(21,795,932	)	$	13,613,925	$	(27,712,377	)	$	(25,856,689	)
Total Expenses	5,617,195		5,060,483		4,875,376			4,667,692		4,679,304			4,290,343		3,649,738			3,440,810
Net Income (Loss)	$	48,245,246	$	39,842,302	$	(22,183,436	)	$	22,457,876	$	(26,475,236	)	$	9,323,582	$	(31,362,115	)	$	(29,297,499	)

Net Income (Loss) per weighted average Unit (a)	$	0.0599	$	0.0501	$	(0.0283	)	$	0.0291	$	(0.0359	)	$	0.0133	$	(0.0488	)	$	(0.0504	)

(a) The Net Income (Loss) per weighted average Unit is based on the weighted average of the total Units for each quarter.

The financial statements required by this Item are included in Exhibit 13.01.

The supplementary financial information (“information about oil and gas producing activities”) specified by Item 302(b) of Regulation S-K is not applicable.

Item 9: Changes in and Disagreements With Accountants on Accounting and Financial Disclosure

There were no disagreements with the respective independent registered public accounting firms on accounting and financial disclosure.

Item 9A: Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Fund as of the year and for the year ended December 31, 2010, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.

Management’s Annual Report on Internal Control over Financial Reporting

The Fund’s management is responsible for establishing and maintaining adequate internal control over financial reporting. The Fund’s internal control over financial reporting is a process designed under the supervision of MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund and is effected by management, other personnel and service providers 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 and included those policy and procedures that:

· Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Fund.

· Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Fund are being made only in accordance with authorizations of management and directors of the Fund; and

· Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisitions, use or disposition of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation and presentation. Projections of any evaluation of effectiveness to future periods are subject to the risks that controls may become inadequate because of changes in condition, or that the degree of compliance with the policies or procedures may deteriorate.

The Fund’s management assessed the effectiveness of the Funds’ internal control over financial reporting as of December 31, 2010 In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in “Internal Control-Integrated Framework”.

Based on its assessment the Fund’s management concluded that at December 31, 2010, the Fund’s internal control over financial reporting was effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) occurred during the quarter ended December 31, 2010 that has materially affected, or is reasonable likely to materially affect, the Fund’s internal control, over financial reporting.

Item 9B: Other Information

Not applicable.

PART III

Item 10: Directors, Executive Officers and Corporate Governance

10(a) and 10(b) Identification of Directors and Executive Officers:

As a limited liability company, the Fund has no officers or directors and is managed by MLAI. Trading decisions are made by the Trading Advisors on behalf of the Portfolio Funds.

The managers and executive officers of MLAI and their respective business backgrounds are as follows:

Justin C. Ferri	Chief Executive Officer, President and Manager

Barbra E. Kocsis	Chief Financial Officer

Deann Morgan	Vice President and Manager

James L. Costabile	Vice President and Manager

Paul D. Harris	Vice President and Manager

Colleen R. Rusch	Vice President and Manager

Justin C. Ferri is the Chief Executive Officer, President and Manager of MLAI. Mr. Ferri, 35 years old, has been the Chief Executive Officer and President of MLAI since August 2009. Mr. Ferri has been a Manager of MLAI and has been listed as a principal of MLAI since July 29, 2008. He has been registered with NFA as an associated person of MLAI since September 11, 2009. He also serves as Managing Director within the Merrill Lynch Global Wealth & Investment Management group and the Global Investments Solutions group (“GWIM” and “GIS,” respectively), responsible for heading GWIM’s Alternative Investments business. In addition, Mr. Ferri also serves as President of IQ Investment Advisors LLC (“IQ”), an indirect, wholly-owned investment adviser subsidiary of Merrill Lynch & Co., and through December 10, 2010, served as President of each of IQ’s publicly traded closed-end mutual fund companies. Prior to his role in GIS, Mr. Ferri was a Director in the MLPF&S Global Private Client Market Investments & Origination group, and before that, he served as a Vice President and head of the MLPF&S Global Private Client Rampart Equity Derivatives team. Prior to joining Merrill Lynch in 2002, Mr. Ferri was a Vice President within the Quantitative Development group of mPower Advisors LLC from 1999 to 2002, and prior to that, he worked in the Private Client division of J.P. Morgan & Co. He holds a B.A. degree from Loyola College in Maryland.

Barbra E. Kocsis is the Chief Financial Officer for MLAI. Ms. Kocsis, 44 years old, has been the Chief Financial Officer of MLAI since October 2006. Ms. Kocsis has been listed with the NFA as a principal of MLAI since May 21, 2007 and is a Director within the Merrill Lynch Global Wealth Investment Management Services group, positions she has held since October 2006. Prior to serving in her current roles, she was the Fund Controller of MLAI from May 1999 to September 2006. Before joining MLAI, Ms. Kocsis held various accounting and tax positions at Derivatives Portfolio Management LLC from May 1992 until May 1999, at which time she held the position of accounting director. Prior to that, she was an associate at Coopers & Lybrand in both the audit and tax practices from September 1988 to February 1992. She graduated cum laude from Monmouth College with a Bachelor of Science in Business Administration - Accounting.

Deann Morgan is a Vice President and Manager of MLAI. Ms. Morgan, 41 years old, has been a Vice President of MLAI since March 2008 and Managing Director of GIS since January 2009. As Managing Director of GIS, Ms. Morgan heads Alternative Investments Origination. From April 2006 until March 2008, Ms. Morgan was a Director for Merrill Lynch’s Investments, Wealth Management & Insurance group, where she was responsible for origination of private equity and listed alternative investments. Between August 1999 and April 2006, Ms. Morgan worked for Merrill Lynch’s Investment Banking Group covering Asian corporate clients. She received her M.B.A. from University of Chicago and her B.B.A. from University of Michigan. Ms. Morgan has been registered with NFA as an associated person and listed as a principal of MLAI since August 21, 2009. Ms. Morgan has also been registered with NFA as an associated person of MLPF&S since April 13, 2009.

James L. Costabile, is a Vice President and Manager of MLAI. Mr. Costabile, 34 years old, has been a Managing Director within the Global Investments Solutions group (“GIS”) responsible for alternative investment distribution for Merrill Lynch since June 2007 and US Trust since January 2009. Mr. Costabile has been listed as a principal of MLAI since July 14, 2010. He has also been registered with NFA as an associated person of Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) since August 20, 2007. Mr. Costabile was previously registered as an associated person of Citigroup Global Markets Inc. from November 13, 2003 to July 6, 2007. As part of the MLAI management team, Mr. Costabile oversees a team of specialists responsible for supporting hedge funds, private equity and real asset offerings. Prior to joining Merrill Lynch in 2007, Mr. Costabile spent ten years with Citigroup Inc., most recently as a Managing Director for Citigroup Alternative Investments responsible for co-heading Smith Barney Alternative Investment Distribution from February 2005 to June 2007. Prior to that, Mr. Costabile held a number of positions involving sales, marketing, product management and financial advisor training within different divisions of Citigroup, Inc. including: Citigroup Alternative Investments from May 2003 to February 2005 (sales manager for hedge funds, private equity funds, structured products and exchange funds); the Private Capital Group from February 2001 to May 2003 (sales desk manager for alternative funds for Smith Barney and Citi Private Bank); Salomon Smith Barney Alternative Investment Group from February 1999 to February 2001 (producing sales desk manager for alternative investment funds); Smith Barney Alternative Investments from March 1998 to February 1999 (sales desk supervisor for alternative investment funds) and Smith Barney Capital Management from November 1997 to March 1998 (participating in sales, marketing and product management). Mr. Costabile received a B.S. from Fordham University and holds the Chartered Alternative Investment Analyst designation.

Paul D. Harris, is a Vice President and Manager of MLAI. Mr. Harris, 40 years old, has been Managing Director and head of Strategy and Marketing in the Alternative Investment group within GIS since December 2009. Mr. Harris has been listed as a principal of MLAI since August 26, 2010. Mr. Harris is responsible for leading Strategy, Marketing and Information Management functional teams in developing alternative investment solutions, including hedge funds, managed futures, private equity and real assets investments for financial advisors. Prior to joining Merrill Lynch in December 2009, Mr. Harris was a Managing Director at PH Investment Group, LLC from May 2008 to November 2009, and before that a Director at Bridgewater Associates from June 2007 to March 2008. Mr. Harris was also a Director at Citigroup Alternative Investments and the Strategy and M&A team at Citigroup’s investment bank from January 2003 to January 2007. From January 2002 to January 2003, Mr. Harris was the Director of Business Development at Pomona Capital. In addition, Mr. Harris worked in strategic consulting as a Project Leader at the Boston Consulting Group from September 1999 to January 2002. Mr. Harris began his career with Barclays Capital and Goldman Sachs in investment banking and capital markets in September 1992. Mr. Harris holds an MBA from Harvard Business School and a BA in Economics and Politics from Essex University, UK.

Colleen R. Rusch, is a Vice President and Manager of MLAI. Ms. Rusch, 42 years old, has been a Director within GIS responsible for overseeing Merrill Lynch Global Wealth & Investment Management group’s Alternative Investments product and trading platform since 2007. Ms. Rusch has applied to be listed as a principal of MLAI. In addition, Ms. Rusch serves as Chief Administrative Officer and Vice President of IQ Investment Advisors LLC (“IQ”), an indirect wholly-owned investment adviser subsidiary of Merrill Lynch & Co., and serves as Vice President and Secretary of each of IQ’s publicly-traded closed-end mutual funds. Prior to her role in GIS, Ms. Rusch was a Director in the MLPF&S Global Private Client - Market Investment & Origination Group (“MIO”) from July 2005 to 2007. Prior to her role as a Director in MIO, Ms. Rusch was a Director of Merrill Lynch Investment Managers from January 2005 to July 2005 and a Vice President from April 1993 to December 2004. Ms. Rusch holds a B.S. degree in Business Administration from Saint Peter’s College in New Jersey.

As of December 31, 2010, the principals of MLAI had no investment in the Fund.

MLAI acts as the sponsor, general partner or manager to eight public futures funds whose units of limited partner or member interests are registered under the Securities Exchange Act of 1934: ML Aspect FuturesAccess LLC, Bluetrend FuturesAccess LLC, MAN AHL FuturesAccess LLC, ML Select Futures I L.P., ML Systematic Momentum FuturesAccess LLC, , ML Transtrend DTP Enhanced FuturesAccess LLC, ML Trend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAI serves as the sole sponsor, general partner or manager of each of these Funds, the officers and managers of MLAI effectively manage them as officers and directors of such funds.

None.

(d) Family Relationships:

None.

(e) Business Experience:

See Item 10(a) and (b) above.

(f) Involvement in Certain Legal Proceedings:

None.

(g) Promoters and Control Persons:

Not applicable.

(h) Section 16(a) Beneficial Ownership Reporting Compliance:

Not contained herein.

Code of Ethics:

MLAI and Merrill Lynch have adopted a code of ethics which applies to the Fund’s (MLAI’s) principal executive officer and principal financial officer or persons performing similar functions on behalf of the Fund. A copy of the code of ethics is available to any person, without charge, upon request by calling 1-866-MER-ALTS.

Nominating Committee:

Not applicable. (Neither the Fund nor MLAI has nominating committee.)

Audit Committee: Audit Committee Financial Expert:

Not applicable. (Neither the Fund nor MLAI has an audit committee. There are no listed shares of the Fund or MLAI.)

Item 11: Executive Compensation

The managers and officers of MLAI are remunerated by Merrill Lynch in their respective positions. The Fund does not itself have any officers, managers or employees. The Portfolio Funds pay Brokerage Commissions to an affiliate of MLAI and the Fund pays Sponsor Fees to MLAI. MLAI or its affiliates may also receive certain economic benefits from possession of the Fund’s and Portfolio Funds’ U.S. dollar assets. The managers and officers receive no “other compensation” from the Fund, and the managers receive no compensation for serving as managers of MLAI. There are no compensation plans or arrangements relating to a change in control of either the Fund or MLAI.

Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

(a) Security Ownership of Certain Beneficial Owners:

Not applicable. (The Units are non-voting securities limited liability company interests. The Fund is managed by MLAI, its sponsor and manager.)

(b) Security Ownership of Management:

As of December 31, 2010, MLAI owned no Unit-equivalent member interests, and the principals of MLAI did not own any Units.

None.

(d) Securities Authorized of Issuance Under Equity Compensation Plans:

Not applicable.

Item 13: Certain Relationships and Related Transactions and Director Independence

(a) Transactions between Merrill Lynch and the Fund

Some of the service providers to the Fund are affiliates of Merrill Lynch. However, none of the fees paid by the Fund to such Merrill Lynch affiliates were negotiated and such fees charged to the Fund might be higher than would have been obtained in arms-length negotiations.

The Portfolio Funds pay MLPF&S and its affiliates substantial Brokerage Commissions and Sponsor Fees as well as bid-ask spreads on forward currency trades. The Portfolio Funds also pay MLPF&S interest on short-term loans extended by MLPF&S to cover losses on foreign currency positions.

Within the Merrill Lynch organization, MLAI is the beneficiary of the revenues received by different Merrill Lynch entities from the Fund and Portfolio Funds. MLAI controls the management of the Fund and serves as its promoter. Although MLAI has not sold any assets, directly or indirectly, to the Fund, MLAI makes substantial profits from the Fund due to the foregoing revenues.

No loans have been, are or will be outstanding between MLAI or any of its principals and the Fund.

MLAI pays substantial selling commissions and trailing commissions to MLPF&S for distributing the Units. MLAI is ultimately paid back for these expenditures from the revenues it receives from the Fund.

(b) Certain Business Relationships:

MLPF&S, an affiliate of MLAI, acts as the principal commodity broker for the Portfolio Funds.

In 2010, the Fund expensed (i) Sponsor fees of $18,769,349 earned by MLAI.

The Fund holds cash at an unaffiliated bank which invests such cash in a money market fund which is managed by BlackRock, a related party to MLAI. The Cash and cash equivalents as seen on the Statements of Financial Condition is the amount held by the related party.

See Item 1(c), “Narrative Description of Business — Charges” and “— Description of Current Charges” for a discussion of other business dealings between MLAI affiliates and the Fund.

None.

(d) Transactions with Promoters:

Not applicable.

(e) Director Independence

No person who served as a manager of MLAI during 2010 would be considered independent (based on the definition of an independent director under the NASDAQ rules.)

Item 14: Principal Accounting Fees and Services

(a) Audit Fees

Aggregate fees billed for professional services rendered by PricewaterhouseCoopers LLP in connection with the audit of the Fund’s financial statements as of and for the years ended December 31, 2010 and 2009 were $93,000 and $93,000, respectively.

Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, 2010 and 2009 related to the Fund.

(b) Tax Fees

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2010 and 2009 and for professional services rendered to the fund in connection with tax compliance, tax advice and tax planning.

Aggregate fees billed for professional services rendered by PricewaterhouseCoopers LLP in connection with the quarterly review of the Fund’s financial statements as of and for the years ended December 31, 2010 and 2009 were $69,750 and $69,750, respectively.

Neither the Fund nor MLAI has an audit committee to pre-approve principal accountant fees and services. In lieu of an audit committee, the managers and the principal financial officer pre-approve all billings prior to the commencement of services.

PART IV

Item 15: Exhibits and Financial Statement Schedules

		Page:
1.	Financial Statements (found in Exhibit 13.01):

	REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS	1

	FINANCIAL STATEMENTS

	Statements of Financial Condition as of December 31, 2010 and 2009	3

	Statements of Operations for the years ended December 31, 2010, 2009 and 2008	4

	Statement of Changes in Members’ Capital for the years ended December 31, 2010, 2009 and 2008	5

	Financial Data Highlights for the years ended December 31, 2010, 2009 and 2008	7

	Notes to Financial Statements	10

2.	Financial Statement Schedules:

	(a) Financial Statements of ML TransTrend DTP Enhanced FuturesAccess LLC

	Report of Independent Registered Public Accounting Firm	1

	Statements of Financial Condition as of December 31, 2010 and 2009	2

	Statements of Operations for the years ended December 31, 2010, 2009 and 2008	3

	Statements of Changes in Member’s Capital for the years ended December 31, 2010, 2009 and 2008	4

	Financial Data Highlights for the years ended December 31, 2010, 2009 and 2008	6

	Notes to Financial Statements	9

	Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial statements or notes thereto.

	3.	Exhibits:

		The following exhibits are incorporated by reference or are filed herewith to this Annual Report on Form 10-K:

Designation		Description

3.01		Certificate of Formation of ML Systematic Momentum FuturesAccess LLC.

Exhibit 3.01:		Is incorporated herein by reference from Exhibit 3.1 contained in the Registration Statement (File No. 0-52505) filed on November 14, 2007, on Form 10 under the Securities Exchange Act of 1934.

3.02		Amended and Restated Limited Liability Company Operating Agreement of ML Systematic Momentum FuturesAccess LLC.

Exhibit 3.02		Is incorporated by reference from Exhibit 3.02 contained in the Registrant’s Report on Form 10-K for the year-ended December 31, 2009, filed on March 31, 2010.

13.01		2010 Annual Report and Report of Independent Registered Public Accounting Firm.

13.02		Financial Statements of ML TransTrend DTP Enhanced FuturesAccess LLC

Exhibit 13.01
Exhibit 13.02:		Are filed herewith.

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

Exhibit 31.01 and 31.02:		Are filed herewith.

32.01 and 32.02		Section 1350 Certifications

Exhibit 32.01 and 32.02:		Are filed herewith.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC
By:	MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, Manager
By:	/s/Justin C. Ferri
Justin C. Ferri
Chief Executive Officer, President and Manager
(Principal Executive Officer)

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, this report has been signed on March 15, 2011 by the following persons on behalf of the Registrant and in the capacities indicated.

Signature	Title	Date

/s/Justin C. Ferri	Chief Executive Officer, President and Manger	March 15, 2011
Justin C. Ferri

/s/ Barbra E. Kocsis	Chief Financial Officer	March 15, 2011
Barbra E. Kocsis	Principal Financial and Accounting Officer)

/s/Deann Morgan	Vice President and Manager	March 15, 2011
Deann Morgan

/s/James L. Costabile	Vice President and Manager	March 15, 2011
James L. Costabile

/s/Paul D. Harris	Vice President and Manager	March 15, 2011
Paul D. Harris

/s/Colleen R. Rusch	Vice President and Manager	March 15, 2011
Colleen R. Rusch

(Being the principal executive officer, the principal financial and accounting officer and a majority of the managers of Merrill Lynch Alternative Investments LLC)

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

2010 FORM 10-K

INDEX TO EXHIBITS

		Exhibit

Exhibit 13.01		2010 Annual Report and Report of Independent Registered Public Accounting Firm

Exhibit 13.02		ML Transtrend DTP Enhanced FuturesAccess LLC Financial Statements as of and for the years ended December 31, 2010, 2009 and 2008 and Report of Independent Registered Public Accounting Firms

Exhibit 31.01 and 31.02		Rule 13a - 14(a) / 15d - 14(a) Certifications

Exhibit 32.01 and 32.02		Sections 1350 Certifications

EX-13.01 2 a11-7503_4ex13d01.htm EX-13.01

Exhibit 13.01

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

Financial Statements as of and for the years ended

December 31, 2010, 2009 and 2008

and Reports of Independent Registered Public Accounting Firms

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page

REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS	2

FINANCIAL STATEMENTS:

Statements of Financial Condition as of December 31, 2010 and 2009	4

Statements of Operations for the years ended December 31, 2010, 2009 and 2008	5

Statements of Changes in Members’ Capital for the years ended December 31, 2010, 2009 and 2008	6

Financial Data Highlights for the years ended December 31, 2010, 2009 and 2008	8

Notes to Financial Statements	11

Report of Independent Registered Public Accounting Firm

To the Members of

ML Systematic Momentum FuturesAccess LLC:

In our opinion, the accompanying statements of financial condition, and the related statements of operations, changes in members’ capital, and financial data highlights present fairly, in all material respects, the financial position of ML Systematic Momentum FuturesAccess LLC (the “Fund”) at December 31,2010 and December 31, 2009, and the results of its operations, the changes in its members’ capital and its financial data highlights for the years then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and the financial data highlights (hereafter referred to as the “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

March 15, 2011

PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017

T: (646) 471 3000, F: (646) 471 8320, www.pwc.com/us

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Members of

ML Systematic Momentum FuturesAccess LLC:

We have audited the accompanying statements of operations, changes in members’ capital and the financial data highlights of ML Systematic Momentum FuturesAccess LLC (the “Fund”), for the year ended December 31, 2008. These financial statements and financial data highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial data highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial data highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the results of operations, changes in members’ capital and the financial data highlights of ML Systematic Momentum FuturesAccess LLC for the year ended December 31, 2008, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

New York, New York

March 15, 2011

A member firm of
Deloitte Touche Tohmatsu

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2010 and 2009

	2010		2009
ASSETS:

Cash and cash equivalents	$	312,720	$	54,630,410
Investment in Portfolio Funds (Cost $917,232,393 at 2010 and $757,978,343 at 2009)	1,038,634,185		787,161,250
Other assets	120,000		58,216
Accrued Interest Receivable	48		8,697
Receivable from Portfolio Fund	—		36,355,806

TOTAL ASSETS	$	1,039,066,953	$	878,214,379

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor fee payable	$	1,718,827	$	1,442,757
Redemptions payable	9,355,655		8,071,178
Other liabilities	580,585		399,200

Total liabilities	11,655,067		9,913,135

MEMBERS’ CAPITAL:
Members’ Interest (803,714,707 Units and 742,615,122 Units outstanding, unlimited Units authorized)	1,027,411,886		868,301,244
Total members’ capital	1,027,411,886		868,301,244

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	1,039,066,953	$	878,214,379

NET ASSET VALUE PER UNIT:

Class A	$	1.2523	$	1.1397
Class C	$	1.2615	$	1.1596
Class D	$	1.4789	$	1.3259
Class I	$	1.3265	$	1.2024
Class D1	$	1.3199	$	1.1833
Class DA	$	—	$	—

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008

	2010			2009			2008
TRADING PROFIT (LOSS):

Realized, net	$	16,360,846		$	(4,551,852	)	$	9,202,478
Change in unrealized, net	92,218,885			(57,300,048		)	71,910,257

Total trading profit (loss)	108,579,731			(61,851,900		)	81,112,735

INVESTMENT INCOME:
Interest	3,003			100,827			97,972

EXPENSES:
Sponsor fee	18,769,349			14,993,578			6,953,728
Other	1,451,397			1,066,617			632,387
Total expenses	20,220,746			16,060,195			7,586,115

NET INVESTMENT INCOME (LOSS)	(20,217,743		)	(15,959,368		)	(7,488,143		)

NET INCOME (LOSS)	$	88,361,988		$	(77,811,268	)	$	73,624,592

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	109,375,008			72,278,307			23,953,472
Class C	531,784,589			424,839,320			198,139,920
Class D	30,338,915			27,746,997			25,725,432
Class I	79,536,161			68,216,740			40,873,271
Class D1	37,708,328			36,879,598			19,636,088
Class DA*	—			46,290,806			56,445,187.00

Net income (loss) per weighted average Unit
Class A	$	0.1146		$	(0.1065	)	$	0.2175
Class C	$	0.1053		$	(0.1252	)	$	0.2298
Class D	$	0.1602		$	(0.1098	)	$	0.2860
Class I	$	0.1255		$	(0.1129	)	$	0.2269
Class D1	$	0.1317		$	(0.0941	)	$	0.2374
Class DA*	$	—		$	(0.0608	)	$	0.0282

* Units issued on December 1, 2008 and liquidated as of September 30, 2009. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2009 to September 30, 2009.)

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008

	Members’ Capital				Members’ Capital				Members’ Capital				Members’ Capital
	December 31, 2007	Subscriptions	Redemptions		December 31, 2008	Subscriptions	Redemptions		December 31, 2009	Subscriptions	Redemptions		December 31, 2010
Class A	5,078,646	44,090,513	(5,757,217	)	43,411,942	68,840,956	(10,971,528	)	101,281,370	37,454,263	(28,793,436	)	109,942,197
Class C	69,888,701	298,412,978	(50,944,452	)	317,357,227	243,313,258	(64,909,097	)	495,761,388	117,503,045	(67,357,146	)	545,907,287
Class D	16,803,705	23,519,954	(5,445,345	)	34,878,314	12,101,406	(16,996,575	)	29,983,145	10,949,271	(6,931,705	)	34,000,711
Class I	14,757,114	46,161,324	(7,718,330	)	53,200,108	41,524,978	(18,911,876	)	75,813,210	13,078,347	(10,583,415	)	78,308,142
Class D1	4,990,154	28,477,949	(2,428,057	)	31,040,046	10,873,640	(2,137,677	)	39,776,009	2,388,929	(6,608,568	)	35,556,370
Class DA*	—	56,445,187	(3,649,745	)	52,795,442	—	(52,795,442	)	—	—	—		—

Total Members’ Units	111,518,320	497,107,905	(75,943,146	)	532,683,079	376,654,238	(166,722,195	)	742,615,122	181,373,855	(120,274,270	)	803,714,707

* Units issued on December 1, 2008 and liquidated as of September 30, 2009.

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008


	Members’ Capital							Net Income		Members’ Capital							Net Income			Members’ Capital							Net Income		Members’ Capital
	December 31, 2007		Subscriptions		Redemptions			(Loss)		December 31, 2008		Subscriptions		Redemptions			(Loss)			December 31, 2009		Subscriptions		Redemptions			(Loss)		December 31, 2010
Class A	$	5,217,419.00	$	50,773,605	$	(6,670,127	)	$	5,208,770	$	54,529,667	$	81,493,093	$	(12,896,520	)	$	(7,692,771	)	$	115,433,469	$	43,208,239	$	(33,492,677	)	$	12,533,508	$	137,682,539
Class C	74,531,573		350,073,604		(60,487,671		)	45,528,837		409,646,343		297,112,874		(78,716,580		)	(53,153,380		)	574,889,257		137,194,846		(79,462,491		)	56,020,888		688,642,500
Class D	19,442,860		30,338,088		(6,986,221		)	7,357,954		50,152,681		16,149,077		(23,558,237		)	(2,989,145		)	39,754,376		15,063,878		(9,395,654		)	4,861,560		50,284,160
Class I	15,867,209		54,394,371		(9,328,239		)	9,275,144		70,208,485		52,343,272		(23,702,669		)	(7,693,014		)	91,156,074		15,803,018		(13,065,374		)	9,978,523		103,872,241
Class D1	5,165,016		33,092,685		(3,043,195		)	4,661,767		39,876,273		13,341,647		(2,682,871		)	(3,466,981		)	47,068,068		2,952,144		(8,057,275		)	4,967,509		46,930,446
Class DA*	—		56,445,187		(3,752,668		)	1,592,120		54,284,639		—		(51,468,662		)	(2,815,977		)	—		—		—			—		—

Total Members’ Capital	$	120,224,077	$	575,117,540	$	(90,268,121	)	$	73,624,592	$	678,698,088	$	460,439,963	$	(193,025,539	)	$	(77,811,268	)	$	868,301,244	$	214,222,125	$	(143,473,471	)	$	88,361,988	$	1,027,411,886

* Units issued on December 1, 2008 and liquidated as of September 30, 2009.

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2010

The following per unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class D1
Per Unit Operating Performance:

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

Net Realized and net unrealized change in trading profit (loss)	0.1319			0.1333			0.1551			0.1396			0.1384
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0193		)	(0.0314		)	(0.0021		)	(0.0155		)	(0.0018		)

Net asset value, end of year	$	1.2523		$	1.2615		$	1.4789		$	1.3265		$	1.3199

Total Return: (a)

Total return	9.88		%	8.78		%	11.54		%	10.32		%	11.54		%

Ratios to Average Members’ Capital:

Expenses	1.66		%	2.67		%	0.15		%	1.26		%	0.15		%

Net investment income (loss)	-1.66		%	-2.67		%	-0.15		%	-1.26		%	-0.15		%

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

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2009

The following per unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class D1			Class DA*
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.2561		$	1.2908		$	1.4379		$	1.3197		$	1.2847		$	1.0282

Net Realized and net unrealized change in trading profit (loss)	(0.0971		)	(0.0995		)	(0.1119		)	(0.1022		)	(0.0998		)	0.0073
Interest income	0.0001			0.0001			0.0002			0.0002			0.0001			0.0001
Expenses	(0.0194		)	(0.0318		)	(0.0003		)	(0.0153		)	(0.0017		)	(0.0007		)

Net asset value, before liquidation	1.1397			1.1596			1.3259			1.2024			1.1833			1.0349
Less liquidating distribution	—			—			—			—			—			1.0349
Net asset value, end of year	$	1.1397		$	1.1596		$	1.3259		$	1.2024		$	1.1833		$	—

Total Return: (a)

Total return	-9.27		%	-10.17		%	-7.90		%	-8.90		%	-7.90		%	-5.50		%

Ratios to Average Members’ Capital:

Expenses	1.64		%	2.64		%	0.14		%	1.24		%	0.14		%	0.10		%

Net investment income (loss)	-1.63		%	-2.63		%	-0.13		%	-1.23		%	-0.13		%	-0.09		%

*Units issued December 1, 2008 and liquidated as of September 30, 2009.

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2008

The following per unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class D1			Class DA*
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.0273		$	1.0664		$	1.1571		$	1.0752		$	1.0350		$	1.0000

Net Realized and net unrealized change in trading profit	0.2494			0.2577			0.2846			0.2614			0.2532			0.0280
Interest income	0.0003			0.0004			0.0004			0.0004			0.0003			0.0000
Expenses	(0.0209		)	(0.0337		)	(0.0042		)	(0.0173		)	(0.0038		)	0.0002

Net asset value, end of year	$	1.2561		$	1.2908		$	1.4379		$	1.3197		$	1.2847		$	1.0282

Total Return: (b)

Total return	22.20		%	20.98		%	24.05		%	22.68		%	24.05		%	2.82		%

Ratios to Average Members’ Capital:

Expenses	1.85		%	2.87		%	0.34		%	1.46		%	0.34		%	-0.19		%(a)

Net investment income (loss)	-1.82		%	-2.84		%	-0.31		%	-1.43		%	-0.31		%	0.19		%

*Units issued December 1, 2008.

(a) The ratios have been annualized and do not reflect the proportionate share of income and expenses of the Portfolio funds.

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

See notes to financial statements.

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

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

MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the commodity broker of the Portfolio Funds. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

The Program is a group of commodity pools sponsored by MLAI (each a “Program Fund” or collectively, “Program Funds”) each of which places substantially all of its assets in a managed futures and forward trading account managed by a single or multiple commodity trading advisors. Each Program Fund is generally similar to the Fund in terms of fees, Classes of Units and redemption rights. Each of the Program Funds implements a different trading strategy.

As of December 31, 2010 the Fund offers four Classes of Units to retail investors: Class A, Class C, Class D and Class I. Each Class of Units was offered at $1.00 per Unit and subsequently is offered at Net Asset Value per Unit. The four Classes of Units are subject to different Sponsor fees. Class D1 is used exclusively for investments made by Systematic Momentum FuturesAccess LTD. Class DA was used exclusively for investments made by Systematic Momentum FuturesAccess II LLC until its liquidation at September 30, 2009.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, Bank of America Corporation or any of its affiliates or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

Statement of Cash Flows

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

Revenue Recognition

The Portfolio Funds’ may invest in commodity futures, options on futures and forward contract transactions which are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition of the Portfolio Funds as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss) in the Statements of Operations of the Portfolio Funds.

Trading profit (loss) of the Portfolio Funds is reduced for brokerage commission costs.

The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Portfolio Funds) is reflected in the Statements of Operations as “Change in unrealized”. In addition, when the Fund redeems or partially redeems its interest in the Portfolio Funds, it records realized (net profit or loss) under Trading profit (Loss) for such interests in the Statements of Operations of the Portfolio Fund.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it and the Portfolio Funds may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition of the Fund and each of the Portfolio Funds. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Gains and losses resulting from the translation to U.S. dollars are included in Trading Profit (loss) in the Statements of Operations of the Fund and each of the Portfolio Funds.

Cash and Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost, as provided by the investment manager of the cash equivalent, which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.

Operating Expenses and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemptions process, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and expenses) incurred by the Fund.

Class A Units are subject to a sales commission paid to Merrill Lynch ranging from 1.00% to 2.50%. Class D and Class I Units are subject to sales commissions up to 0.50%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C and D1Units are not subject to any sales commissions.

Income Taxes

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

The Fund follows the Accounting Standard Codification (“ASC”) guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2007.

Distributions

The Members are entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2010, 2009 and 2008.

Subscriptions

Units are offered as of the close of business at the end of each month. Shares are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month. Subscriptions submitted less than three days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

A Member may redeem or exchange some or all of such Member’s Units at Net Asset Value as of the close of business, on the last business day of any month, upon ten calendar days’ notice (“notice period”).

An investor in the Fund can exchange these Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days’ prior notice. The minimum exchange amount is $10,000.

Redemption and exchange requests are accepted within the notice period. The Fund does not accept any redemption requests after the notice period. All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund

The Fund may terminate if certain circumstances occur as set forth in the private placement memorandum, which include but are not limited to the following:

(a) Bankruptcy, dissolution, withdrawal or other termination of the trading advisors of this Fund.

(b) Any event which would make unlawful the continued existence of this Fund.

2. INVESTMENTS IN PORTFOLIO FUNDS

The Portfolio Funds in which the Fund was invested as of December 31, 2010 and 2009 were: ML Altis FuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), ML Blue Trend FuturesAccess LLC (“Blue Trend”), ML John Locke FuturesAccess LLC (“John Locke”) ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), ML Tudor Tensor FuturesAccess LLC (“Tudor Tensor”) and ML Winton FuturesAccess LLC (“Winton”). The Fund had positions in ML Chesapeake FuturesAccess LLC (“Chesapeake”) which liquidated January 31, 2010 and ML GSA FuturesAccess LLC (“GSA”) which liquidated May 31, 2009. MLAI, the Sponsor of the Fund, may in its discretion, change the Portfolio Funds at any time. MLAI, also at its discretion may, vary the percentage of the Fund’s total portfolio allocated to the different Portfolio Funds. There is no pre-established range for the minimum and maximum allocations that may be made to any given Portfolio Fund.

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

At December 31, 2010, details of Investments in Portfolio Funds are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/10		Management Fees			Performance Fees		Redemptions Permitted
Chesapeake*	0.00	%	—		(2,598,008		)	—		(144,407		)	—		monthly
Transtrend	17.87	%	183,615,388		29,487,583			170,118,192		(3,404,718		)	—		monthly
Altis	13.05	%	134,073,398		12,597,945			104,309,484		(2,445,604		)	—		monthly
Winton	17.74	%	182,231,744		20,913,669			159,384,935		(3,399,640		)	—		monthly
Aspect	10.04	%	103,142,819		14,049,609			89,607,738		(1,888,760		)	—		monthly
John Locke	14.08	%	144,651,209		10,500,284			135,795,468		(2,627,905		)	—		monthly
BlueTrend	15.53	%	159,597,862		18,370,900			131,991,494		(2,703,505		)	—		monthly
Tudor	12.78	%	131,321,765		5,257,749			126,025,082		(2,391,031		)	—		monthly

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

* Liquidated as of January 31, 2010.

At December 31, 2009, details of Investments in Portfolio Funds are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/09		Management Fees			Performance Fees			Redemptions Permitted
Chesapeake**	8.01	%	89,097,919		548,547			85,817,248		(1,610,421		)	(66,420		)	monthly
Transtrend	13.69	%	152,211,381		(25,830,157		)	159,370,194		(2,728,503		)	(174		)	monthly
Altis	10.37	%	115,332,711		(8,896,043		)	95,037,963		(2,077,161		)	—			monthly
Winton	14.26	%	158,630,744		(8,375,671		)	155,014,029		(2,753,086		)	(76		)	monthly
Aspect	7.75	%	86,166,474		(8,874,084		)	85,326,225		(1,594,961		)	(4,182		)	monthly
John Locke	11.22	%	124,737,088		(9,350,844		)	126,419,973		(2,692,888		)	—			monthly
BlueTrend	5.48	%	60,984,933		2,608,281			50,992,711		(1,136,431		)	(575,116		)	monthly
GSA*	0.00	%	—		(3,681,929		)	—		(690,487		)	—			monthly
	70.78	%	$	787,161,250	$	(61,851,900	)	$	757,978,343	$	(15,283,938	)	$	(645,968	)

* Liquidated as of May 2009

** Liquidated as of January 31, 2010.

As of December 31, 2010 and 2009, no single investment in the Portfolio Funds exceeds 5% of Member’

These investments are recorded at fair value and in accordance with Regulation S-X. The following is summarized financial information for each of the Portfolio Funds which requires disclosure.

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

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

	As of December 31, 2009
	Total Assets		Total Liabilities		Total Capital
Transtrend	$	238,072,475	$	2,171,789	$	235,900,686

Total	$	238,072,475	$	2,171,789	$	235,900,686

	For the year ended December 31,2010
									Net
	Income (Loss)		Commissions			Other			Income (Loss)
Transtrend	$	35,391,195	$	(912,767	)	$	(4,990,845	)	$	29,487,583

Total	$	35,391,195	$	(912,767	)	$	(4,990,845	)	$	29,487,583

	For the year ended December 31, 2009
										Net
	Income (Loss)			Commissions			Other			Income (Loss)
Transtrend	$	(22,029,665	)	$	(718,793	)	$	(3,081,699	)	$	(25,830,157	)

Total	$	(22,029,665	)	$	(718,793	)	$	(3,081,699	)	$	(25,830,157	)

3. FAIR VALUE OF INVESTMENTS

The Financial Accounting Standards Board (“FASB”) issued the ASC which provide authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

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

The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair value measurement guidance, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

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

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

Following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

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

Although there are monthly transactions in these Portfolio Funds, the Net Asset Value’s (“NAV”) are materially based on portfolios of Level I and Level II assets and liabilities for which the Fund has transparency. As such, the Fund determined that its investments in these investment companies in this case, would be classified as Level II. There were no transfers to or from Level II during 2010 and 2009.

The following table summarizes the valuation of the Fund’s investment by the above fair value hierarchy levels as of December 31, 2010 and 2009:

Investment in
Portfolio Funds	Total		Level I		Level II		Level III

December 31, 2010	$	1,038,634,185	$	—	$	1,038,634,185	$	—
December 31, 2009	$	787,161,250	$	—	$	787,161,250	$	—

4. RELATED PARTY TRANSACTIONS

The Portfolio Funds’ U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Portfolio Funds with interest at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% of such prevailing rate. The Portfolio Funds are credited with interest on any of their assets and net gains actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Portfolio Funds, from possession of such assets.

Merrill Lynch charges the Portfolio Funds at prevailing local interest rates for financing realized and unrealized losses on each Portfolio Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.

The Fund charges Sponsor fees on the month-end net assets after all other charges at annual rates equal to 1.50% for Class A, 2.50% for Class C, and 1.10% on Class I. Class D1 and D are not charged a Sponsor Fee. Sponsor fees are paid to MLAI.

No brokerage commission is charged to members at the Fund level, although brokerage commissions are charged to members at the Portfolio Funds’ level, and members will be indirectly subject to their pro rata share of such fees based on the investment of the Fund in such underlying Portfolio Funds. Brokerage commissions will be paid on the completion or liquidation of a trade and are referred to as “round-turn” commissions, which cover both the initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a commodity futures contract. A portion of the brokerage fees is paid to Portfolio Funds’ executing brokers, which include MLPF&S, as the commission on their execution services. The “round-turn” commissions paid will not exceed $15 per round-turn, except in the case of certain foreign contracts on which the rates may be as high as $100 per round-turn due to the large size of the contracts traded. In general, it is estimated that aggregate brokerage commission charges will not exceed 3% and should equal approximately 0.50% per annum of each of the Portfolio Fund’s average month-end assets.

Interest and Sponsor Fees as presented on the Statements of Operations are all received from or paid to related parties.

5. ADVISORY AGREEMENTS

Each Portfolio Fund implements a systematic-based managed futures strategy under the direction of its trading advisors which are listed below:

		Next Renewal Date
Portfolio Fund	Advisor	of Advisory Agreement
Altis	Altis Partners (Jersey) Limited	December 31, 2016
Aspect	Aspect Capital Management	December 31, 2011
Chesapeake**	Chesapeake Capital Corporation	December 31, 2016
Transtrend	Transtrend B.V.	December 31, 2012
Winton	Winton Capital Management Limited	December 31, 2014
John Locke	John Locke Investments SA	December 31, 2016
GSA*	GSA Capital Partner, LLP	June 30, 2012
BlueTrend	BlueCrest Capital Management, L.P.	December 31, 2011
Tudor	Tudor Investment Corporation	December 31, 2012

* Liquidated as of May 31, 2009

** Liquidated as of January 31, 2010.

The advisory agreements shall be automatically renewed for successive three-year periods with the exception of Transtrend which has an automatic renewal of one-year period and Tudor which has an automatic renewal of two-year period on the same terms, unless terminated by either the Portfolio Fund or the respective advisor upon 90 days’ notice to the other party. The trading advisors determine the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Portfolio Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.

The Portfolio Funds pay their respective trading advisors an annual management fee of 2.00% of their average month-end assets after reduction for the brokerage commissions accrued with respect to such assets. For Altis, BlueTrend, Transtrend and Tudor, MLAI receives 50% of the 2.00% management fees. For Aspect, Winton and John Locke, MLAI receives 25% of the 2.00% management fees. The remainder is paid to the respective Trading Advisor.

Performance charged by the Portfolio Funds are calculated at 20% for all Portfolio Funds except BlueTrend and Transtrend which is calculated at 25% of any New Trading Profit, as defined in the private placement memorandum, and earned by the respective advisors. Performance fees are also paid out in respect of Units redeemed as of the end of interim month, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. For the following Funds, Aspect, Winton and John Locke, MLAI received 25% of the 20% performance fees.

6. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit. The weighted average number of Units outstanding for the years ended December 31, 2010, 2009 and 2008 equals the Units outstanding for each Class as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year/period.

7. RECENT ACCOUNTING PRONOUNCEMENTS

In January 2010, the FASB issued an update to the fair value measurements disclosure. Pursuant to this update, additional disclosures in the financial statements relating to transfers in and out of Levels 1 and 2 fair value measurements and separate disclosure of purchases, sales, issuances, and settlements in Level 3 rollforward, will be required. In addition, this update provides clarifications on i) the level of aggregation of classes of assets and liabilities disclosed in the fair value measurement disclosures and ii) disclosures relating to the inputs and valuation techniques for Level 2 and Level 3 fair value measurements. The new disclosures and clarifications of existing disclosures are effective for annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the Level 3 roll forward which are effective for fiscal years beginning after December 15, 2010. This update further enhances the fair value disclosures and the Sponsor has determined that the adoption of this update would not have a material impact to the Fund’s financial statements.

8. MARKET AND CREDIT RISK

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

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Portfolio Funds’ net unrealized gains on open contracts on such derivative instruments as reflected in the Statements of Financial Condition of the Portfolio Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Portfolio Funds, calculating the Net Asset Value of the Fund and the Portfolio Funds as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Portfolio Funds’ market exposure, MLAI may urge the respective trading advisors to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of advisor monitoring, with the market risk controls being applied by respective trading advisors.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized gains on open contracts, if any, included in the Statements of Financial Condition of the Portfolio Funds. The Portfolio Funds attempt to mitigate this risk by dealing exclusively with MLPF&S as its clearing brokers.

The Portfolio Funds, in their normal course of business, enter into various contracts, with MLPF&S acting as their commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity futures trading accounts in the Statements of Financial Condition of the Portfolio Funds.

Indemnifications

In the normal course of business the Fund has entered, or may in the future enter, into agreements that obligate the Fund to indemnify third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.

9. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

* * * * * * * * * * *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

	/s/ Barbra E. Kocsis
	Barbra E. Kocsis
	Chief Financial Officer
	Merrill Lynch Alternative Investments LLC
	Sponsor of
	ML Systematic Momentum FuturesAccess LLC

EX-13.02 3 a11-7503_4ex13d02.htm EX-13.02

Exhibit 13.02

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

Financial Statements as of and for the years ended

December 31, 2010, 2009 and 2008

and Reports of Independent Registered Public Accounting Firms

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page

REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS	1

FINANCIAL STATEMENTS:

Statements of Financial Condition as of December 31, 2010 and 2009	3

Statements of Operations for the years ended December 31, 2010, 2009 and 2008	4

Statements of Changes in Members’ Capital for the years ended December 31, 2010 2009 and 2008	5

Financial Data Highlights for the years ended December 31, 2010 2009 and 2008	7

Notes to Financial Statements	10

Report of Independent Registered Public Accounting Firm

To the Members of

ML Transtrend DTP Enhanced FuturesAccess LLC:

In our opinion, the accompanying statements of financial condition, and the related statements of operations, changes in members’ capital, and financial data highlights present fairly, in all material respects, the financial position of ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”) at December 31, 2010 and December 31, 2009, and the results of its operations, the changes in its members’ capital and its financial data highlights for the years then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and the financial data highlights (hereafter referred to as the “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

March 15, 2011

PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY J 0017

T: (646) 471 3000, F: (646) 471 8320, www.pwc.com/us

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Members of

ML Transtrend DTP Enhanced FuturesAccess LLC:

We have audited the accompanying statements of operations, changes in members’ capital and the financial data highlights of ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”) for the year ended December 31, 2008. These financial statements and financial data highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial data highlights based on our audit.

In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the results of operations, changes in members’ capital and the financial data highlights of ML Transtrend DTP Enhanced FuturesAccess LLC for the year ended December 31, 2008, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

New York, New York

March 15, 2011

	A member firm of
	Deloitte Touche Tohmatsu

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2010 AND 2009

	2010		2009
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $30,894,537 for 2009 and $25,737,325 for 2009)	$	248,920,843	$	236,868,172
Net unrealized profit on open futures contracts	9,574,957		2,439,651
Cash and cash equivalents	353,576		34,980
Accrued interest recievable	68,936		22,826

TOTAL ASSETS	$	258,918,312	$	239,365,629

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Net unrealized loss on open futures contracts	$	308,321	$	1,293,154
Brokerage commissions payable	—		68,556
Sponsor and Advisory fees payable	2,012,779		381,285
Redemptions payable	356,780		1,523,104
Other liabilities	280,632		198,844

Total liabilities	2,958,512		3,464,943

MEMBERS’ CAPITAL:
Members’ Interest (159,458,717 Units and 171,805,932 Units outstanding, unlimited Units authorized)	255,959,800		235,900,686
Total members’ capital	255,959,800		235,900,686

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	258,918,312	$	239,365,629

NET ASSET VALUE PER UNIT:

Class A	$	1.3296	$	1.1440
Class C	$	1.2436	$	1.0807
Class D	$	1.0733	$	0.9097
Class I	$	1.3268	$	1.1369
Class DS	$	1.6443	$	1.3936
Class DT	$	1.7338	$	1.4551

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008

	2010			2009			2008
TRADING PROFIT (LOSS):

Realized, net	$	41,966,162		$	(30,087,116	)	$	58,391,558
Change in unrealized, net	8,120,139			(5,594,032		)	2,997,703
Brokerage commissions	(1,332,262		)	(1,209,739		)	(642,724		)

Total trading profit (loss)	48,754,039			(36,890,887		)	$	60,746,537

INVESTMENT INCOME:
Interest	474			17,531			2,502,184

EXPENSES:
Management fee	4,406,382			3,904,212			2,462,288
Sponsor fee	471,939			453,477			255,504
Performance fee	1,574,502			326			14,415,123
Other	671,538			572,395			626,258
Total expenses	7,124,361			4,930,410			17,759,173

NET INVESTMENT LOSS	(7,123,887		)	(4,912,879		)	(15,256,989		)

NET INCOME (LOSS)	$	41,630,152		$	(41,803,766	)	$	45,489,548

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	2,802,181			1,786,054			638,706
Class C	14,561,033			13,264,190			7,827,256
Class D	2,000,000			1,152,610			1,758,848
Class I	619,907			956,805			735,189
Class DS	114,968,274			87,628,053			39,395,367
Class DT	35,656,582			46,262,586			63,481,706

Net income (loss) per weighted average Unit
Class A	$	0.2007		$	(0.2701	)	$	0.3033
Class C	$	0.1630		$	(0.2511	)	$	0.2791
Class D	$	0.1636		$	(0.2186	)	$	0.2716
Class I	$	0.2115		$	(0.2848	)	$	0.3109
Class DS	$	0.2565		$	(0.2948	)	$	0.4174
Class DT	$	0.2454		$	(0.2521	)	$	0.4089

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008

	Members’ Capital				Members’ Capital				Members’ Capital				Members’ Capital
	December 31, 2007	Subscriptions	Redemptions		December 31, 2008	Subscriptions	Redemptions		December 31, 2009	Subscriptions	Redemptions		December 31, 2010
Class A	107,731	961,358	(131,633	)	937,456	1,476,622	(142,255	)	2,271,823	1,718,015	(531,812	)	3,458,026
Class C	752,226	10,739,116	(1,092,947	)	10,398,395	6,948,101	(2,863,733	)	14,482,763	4,312,661	(3,655,224	)	15,140,200
Class D	750,000	2,794,704	(2,565,789	)	978,915	2,000,000	(978,915	)	2,000,000	—	—		2,000,000
Class I	590,000	203,514	(13,367	)	780,147	1,335,257	(1,613,404	)	502,000	524,110	(114,693	)	911,417
Class DS	13,766,729	56,371,806	(2,852,864	)	67,285,671	41,935,733	—		109,221,404	14,884,402	(12,437,991	)	111,667,815
Class DT	71,713,429	1,498,340	(21,790,239	)	51,421,530	872,634	(8,966,222	)	43,327,942	351,090	(17,397,773	)	26,281,259

Total Members’ Units	87,680,115	72,568,838	(28,446,839	)	131,802,114	54,568,347	(14,564,529	)	171,805,932	21,790,278	(34,137,493	)	159,458,717

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008


	Members’ Capital							Net Income		Members’ Capital							Net Income			Members’ Capital							Net Income		Members’ Capital
	December 31, 2007		Subscriptions		Redemptions			(Loss)		December 31, 2008		Subscriptions		Redemptions			(Loss)			December 31, 2009		Subscriptions		Redemptions			(Loss)		December 31, 2010
Class A	$	118,484	$	1,151,996	$	(166,535	)	$	193,721	$	1,297,666	$	1,957,694	$	(174,096	)	$	(482,333	)	$	2,598,931	$	2,073,078	$	(636,492	)	$	562,392	$	4,597,909
Class C	797,979		12,097,536		(1,345,352		)	2,184,634		13,734,797		8,754,398		(3,506,260		)	(3,331,361		)	15,651,574		4,825,507		(4,022,391		)	2,373,126		18,827,816
Class D	701,576		2,724,999		(2,699,332		)	477,767		1,205,010		2,000,000		(1,133,727		)	(251,902		)	1,819,381		—		—			327,240		2,146,621
Class I	625,944		231,056		(16,232		)	228,547		1,069,315		1,768,505		(1,994,556		)	(272,480		)	570,784		635,539		(128,109		)	131,084		1,209,298
Class DS	17,927,148		81,391,656		(4,000,000		)	16,445,572		111,764,376		66,276,040		—			(25,829,034		)	152,211,382		20,606,244		(18,693,691		)	29,487,583		183,611,518
Class DT	92,485,147		2,130,197		(32,310,691		)	25,959,307		88,263,960		1,392,375		(14,971,045		)	(11,636,656		)	63,048,634		516,790		(26,747,513		)	8,748,727		45,566,638

Total Members’ Capital	$	112,656,278	$	99,727,440	$	(40,538,142	)	$	45,489,548	$	217,335,124	$	82,149,012	$	(21,779,684	)	$	(41,803,766	)	$	235,900,686	$	28,657,158	$	(50,228,196	)	$	41,630,152	$	255,959,800

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2010

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
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.1440		$	1.0807		$	0.9097		$	1.1369		$	1.3936		$	1.4551

Net realized and net change in unrealized trading profit (loss)	0.2458			0.2307			0.1973			0.2449			0.3023			0.3177
Brokerage commissions	(0.0065		)	(0.0061		)	(0.0052		)	(0.0064		)	(0.0079		)	(0.0083		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0537		)	(0.0617		)	(0.0285		)	(0.0486		)	(0.0437		)	(0.0307		)

Net asset value, end of year	$	1.3296		$	1.2436		$	1.0733		$	1.3268		$	1.6443		$	1.7338

Total Return: (a)

Total return before Performance fees	16.94		%	15.77		%	18.71		%	17.41		%	18.71		%	19.90		%
Performance fees	-0.64		%	-0.64		%	-0.64		%	-0.64		%	-0.64		%	-0.66		%
Total return after Performance fees	16.30		%	15.13		%	18.07		%	16.77		%	18.07		%	19.24		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	3.80		%	4.81		%	2.29		%	3.40		%	2.29		%	1.28		%
Performance fees	0.62		%	0.62		%	0.62		%	0.62		%	0.62		%	0.64		%
Expenses (including Performance fees)	4.42		%	5.43		%	2.91		%	4.02		%	2.91		%	1.92		%

Net investment income (loss)	-4.43		%	-5.44		%	-2.91		%	-4.02		%	-2.91		%	-1.93		%

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2009

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
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.3842		$	1.3209		$	1.2310		$	1.3707		$	1.6610		$	1.7165

Net realized and net change in unrealized trading profit (loss)	(0.1849		)	(0.1752		)	(0.1347		)	(0.1835		)	(0.2242		)	(0.2333		)
Brokerage commissions	(0.0066		)	(0.0063		)	(0.0052		)	(0.0066		)	(0.0080		)	(0.0083		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0001
Expenses	(0.0488		)	(0.0588		)	(0.1815		)	(0.0438		)	(0.0353		)	(0.0199		)

Net asset value, end of year	$	1.1440		$	1.0807		$	0.9097		$	1.1369		$	1.3936		$	1.4551

Total Return: (a)

Total return before Performance fees	-17.36		%	-18.18		%	-14.43		%	-17.02		%	-16.11		%	-15.26		%
Performance fees	-0.01		%	-0.01		%	0.00		%	-0.05		%	0.00		%	0.00		%
Total return after Performance fees	-17.37		%	-18.19		%	-14.43		%	-17.07		%	-16.11		%	-15.26		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	3.74		%	4.73		%	2.05		%	3.34		%	2.24		%	1.25		%
Performance fees	0.01		%	0.01		%	0.00		%	0.05		%	0.00		%	-0.01		%
Expenses (including Performance fees)	3.75		%	4.74		%	2.05		%	3.39		%	2.24		%	1.24		%

Net investment income (loss)	-3.73		%	-4.73		%	-2.05		%	-3.38		%	-2.24		%	-1.23		%

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2008

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
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.0998		$	1.0608		$	0.9354		$	1.0609		$	1.3022		$	1.2896

Net realized and net change in unrealized trading profit (loss)	0.4412			0.4233			0.3864			0.4338			0.5275			0.5367
Brokerage commissions	(0.0048		)	(0.0046		)	(0.0042		)	(0.0047		)	(0.0058		)	(0.0058		)
Interest income	0.0198			0.0190			0.0172			0.0194			0.0237			0.0238
Expenses	(0.1718		)	(0.1776		)	(0.1038		)	(0.1387		)	(0.1866		)	(0.1278		)

Net asset value, end of year	$	1.3842		$	1.3209		$	1.2310		$	1.3707		$	1.6610		$	1.7165

Total Return: (a)

Total return before Performance fees	38.77		%	37.45		%	41.02		%	39.45		%	40.89		%	42.47		%
Performance fees	-9.96		%	-10.04		%	-7.25		%	-7.94		%	-10.11		%	-7.16		%
Total return after Performance fees	25.83		%	24.48		%	31.59		%	29.19		%	27.54		%	33.10		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	3.96		%	4.97		%	2.43		%	3.55		%	2.43		%	1.39		%
Performance fees	10.13		%	10.24		%	7.21		%	7.95		%	10.30		%	7.11		%
Expenses (including Performance fees)	14.09		%	15.21		%	9.64		%	11.50		%	12.73		%	8.50		%

Net investment income (loss)	-12.39		%	-13.51		%	-7.95		%	-9.79		%	-11.03		%	-6.79		%

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced trading activities on April 2, 2007. The Fund engages in the speculative trading of commodity futures contracts, options on futures and forward contracts on a wide range of commodities. Transtrend B.V. (“Transtrend” or “trading advisor”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

The Program is a group of commodity pools sponsored by MLAI (each pool is a “Program Fund” or collectively, “Program Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each Program Fund is generally similar in terms of fees, Classes of Units and redemption rights. Each of the Program Funds implements a different trading strategy.

As of December 31, 2010 the Fund offers six Classes of Units: Class A, Class C, Class D, Class DS, Class DT and Class I. Each Class of Units, except for DT was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit. Class DT commenced on June 1, 2007 and was offered at $1.1117. The six Classes of Units are subject to different sponsor fees.

Estimates

Reclassifications

Certain prior year items have been reclassified to conform to the current year presentation. A reclassification was made to prior year net unrealized profit (loss) on open contracts to the current presentation of disaggregation between futures.

Statement of Cash Flows

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

Revenue Recognition

Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss) in the Statements of Operations.

Trading profit (loss) is reduced for brokerage commission costs.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it transacts business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profit and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) in the Statements of Operations.

Cash and Cash Equivalents

The Fund considered all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost, as provided by the investment manager of the cash equivalent, which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.

Equity in Commodity Trading Accounts

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.

Operating Expenses and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and expenses) incurred by the Fund.

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription

is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C, Class DS and Class DT Units are not subject to any sales commissions.

Income Taxes

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

Distributions

The Members are entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2010, 2009 and 2008.

Subscriptions

Units are offered as of the close of business at the end of each month. Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month. Subscriptions submitted less than three days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

Redemption requests are accepted within the notice period. The Fund does not accept any redemption requests after the notice period. All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund

The Fund may terminate if certain circumstances occur as set forth in the private placement memorandum, which include but are not limited to the following:

(a) Bankruptcy, dissolution, withdrawal or other termination of the trading advisor of this Fund.

(b) Any event which would make unlawful the continued existence of this Fund.

2. CONDENSED SCHEDULE OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit/loss on open contracts in the Statements of Financial Condition, as of December 31, 2010 and 2009 are as follows:

December 31, 2010

	Long Positions					Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized		Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)		Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	1,833	$	2,141,844	0.84	%	(103	)	$	(88,116	)	-0.03	%	$	2,053,728		0.81	%	February 11 - February 12
Currencies	1,694	2,107,599		0.82	%	(1,210	)	2,412,863			0.94	%	4,520,462			1.76	%	March 11
Energy	657	1,274,637		0.50	%	(396	)	(1,182,550		)	-0.46	%	92,087			0.04	%	January 11 - November 11
Interest rates	2,190	174,275		0.07	%	(1,729	)	(474,801		)	-0.19	%	(300,526		)	-0.12	%	January 11 - December 13
Metals	667	5,050,247		1.97	%	(271	)	(2,467,106		)	-0.96	%	2,583,141			1.01	%	January 11 - October 11
Stock indices	2,533	189,573		0.07	%	(128	)	128,171			0.05	%	317,744			0.12	%	January 11 - May 11

Total		$	10,938,175	4.27	%			$	(1,671,539	)	-0.65	%	$	9,266,636		3.62	%

December 31, 2009

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	675	$	512,058		0.22	%	(292	)	$	(132,212	)	-0.06	%	$	379,846		0.16	%	February 10 - December 10
Currencies	1,308	(670,422		)	-0.28	%	(854	)	1,521,277			0.64	%	850,855			0.36	%	April 10
Energy	494	(135,491		)	-0.06	%	(67	)	(277,177		)	-0.12	%	(412,668		)	-0.18	%	February 10 - December 10
Interest rates	4,183	(1,938,988		)	-0.82	%	(1,837	)	429,159			0.18	%	(1,509,829		)	-0.64	%	March 10 - December 12
Metals	759	3,324,393			1.41	%	(376	)	(3,024,951		)	-1.28	%	299,442			0.13	%	January 10 - April 10
Stock indices	2,214	1,538,851			0.65	%	—		—			0.00	%	1,538,851			0.65	%	January 10 - March 10

Total		$	2,630,401		1.12	%			$	(1,483,904	)	-0.63	%	$	1,146,497		0.49	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Members’ Capital as of December 31, 2010 and 2009.

3. FAIR VALUE OF INVESTMENTS

The Financial Statement Accounting Board (“FASB”) issued the ASC which provide authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at 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. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity in commodity futures trading account. Any change in net unrealized gain or loss from the preceding year is reported in the Statements of Operations.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the Fair Value Measurement. MLAI’s assessment of the significance of a particular input to the Fair Value Measurement in its entirety requires judgment, and considers factors specific to the investment.

Following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where it trades such investments. 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 its process for determining fair values.

The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

The Fund has determined that Level I securities would include all of 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 quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward contracts.

The Fund’s net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels for the years ended December 31, 2010 and 2009 are as follows:

Net unrealized profit (loss)
on open contracts	Total			Level I		Level II			Level III

Futures
Long	$	10,938,175		$	7,228,490	$	3,709,685		$	—
Short	$	(1,671,539	)	795,567		(2,467,106		)
	$	9,266,636		$	8,024,057	$	1,242,579		$	—

Forwards
Long	$	—		$	—	$	—		$	—
Short	$	—		—		—			—
	$	—		$	—	$	—		$	—

December 31, 2010	$	9,266,636		$	8,024,057	$	1,242,579		$	—

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II		Level III

Futures
Long	$	2,630,401		$	2,630,401		$	—	$	—
Short	$	(1,483,904	)	(1,483,904		)	—		—
	$	1,146,497		$	1,146,497		$	—	$	—

Forwards
Long	$	—		$	—		$	—	$	—
Short	$	—		—			—		—
	$	—		$	—		$	—	$	—

December 31, 2009	$	1,146,497		$	1,146,497		$	—	$	—

The Fund’s volume of trading forward and futures for the years ended December 31, 2010 and 2009, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or II during 2010 and 2009.

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 derivatives and hedging. The fair value amounts of, and the gains and losses on, derivative instruments is 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 following table indicates the trading profit and losses, by type/commodity industry sector, on derivative instruments for the year ended December 31, 2010 and 2009:

	December 31, 2010			December 31, 2009
Commodity Industry Sector	Gain (loss) from trading			Gain (loss) from trading

Agriculture	$	1,791,226		$	(1,089,234	)
Currencies	8,588,176			(2,785,506		)
Energy	2,100,729			(22,155,899		)
Interest rates	26,649,777			(13,716,230		)
Metals	13,431,814			1,294,047
Stock indices	(2,475,421		)	2,771,674

Total	$	50,086,301		$	(35,681,148	)

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S. 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 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. RELATED PARTY TRANSACTIONS

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Fund with interest at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% of such prevailing rate. The Fund is credited with interest on any of its assets and net profits actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Fund, from possession of such assets.

Merrill Lynch charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.

The Fund charges Sponsor fees on the month-end net assets after all other charges at annual rates equal to 1.50% for Class A, 2.50% for Class C, and 1.10% on Class I. Class D, DS, and DT are not charged a Sponsor Fee. Sponsor fees are paid to MLAI.

The fund pays brokerage commissions on actual cost per round turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2010, 2009 and 2008 was approximately $5.64, $9.58 and $10.37, respectively (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).

Brokerage Commissions, Interest and Sponsor fees as presented on the Statements of operations are all received from or paid to related parties.

5. ADVISORY AGREEMENT

The Fund and Transtrend have entered into an Advisory Agreement. This agreement shall continue in effect until December 31, 2016. Thereafter, this agreement shall be automatically renewed for successive one-year periods, on the same terms, unless terminated at any time by either Transtrend or the Fund upon 90 days’ written notice to the other party. Transtrend determines the commodity futures, options on futures and forward contract trades to be made on behalf of the Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.

The Fund charges annual management fees on the Fund’s average month-end net assets allocated to them after reduction for the brokerage commissions accrued with respect to such assets and are payable to Transtrend on a monthly basis. Management Fees are 2.0% for all classes except for Class DT which charges a 1.0% Fee. Transtrend pays MLAI 50% of the management fees on all classes except Class DT in return for sponsoring and providing ongoing administration and operational support to the Fund.

Performance fees are charged by the Fund on any New Trading Profit, as defined in the private placement memorandum, and are payable to Transtrend as of either the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable

percentage of any New Trading Profit attributable to such Units. The Fund charges a 25% performance fee for all classes.

6. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the years ended December 31, 2010, 2009 and 2008 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year.

7. RECENT ACCOUNTING PRONOUNCEMENTS

8. MARKET AND CREDIT RISK

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

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s net 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.

unusual. It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of advisor monitoring, with the market risk controls being applied by Transtrend.

Credit Risk

The credit risk associated with these instruments from counterparty nonperformance is the Net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity futures trading accounts in the Statements of Financial Condition.

Indemnifications

9. SUBSEQUENT EVENT

Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

* * * * * * * * * * *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

	/s/ Barbra E. Kocsis
Barbra E. Kocsis
Chief Financial Officer
Merrill Lynch Alternative Investments LLC
Sponsor of
ML Transtrend DTP Enhanced FuturesAccess LLC

EX-31.01 4 a11-7503_4ex31d01.htm EX-31.01

EXHIBIT 31.01

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

I, Justin C. Ferri, certify that:

1. I have reviewed this annual report on Form 10-K of ML Systematic Momentum 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: March 15, 2011

By	/s/ JUSTIN C. FERRI
Justin C. Ferri
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-31.02 5 a11-7503_4ex31d02.htm 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 annual report on Form 10-K of ML Systematic Momentum FuturesAccess LLC;

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):

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: March 15, 2011

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

EX-32.01 6 a11-7503_4ex32d01.htm EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this annual report of ML Systematic Momentum FuturesAccess LLC (the “Company”) on Form 10-K for the year ended December 31, 2010 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Justin C. Ferri, Chief Executive Officer, President and Manager of the Merrill Lynch Alternative Investments, LLC the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of 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: March 15, 2011

By	/s/ JUSTIN C. FERRI
Justin C. Ferri
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-32.02 7 a11-7503_4ex32d02.htm EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this annual report of ML Systematic Momentum FuturesAccess LLC, (the “Company”) on Form 10-K for the year ended December 31, 2010 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 of 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: March 15, 2011

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

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