10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C.  20549

FORM 10-K

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

For the fiscal year ended: December 31, 2011

or

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

Commission file number: 0-52505

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware	30-0408280
(State or other jurisdiction of	(I.R.S. Employer
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:  Classes A, C, D, I and M 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 x  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	Smaller reporting company o
(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined 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 29, 2012 units of limited liability company interest with a Net Asset Value of $869,835,758 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2011 Annual Reports and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the period ended December 31, 2011, 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.

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

ANNUAL REPORT FOR 2011 ON FORM 10-K

Table of Contents

		PAGE
PART I
Item 1.	Business	1
Item 1A.	Risk Factors	14
Item 1B.	Unresolved Staff Comments	24
Item 2.	Properties	24
Item 3.	Legal Proceedings	24
Item 4.	Mine Safety Disclosures	24
PART II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	24
Item 6.	Selected Financial Data	27
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	36
Item 7A.	Quantitative and Qualitative Disclosures About Market Risks	45
Item 8.	Financial Statements and Supplementary Data	55
Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	55
Item 9A.	Controls and Procedures	55
Item 9B.	Other Information	56
PART III
Item 10.	Directors, Executive Officers and Corporate Governance	56
Item 11.	Executive Compensation	59
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	59
Item 13.	Certain Relationships and Related Transactions and Director Independence	60
Item 14.	Principal Accounting Fees and Services	61
PART IV
Item 15.	Exhibits, Financial Statement Schedules	62

PART I

Item 1:Business

(a)General Development of Business:

Systematic Momentum FuturesAccess LLC (the “Fund”) was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced operations in April 2007.  The Fund was formerly known as “ML Systematic FuturesAccess LLC.”  The Fund allocates and reallocates its capital, among a number of different FuturesAccess Funds (defined below).  The FuturesAccess Funds engage in the speculative trading of commodities.

Merrill Lynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) and manager (“Manager”) of the Fund.  MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“ML & Co.”).  ML & Co. is a wholly-owned subsidiary of Bank of America Corporation (“Bank of America”).  Bank of America and its affiliates are sometimes referred to herein as (“BAC”).

The Fund is part of the Merrill Lynch FuturesAccessSM Program (“FuturesAccess”), which has been sponsored and designed by MLAI to make available different managed futures and other commodity trading funds (the “FuturesAccess Funds”) to qualified investors.

The FuturesAccess Funds in which the Fund invests (“Portfolio Funds”) are specified below.  Each Portfolio Fund implements a systematic-based managed futures strategy under the direction of a trading advisor unaffiliated with MLAI (each a “Trading Advisor”).  The Trading Advisors primarily employ systematic trading strategies, which seek to identify market and price trends and take positions in the direction of these trends.  The Trading Advisors may also implement a variety of other pattern recognition and price movement trading systems.  See “Portfolio Funds’ Trading Programs,” below.  MLAI has full discretion over the selection of, and allocation and reallocation of Fund capital among the Portfolio Funds, see “Portfolio Funds—Selection and Allocations,” below.

Unless the context requires otherwise, references herein to the trading activities, expenses and portfolio of the Fund refer to the Fund’s indirect activities engaged in, expenses incurred and portfolio held through each Portfolio Fund, and reference to the Trading Advisor’s activities and other information herein include those of each Trading Advisor.  The term “Trading Program” refers to the Fund’s overall approach as well as each Trading Advisor’s strategy, as applicable.

The Fund issues units of limited liability company interest (“Units”) which are privately offered pursuant to Regulation D of the Securities Act of 1933, as amended (the “Securities Act”).

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, 2011 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 $909,115,762 and $1.1452 for Class A, $1.1421 for Class C, $1.3729 for Class D, $1.2179 for Class I, $1.2253 for Class D1, $0 for Class DA, and $1.0143 for Class M.

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 $1.4900 (April 30, 2011) 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 $1.3315 (April 30, 2011) 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

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operations was $1.3298 (April 30, 2011) 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).  The highest month-end Net Asset Value per Unit for Class M since the Fund began operations was $1.0143 (December 31, 2011).

(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.

(c)Narrative Description of Business:

General

The investment objective of the Fund is to achieve superior risk-adjusted rates of return through a fund of funds approach focusing on, but not limited to, a single group of alternative investment strategies known as “systematic managed futures strategies.”  Under the direction of MLAI, the Fund seeks to achieve this objective by allocating its capital among a group of underlying FuturesAccess Funds (each a Portfolio Fund) managed by trading advisors which, the MLAI believes, collectively have the ability to achieve substantial capital appreciation with controlled performance volatility and drawdowns.

Systematic trading generally assumes that a disciplined and automatic trading approach based on quantitative analysis without discretionary decision making can enable a trader to forecast price 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 generally utilizes technical analysis.  Technical analysis relies on information intrinsic to the market itself to determine trades, such as prices, price patterns, volume and volatility, unlike fundamental analysis, which is premised on the assumption that markets are not perfectly efficient, that informational advantages and mispricings do occur and that econometric analysis can identify trading opportunities.

Systematic technical trading systems share basic similarities, although the models which they apply to historical price data differ.  These similarities imply that there will be certain market conditions which are likely to be adverse to all or substantially all of the underlying FuturesAccess 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 underlying FuturesAccess Funds, MLAI attempts to mitigate the volatility and certain other risks of investing in a single FuturesAccess Fund.  While diversifying among different trading advisors involves the risk of one manager’s loss frequently offsetting another’s profits, this same diversifying 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 investors than investing in a single FuturesAccess Fund.

The Portfolio Funds in which the Fund holds investments as of December 31, 2011 are:  Altis FuturesAccess LLC (the “Altis Fund”), Aspect FuturesAccess LLC (the “Aspect Fund”), ML BlueTrend FuturesAccess LLC (the “BlueTrend Fund”), John Locke FuturesAccess LLC (the “John Locke Fund”), ML Transtrend DTP Enhanced FuturesAccess LLC (the “Transtrend Fund”), Tudor Tensor FuturesAccess LLC (the “Tudor Fund”) and ML Winton FuturesAccess LLC (the “Winton Fund”).  Each underlying Portfolio Fund has its own Trading Advisor.

Portfolio Funds—Selection and Allocations

MLAI is responsible for identifying and selecting the underlying FuturesAccess Funds as Portfolio Funds in which the Fund invests, as well as for allocating and rebalancing Fund capital among the Portfolio Funds in an effort to maintain target allocations established by MLAI.

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MLAI may use quantitative performance criteria, analytical and statistical techniques, market experience, qualitative due diligence and the subjective judgment of MLAI personnel in reviewing and selecting prospective FuturesAccess Funds as Portfolio Funds for the Fund.  Selecting FuturesAccess Funds for inclusion in the Fund’s portfolio ultimately involves the subjective evaluation of both quantitative and qualitative factors by MLAI’s personnel.  In evaluating a trading advisor of a FuturesAccess Fund for possible inclusion in the Fund’s portfolio, MLAI considers a number of factors, which may include, but are not limited to, certain of the following factors:  (i) the type of systematic-based trading strategy implemented and the time frames over which the systems operate; (ii) business acumen, organizational infrastructure and internal controls; (iii) assets under management and track record; (iv) quantitative performance analysis; (v) risk management controls and procedures; (vi) business terms; (vii) conflicts of interest; (viii) the professional background, reputation and experience of a trading advisor’s principals and key personnel; (ix) commitment of the personal assets of a trading advisor’s principals and key personnel to the FuturesAccess Fund; (x) the diversification potential of including the FuturesAccess Fund together with the other FuturesAccess Funds in the Fund’s portfolio; and (xi) the sophistication and depth of resources committed to ongoing research effort.

MLAI is limited in its trading advisor selections to the FuturesAccess Funds.  There are currently only a limited number of FuturesAccess Funds available for investment by the Fund.

MLAI determines the target allocations and relative weightings among the FuturesAccess Funds selected for the Fund’s portfolio.  MLAI makes allocation decisions based on a combination of factors, with emphasis on MLAI’s assessment of the long-term return and risk forecasts of the various Portfolio Funds.  The relative allocation of Fund capital among the Portfolio Funds will vary over time due to target allocation levels, market appreciation/depreciation and other factors.  In addition to assigning target allocations, MLAI may establish an allocation range for certain or all Portfolio Funds, which affects when, and the manner in which, MLAI rebalances the Fund’s portfolio.

MLAI periodically reviews Portfolio Fund performance as well as changes in market conditions to determine whether to terminate existing or to add new Portfolio Funds, and/or to adjust its target allocations and relative weightings among the existing Portfolio Funds.

There can be no assurance as to which factors MLAI may consider in making capital allocations for the Fund, or as to which allocations MLAI may make.

During the fiscal year ended December 31, 2011, MLAI did not terminate any of the Trading Advisors.

Portfolio Funds and Trading Advisors

(a) The Fund currently invests in the following underlying Portfolio Funds which are advised, respectively, by the Trading Advisors as indicated below:

Portfolio Funds	Trading Advisors
Altis FuturesAccess LLC	Altis Partners (Jersey) Limited
(the “Altis Fund”)	(“Altis”)
Aspect FuturesAccess LLC	Aspect Capital Limited*
(the “Aspect Fund”)	(“Aspect”)
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”)
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”)
Tudor Tensor FuturesAccess LLC	Tudor Investment Corporation
(the “Tudor Fund”)	(“Tudor”)

* This Trading Advisor is registered under the Investment Advisers Act of 1940.

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(b) The allocation percentages of the Fund’s investment in the underlying Portfolio Funds as of December 31, 2011 is as follows:

Altis FuturesAccess LLC	12.28	%
Aspect FuturesAccess LLC	9.44	%
ML Transtrend FuturesAccess LLC	17.00	%
ML Winton FuturesAccess LLC	17.00	%
John Locke FuturesAccess LLC	13.22	%
ML Bluetrend FuturesAccess LLC	18.78	%
Tudor Tensor FuturesAccess LLC.	12.28	%

(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.  After the initial term of an advisory agreement, the advisory agreement generally will be automatically renewed for successive periods, on the same terms, unless terminated at any time by either the Trading Advisor or the Portfolio Fund upon written notice to the other party.  In addition, the advisory agreements may be terminated at any time upon the occurrence of certain events, such as the aggregate capitalization of a Portfolio Fund falling below a specified level or as a result of a material breach of an advisory agreement by any of the parties.  An advisory agreement will also terminate immediately if the applicable Portfolio Fund is terminated and dissolved as determined by MLAI.  The trading strategies and investment objectives of each of the Portfolio Funds are outlined in “Portfolio Funds’ Trading Programs,” below.

Portfolio Funds’ Trading Programs

Portfolio Funds

Altis Fund

Altis trades its Global Futures Portfolio for the Altis Fund (the “Altis Trading Program”).  Altis engages primarily in the management of futures, futures on options and foreign exchange (“F/X”) trading. Typically, the Altis Trading Program participates in over 140 worldwide futures markets over multiple maturities.  The Altis Program is a systematic, automated trading program that builds on the market experience of Altis’ principals and employs an asset allocator.  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.  Altis trades in financial and commodity markets worldwide.  Types of instruments traded include, but are not limited to, energies, metals, grains and livestock.  Altis will also trade commodity indices, stock indices, currencies, F/X and other related futures and/or option contracts.

Aspect Fund

Aspect trades its Diversified Program for the Aspect Fund (the “Aspect Trading Program”)  The Aspect the Trading Program applies a fully systematic and broadly diversified global trading system, which employs multiple trading strategies that, primarily through the use of listed futures and foreign exchange (“F/X”) derivative contracts, seek to identify and exploit directional moves in market behavior of a broad range of financial instruments and other assets including, but not limited to, currencies; interest rates; equities; equity indices; debt securities, including bonds; and commodities, including energy, metal and agricultural commodities.  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.

The Aspect Trading Program employs a fully automated system to collect, process and analyze market data, including current and historical price data, and identify and exploit directional moves in market behavior.  The Trading Program trades across a variety of frequencies to exploit trends over a range of timescales.  Positions are taken according to the aggregate signal and are adjusted to control risk.

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Generally, the Aspect Trading Program maintains positions in the majority of traded markets.  Market concentration varies according to the strength of signals, volatility and liquidity, among other factors.

The core objectives of the Aspect Trading Program are to:  produce strong medium-term capital growth; seek and exploit profit opportunities in both rising and falling markets using a quantitative and systematic investment process seek long-term diversification away from overall movements in traditional bond and stock markets; and minimize risk by operating in a diverse range of markets and sectors using an 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.

The Aspect Trading Program is not applied by Aspect with any pre-determined preference for any market.  Rather, allocations to strategies and individual markets depend upon an analysis of a range of factors which may include liquidity, correlation and cost of trading.  Allocations are currently made on a long-term average risk basis which takes into account varying levels of market volatility and intra-market correlation.  These allocations are subject to regular review and may change from time to time at Aspect’s discretion.

A fundamental principle of Aspect’s investment approach is the importance of a risk management framework.  Aspect’s risk management process has been formally organized into two risk management streams.  The first stream relates to market and liquidity risk and the second stream relates to operational risk.  With respect to market and liquidity risk, Aspect employs a value-at-risk methodology and other risk management procedures to monitor the exposure of the Aspect Trading Program to this risk within pre-defined guidelines.  If risk exceeds the maximum prescribed level, risk reducing trades will be entered into.  Additionally, Aspect has developed mechanisms designed to provide that risk is controlled at both an individual market and portfolio level.  In seeking to control the risks of the Aspect Trading Program, Aspect may intervene in the risk management framework in extreme market situations where the Trading Advisor believes that intervention may be in the best interests of its clients.  In terms of the second stream, Aspect has an Operational Risk Committee which is responsible for managing all operational risk affecting Aspect.  Operational risk is defined as the risk of loss resulting from inadequate or failed processes, people and systems or external events.  It includes the risk of failure of a broker or other service provider, the risk of the loss of trading or operational capability at Aspect, the risk of breaches of intellectual property security and the risk of breaches of law or regulation.

BlueTrend Fund

BlueCrest trades its BlueTrend Program for the BlueTrend Fund (the “BlueTrend Trading Program”).  The BlueTrend Trading Program 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.  Typically, the BlueTrend Fund trades daily futures across 150+ markets in equity indexes, fixed income, F/X, energy, metals, agriculturals and soft commodities on the principal futures exchanges in the United States, the United Kingdom, Asia, Japan and Europe.

The BlueTrend Trading Program 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 Trading Program’s systematic research team combines research, model development, implementation and execution functions.  The BlueTrend Fund’s portfolio construction is regularly reviewed with a view to achieving its goal of delivering superior returns while maintaining diversity.

The trading strategy utilized by the BlueTrend Fund is a systematic trading model.  Capital allocation decisions between the models, between the markets within a model and individual buy and sell decisions within such markets are made on a systematic basis using quantitative analysis.

John Locke Fund

John Locke trades its JLI Program (the “John Locke Trading Program”) for the John Locke Fund. 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.

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Within a 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.  Risk control tools such as real-time Value  At Risk (“VaR”) evaluation will allow a secure use of leverage.

John Locke’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.

The John Locke Trading Program seeks to minimize volatility and reduce risk by diversifying the portfolio to avoid significant concentration within any one security or industry group.

In managing the John Locke Trading Program, John Locke employs systematic application of computerized trading strategies within a quantified risk management framework.  Typically, the investment objective is pursued through a portfolio of more than 70 markets.

While commodity trading can rely on either fundamental or technical analysis, or a mix of both, John Locke’s strategies are purely technical.  These strategies are based on historical data analysis of a given market’s price movements.

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.

The John Locke Trading Program primarily invests in the following instrument types: currencies, fixed income instruments, stock indices, energy metals, grains, and other soft commodities.  The John Locke Trading Program invests in market, located in North America, Europe and Asia.

A principal risk involved in trading a market is the volatility of that market.  The John Locke Trading Program seeks to balance the long-term volatility of the overall portfolio by defining for each asset class a maximum number of contracts in which the John Locke Trading Program can be exposed.  The John Locke Trading Program seeks to balance local volatility by adjusting current position sizes and using associated stop-loss orders.  The John Locke Trading Program seeks to protect against catastrophic loss by employing VaR analysis by sector and capping the sector position size accordingly.

Transtrend Fund

Transtrend trades its Diversified Trend Program (the “Transtrend Trading Program”) for the Transtrend Fund..

The Transtrend Trading Program, trades the following instruments on U.S. and non-U.S. exchanges and markets:  futures, options, options on futures, swaps, swaps on futures, and forward contracts on currencies, interest rates, interest rate instruments, commodities, equity-related indices and instruments, and other indices, in all cases traded on regulated markets, such as exchanges, and/or over-the-counter (“OTC”) markets.  The instruments that Transtrend trades may also include other derivative, margined instruments, traded on regulated and/or OTC markets.  The Transtrend Trading Program does not currently trade OTC F/X and derivatives on individual stocks for the Fund.

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 essentially based on quantitative analysis of signaled price behavior of instruments traded and therefore not on fundamental analysis.  The Transtrend Trading Program is systematic by nature and requires a consistent application.  Discretionary inputs are not essential to the effectiveness of the program.

The applied market approach does not forecast markets or price levels but participates in a systematic and dynamic way in signaled price patterns.  The trading systems of Transtrend Trading Program are designed to profit from recurring, non-random characteristics of price behavior in markets.  In all trading systems

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there are elements which identify and respect the dominant market direction.  The trading systems exploit directional price movement of single instruments and of intra-market and inter-market combinations of instruments.

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 the performance of the Fund.

The Transtrend Trading Program may hold positions in different instruments with one or more trading systems.  The simultaneous application of diverging trading systems, each with a positive profit expectancy over the course of time, can contribute to a different timing of both purchase and sale transactions, thus enhancing smoother performance characteristics when compared to a single trading system.  However, the profitability of trading systems, individually or in combination, cannot be guaranteed and the Fund may incur substantial losses.

The Transtrend Trading 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.  Transtrend will trade the Trading Program - Enhanced Risk Profile (USD) on behalf of the Portfolio Fund.  The Transtrend Trading Program can at any time be net long, short or neutral in any given market

Once the acceptable portfolio components have been defined for an account, Transtrend determines the relative proportions of all components within the portfolio on the basis of signaled correlation over the course of time, which is re-computed from time to time.  Correlation analysis contributes to the estimation of the risk to the portfolio of trends of particular instruments reversing at the same time.

The allocation to instruments, i.e., the determination of portfolio components and their relative proportions, varies over the course of time, because, among other reasons, of changes to the list of instruments traded in the Transtrend Trading Program and because of observed changes in price behavior, correlation and market liquidity.

The risk-estimate used by Transtrend is trade-based and takes volatility into account.  This implies an internal risk evaluation by the applied trading systems, which may lead to adjustments of position sizes during the lifetime of a position.  The initial risk evaluation determines the position size at the time of entry.  Signaled price behavior may lead to a gradual addition to or reduction of the initial position.  Significantly adverse price behavior may lead to a partial or full exit for all or a portion of the position, as applicable.  Transtrend reserves the right to temporarily reduce individual or overall position sizes under extreme market conditions of any kind.  These extreme conditions may be real or perceived.  It is possible that such reductions, which have the sole intention of reducing risk, will reduce the profitability which could have been achieved otherwise.

The entry/exit tools used by Transtrend may contain both proprietary trend-following and contra-trend elements and include techniques of dynamic profit targets and dynamic stop levels for individual trades.  The trading systems act at specific times or time intervals and upon specific price levels during a market session or during the day.

Tudor Fund

Tudor trades a customized version of the Tudor Tensor Strategy (the “Tudor Trading Program”) for the Tudor Fund.  The principal investment objective of the Tudor Trading Program is to seek capital appreciation through global quantitative trading in the fixed income, currency, commodity and equity asset classes.  Instruments traded in these classes include exchange traded futures contracts and OTC currencies.  Additional instruments may be traded by the Tudor Trading Program at any time.  Tudor seeks to achieve the investment objective by directing the Tudor Trading Program’s trading and investment on U.S. and non-U.S. exchanges and markets, including emerging markets.

Tudor deploys quantitative strategies based on computerized mathematical and computational models, referred to as “trading systems” in this discussion, that produce automated computer-generated signals to trade on a worldwide basis, both long and short, in the fixed income, currency, commodity and equity asset classes through exchange-traded futures contracts and over-the-counter currencies.

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Tudor uses its discretion in portfolio management decisions relating to timing of the commencement of trading, determining which trading strategies and trading systems warrant participation in the Tudor Trading Program, allocating assets among trading strategies and trading systems, adding and removing trading strategies or trading systems, executing trades, establishing and liquidating positions, de-leveraging and re-leveraging trading strategies or trading systems, determining the Tudor Trading Program’s leverage, and hedging and other risk management decisions.  In addition, Tudor may, in its sole discretion, override computer-generated trading signals in the event of extraordinary market conditions or market dislocations.

The Tudor Trading Program strategy employs both technical and fundamental trading systems.

Technical trading systems involve the analysis of technical factors and historical trading patterns as a way to predict future price movements.  Technical factors may be derived from daily or intraday price data.  Monthly price fluctuations, volume variations, market volatility and changes in open interest may also generate technical inputs or be used to size positions generated by other indicators.  Technical trading systems may be based on fundamental foundations but use only price inputs.  The Trading Program’s technical strategies may include trend following, pattern recognition, and diversified short-term trading systems.

Fundamental trading systems rely on factors external to markets to generate trades.  These factors may include interest rates earnings, price to book, gross domestic product and industrial production.  Fundamental trading systems may also contain some technical inputs.  The Tudor Trading Program’s fundamental strategies may include global relative value and diversified short-term trading systems.

The Tudor Trading Program is subject to market and credit risk in connection with the Tudor Trading Program’s trading activities.  Tudor takes an active role in managing the Tudor Trading Program’s market risks.  Tudor reviews the Tudor Trading Program’s largest exposures and sensitivities to certain market stress scenarios at the individual risk factor level and at various levels of aggregation, and Tudor also performs stress tests on the Tudor Trading Program’s positions in the aggregate.

Winton Fund

Winton trades its Diversified Program (the “Winton Trading Program”) for the Winton Fund.  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 necessarily rely upon favorable conditions in any particular market, or on market direction.

The Winton Trading Program employs a computer-based system to engage in speculative trading, typically in over 100 international futures, options and forwards markets, as well as certain OTC instruments, which may include, foreign exchange and interest rate forward contracts and swaps.

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 (the “Winton Trading System”).  The Winton Trading Program blends short-term trading with long-term trend following, using multiple time frames in addition to multiple models.  The Winton Trading Program seeks to allocate for maximum diversification.

The Winton Trading Program can be thought of as more “technical” than “fundamental” in nature.  The term “technical analysis” is generally used to refer to analysis based on data intrinsic to a market, such as price and volume.  It is often contrasted with “fundamental analysis” which relies upon analysis of factors external to a market, such as crop conditions, the weather or supply and demand.

The Winton Trading Program relates the probability of the size and direction of future price movements with certain indicators derived from past price movements to produce algorithms that characterize the degree of trending of each market at any point in time.

In addition to its trend-following models, the Winton Trading Program contains certain “non-directional” models that derive their forecasts from factors often excluded by technical analysis.  In these

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quantitative systems, the primary input is likely to be information about the yield curve or an economic variable rather than market price.  These models work in the same way as those based on technical analysis, except that they use a different set of forecasting variables.

While discretionary inputs are generally not essential to the effectiveness of a “systematic” trading model, it is nonetheless important to recognize that given the often rapid and unpredictable nature of some market events, not every decision to change the Winton Trading System can be conceived as entirely “systematic” and some may be more “discretionary” in nature.  Examples of discretionary actions might include decreasing the margin-to-equity ratio, liquidating all positions in certain markets or declining to execute an order generated by the Winton Trading System.  This discretionary decision-making would normally only be taken in order to reduce risk and would generally be temporary in nature.  These acts may not enhance the performance of the Winton Trading Program over what might have otherwise been achieved without the exercise of such discretion.

The management of risk is an integral part of the Winton Trading System.  Winton’s focus within risk management is on targeting, measuring and managing risk.  Owing to the leverage inherent in futures trading, position sizes are set according to Winton’s expectation of the risk that the positions will provide, rather than the amount of capital required to fund the positions.

Employees

The Fund has no employees.

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 Trading 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.

Margin

When a futures or options on futures position is established, “initial margin” is calculated by the exchange on which the position is listed and deposited with a Futures Commission Merchant (“FCM”) that is a member of the clearinghouse through which transactions on the relevant exchange are cleared.  An FCM must, in

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turn, deposit initial margin with the clearinghouse, as calculated by the clearinghouse, to secure its obligations to the clearinghouse with respect to the positions of its customers.  The amount of both the trader’s initial margin payment to the FCM and the FCM’s initial margin payment to the clearinghouse are determined on the basis of risk, taking into account the price and volatility of the commodity underlying the position and, in certain cases, the offsetting risks that exist within a portfolio of positions.  On most exchanges, at the close of each trading day “variation margin,” representing the unrealized gain or loss on the open positions, is either credited to or debited from a trader’s account.  A trader must maintain a minimum margin level for each outstanding futures position known as “maintenance margin,” which is set by the relevant exchange and based on the risk of the futures position, often a set percentage of the “initial margin.”  If “variation margin” payments cause a trader’s “initial margin” to fall below “maintenance margin” levels, a “margin call” is made, requiring the trader to deposit additional margin or have its position closed out.  A clearinghouse likewise has “maintenance margin” requirements for member FCMs. An FCM may require a higher level of “initial margin” and “maintenance margin” from the trader than the clearinghouse requires from the FCM, but generally will not allow lower margin levels.  Margin is also required to be posted with counterparties when making investments through forward, swaps or other OTC instruments.  The counterparties calculate margin based on the risk of the underlying commodity and will deposit margin with each other based on a previously agreed upon schedule.  In general, approximately 5% to 25% of the Portfolio Fund’s assets are expected to be committed as margin for futures or options on futures positions at any one time, although these amounts could occasionally be substantially higher.  The Portfolio Fund’s exposure and liability are not limited to the amount placed on margin, but are based on the total value of the futures contracts being traded.  Fund assets not committed to margin will be held in cash or cash equivalents and will earn interest as described below.

{Sidley Comment:  For MLAI’s consideration, set forth below are revised “Custody of Assets” and “Cash Management and Interest” paragraphs based on the more recent FuturesAccess Disclosure Document and Form 10.  If MLAI decides to use any of these provision, please review and revise as applicable.}

Custody of Assets

Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is the Portfolio Fund’s futures clearing broker.  MLPF&S is a BAC affiliate.  Certain of the Portfolio Fund’s assets will be held in customer-segregated accounts at MLPF&S or its affiliates in cash or invested in Commodity Futures Trading Commission (“CFTC”) authorized investments for customer Portfolio Funds, including, without limitation, commercial paper, U.S. government and government agency securities, prime non-U.S. government securities, corporate notes and money market Portfolio Funds.  However certain of such assets are not required to be, and generally are not, held in customer segregated accounts.  For example, assets used as collateral for margin trading in the OTC forward markets, including assets held by Merill Lynch International Bank Ltd. (“MLIB”) as F/X prime broker and counterparty, are typically not segregated.  MLIB is a BAC affiliate.

The bank accounts in which MLPF&S deposits Portfolio Fund cash may be offset accounts, which are non-interest bearing demand deposit accounts maintained with banks unaffiliated with BAC.  MLPF&S may in the future elect to maintain accounts of this nature with one or more of its affiliates.  Offset account deposits reduce MLPF&S’ borrowing costs with these 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 MLPF&S liability.

MLAI, as sponsor of the Portfolio Fund, has a general policy of maintaining exclusive clearing and prime brokerage arrangements with its BAC affiliates, such as MLPF&S and MLIB.  Other affiliates may from time to time be involved in the clearing, custody or investment of the Portfolio Fund’s assets, including as prime brokers.

Cash Management and Interest

The Portfolio Fund generally will earn interest, as described below, on its cash, which is deemed to include, in addition to actual cash held by the Portfolio Fund, its “open trade equity” i.e., equity attributable to unrealized gain and loss marked to market daily on open positions.  Cash is held primarily in U.S. dollars, and to a lesser extent in foreign currencies.  Cash does not include, and the Portfolio Fund does not earn interest income on, the Portfolio Fund’s gains or losses on its open forward, commodity option and certain non-U.S. futures positions since these gains and losses are not collected or paid until such positions are closed out.

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The Portfolio Fund’s cash may be greater than, less than or equal to the Portfolio Fund’s Net Asset Value, on which the underlying 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 Fund’s cash, irrespective of how such cash is held or invested, at the most favorable rate payable by MLPF&S to accounts of BAC affiliates, which will consist of the current federal Portfolio Funds rate of interest minus a spread based on the currency held.  MLPF&S will receive the amount of the spread, in addition to any amounts it receives over the federal Portfolio Funds rate due to its investing activities, as well as any amounts it, or its affiliates, receive in brokerage commissions as described herein.  The Portfolio Fund receives interest on its cash held in excess of margin.  MLPF&S retains the additional economic benefit derived from possession of the Portfolio Fund’s cash, which includes the ability to invest such cash throughout cash management programs, which may include investments in vehicles managed or sponsored by MLPF&S or BAC affiliates.

MLPF&S, in the course of acting as commodity broker for the Portfolio Fund, may lend certain currencies to, and borrow certain currencies from the Portfolio Fund.  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 for paying interest on the assets of the commodity pools sponsored by MLAI and other BAC affiliates and traded through MLPF&S.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2011, 2010 and 2009.

	2011				2010				2009
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	$	1,518,474	0.15	%	$	1,451,397	0.19	%	$	1,066,617	0.14	%
Sponsor fees	20,592,497		2.04	%	18,769,349		2.43	%	14,993,578		1.94	%
Total	$	22,110,971	2.19	%	$	20,220,746	2.62	%	$	16,060,195	2.08	%

The foregoing table does not reflect:  (i) the bid-ask spreads paid by the Portfolio Funds on their forward trading, (ii) brokerage commissions, (iii) the benefits which may be derived by BAC from the deposit of certain of the Portfolio Funds’ U.S. dollar assets maintained at MLPF&S, or (iv) sales commissions payable in connection with the sales of Class A, Class D and Class I Units of the Fund.  Bid-ask spreads and brokerages commissions are components of the trading profit or loss of the Portfolio Fund rather than a distinct expense item separable from the Portfolio Fund’s trading; they are netted against realized and unrealized trading gains or losses in determining trading profit or loss.  Benefits derived by BAC from the deposit of the Portfolio Fund’s assets at MLPF&S are neither a direct expense of the Fund nor readily quantifiable.  Aggregate sales commissions are not included in the table of charges because they are not an expense of the Fund, but rather are paid to MLPF&S out of an investor’s subscription proceeds and therefore reduce the amount invested in the Fund by the investor.

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

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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 2011, 2010, and 2009 equaled $1,008,658,737, $931,310,433 and $772,699,779, respectively.

During 2011, the Fund earned $187 in interest income, or approximately 0.0000% of the Fund’s average month-end Net Asset Values . 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 .

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, Class D1, Class DA and Class M Units do not pay Sponsor fees.
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, Class D1, Class DA and Class M Units are not subject to any sales commission. No sales commission is charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on the BAC managed accounts in which the Class M Units are held.
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.

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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. No brokerage commission is charged to investors at the Fund level, although brokerage commissions are charged at the Portfolio Funds’ level to these parties, including the Fund, invested directly in the Portfolio Funds, and investors in the Fund will be indirectly subject to their pro rata share of such fees based on the investment of the Fund in such underlying Portfolio Funds.
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 trading 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 Portfolio Fund, prior to reduction for any accrued performance fee or sponsor fees to MLAI, 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 Portfolio 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 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

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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 Portfolio 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 may become subject to governmental regulation, see Item 1A “Risk Factors—F/X Trading” and “—Regulatory Changes Could Restrict the Fund’s Operations.”

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 “Securities Exchange Act”), 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

There can be no assurance that the Trading Program will produce profitable results.  The past performance of the Fund or Trading Advisor is not necessarily indicative of how the Fund or the Trading Advisor will perform in the future.  There can be no assurance that the Fund will achieve its investment objectives or avoid substantial or total loss.  The Fund may sustain losses in the future under market conditions in which it achieved gains in the past.

Volatile Markets; Highly Leveraged Trading

Trading in the futures and OTC markets typically results in volatile performance.  Market price levels fluctuate dramatically and may be materially affected by unpredictable factors such as weather and governmental intervention.  The low margin requirements normally required in futures and OTC trading permit an extremely high degree of economic leverage.  This combination of leverage and volatility creates a high degree of risk.  Additionally, although the Trading Advisors may initiate stop-loss orders on certain positions to limit this risk, there can be no assurance that any stop-loss order will be executed or, even if executed, that it will be executed at the desired price or time.

Importance of General Market Conditions

Neither MLAI nor the Trading Advisors can predict or control overall market or economic conditions.  These conditions, however, can be expected to have a material effect on the performance of a Trading Advisor’s Trading Program.

The Fund may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted.  The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving.  The financing available to the Fund from its banks, dealers and other counterparties is typically reduced in disrupted markets, which may result in substantial losses to the Fund.  Market disruptions may from time to time cause dramatic losses for the Fund and can result in the Trading Advisors’ strategies performing with unprecedented volatility and risk.

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Trend-Following Systems

Many technical trading systems are trend-following.  Trend-following systems generally anticipate that a majority of their trades will be unprofitable and seek to achieve overall profitability by substantial gains made on a limited number of positions.  These strategies are generally only successful in markets in which strong price trends occur.  In stagnant markets in which these trends do not occur, or in “whipsaw markets” in which apparent trends develop but then quickly reverse, trend-following trading systems are likely to incur substantial losses.  Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data, on which technical trading systems are based, only marginally relevant to future market patterns.

Discretionary Strategies

The Trading Advisors may utilize a discretionary, rather than systematic, trading strategy.  Discretionary trading advisors may allow emotion to affect trading decisions and may exhibit a lack of discipline in their trading that systematic strategies are designed to avoid.  Relying on subjective trading judgment may produce less consistent results than those obtained by more systematic approaches.

Technical Analysis and Trading Systems

The Trading Advisors may employ technical analysis and/or technical trading systems.  Technical strategies rely on information intrinsic to the market itself to determine trades, such as prices, price patterns, volume and volatility.  These strategies can incur major losses when factors exogenous to the markets themselves, including political events, natural catastrophes, acts of war or terrorism, dominate the markets.  The widespread use of technical trading systems frequently results in numerous managers’ attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity.

Fundamental Analysis

The Trading Advisors’ strategies may rely on fundamental analysis.  Fundamental analysis is premised on the assumption that markets are not perfectly efficient, that informational advantages and mispricings do occur and that econometric analysis can identify trading opportunities.  Fundamental analysis may result in substantial losses if these economic factors are not correctly analyzed, not all relevant factors are identified and/or market forces cause mispricings to continue despite the traders’ having correctly identified mispricings.  Fundamental analysis may also be more subject to human error and emotional factors than technical analysis.

Quantitative Trading

The Trading Advisors may engage in quantitative trading.  Quantitative trading strategies are highly complex, and, for their successful application, require relatively sophisticated mathematical calculations and relatively complex computer programs.  These programs anticipate that many of their trades may be unprofitable, seeking to achieve overall profitability through recognizing major profits on a limited number of positions while cutting losing positions quickly.  These trading strategies are dependent upon various computer and telecommunications technologies and upon adequate liquidity in the markets traded.  The successful execution of these strategies could be severely compromised by, among other things, a diminution in the liquidity of the markets traded, telecommunications failures, power loss and software-related “system crashes.”  There are also periods when even an otherwise highly successful system incurs major losses due to external factors dominating the market, such as natural catastrophes and political interventions.  Due to the high trading volume of quantitative trading strategies, the resulting transaction costs may be significant.  In addition, the difference between the expected price of a trade and the price a trade is executed at, or “slippage,” may be significant and may result in losses.

Importance of Market Judgment

Although the Trading Advisors may use systematic or quantitative valuation models in evaluating the economic components of many prospective trades, the market judgment and discretion of the Trading Advisors’ personnel are often fundamental to the implementation of the Trading Program.  The greater the importance of subjective factors, the more unpredictable a trading strategy becomes.  The Trading Advisors may not have the same

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access to market information as do certain of its competitors, and the market decisions made by the Trading Advisors will, accordingly, often be based on less information and analysis than those available to competing investors.

Derivatives Risks Generally

A Trading Advisor may use derivative instruments in implementing its Trading Program.  The market for many types of these derivative instruments is comparatively illiquid and inefficient, creating the potential for substantial mispricings, as well as sustained deviations between theoretical and market value.  In addition, the derivatives market is, in comparison to other markets, a relatively new market, and the events of 2008 and 2009, including the bailout of American International Group, Inc., demonstrated that even the most sophisticated market participants may misunderstand how the market in derivatives will perform during periods of unusual price volatility or instability, market illiquidity, or credit distress.  The primary risks associated with the use of derivatives are model risk, market risk and counterparty risk.

The Portfolio Funds’ investments in OTC derivatives are subject to greater risk of counterparty default and less liquidity than exchange-traded derivatives, although exchange-traded derivatives are subject to risk of failure of the exchange on which they are traded and the clearinghouse through which they are guaranteed.  Counterparty risk includes not only the risk of default and failure to pay mark-to-market amounts and return risk premium, if any, but also the risk that the market value of OTC derivatives will fall if the creditworthiness of the counterparties to those derivatives weakens.

The prices of derivative instruments can be highly volatile.  Price movements of derivative instruments are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies.  In addition, governments from time to time intervene, directly and by regulation, in certain markets.  This intervention often is intended directly to influence prices and may, together with other factors, cause all of such markets to move rapidly in the same direction because of, among other things, interest rate fluctuations.

There was substantial disruption in the derivatives markets related to the bankruptcy of Lehman Brothers Holdings, Inc. and uncertainty relating to the government bailout of American International Group, Inc.  This disruption and uncertainty can cause substantial losses if transactions are prematurely terminated, especially due to default when payment may be delayed or completely lost.  Uncertainties in the derivatives markets continue due to proposed regulatory initiatives, new regulations requiring OTC derivatives clearing, and allegations of inappropriate behavior by market participants to cause or avoid payments under credit default swaps.  See “Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges,” below.

F/X Forward Trading

The Portfolio Funds may trade currencies in the F/X Markets, in addition to their trading in the futures markets.  Prospective investors must recognize that the Fund’s OTC currency trading takes place in unregulated markets, rather than on futures exchanges, and may but does not now, take place through “retail” F/X Markets subject to the jurisdiction of the CFTC or other regulatory bodies.  The responsibility for performing under a particular transaction rests solely with the counterparties to that transaction, not with any exchange or clearinghouse.  As a result, the Fund is exposed to the credit risk of the OTC counterparties with which it trades and deposits collateral, including that of MLIB as the F/X prime broker.  See “Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges,” below.

The Portfolio Funds are also subject to the risk that a forward counterparty may not settle a transaction in accordance with its terms, because the counterparty is unwilling or unable to do so, potentially resulting in significant losses.  A counterparty’s failure to perform could occur in respect of an offsetting forward contract on which the Fund remains obligated to perform.  The Fund will not, however, be excused from performance under any forward contracts into which it has entered due to defaults under other forward contracts.  In addition, counterparties generally have the right to terminate trades under a number of circumstances including, for example, declines in the Fund’s net assets and certain “key person” events.  Any premature termination of the Fund’s currency forward trades could result in significant losses for the Fund, because the Fund may be unable to quickly re-establish those trades and may only be able to do so at disadvantageous prices.  Forward market counterparties are under no obligation to enter into forward transactions with the Fund, including transactions through which the Fund

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is attempting to liquidate open positions.  In addition, the prices offered for the same forward contract may vary significantly among different forward market participants.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) amended the definition of “eligible contract participant,” and the CFTC has announced intentions to interpret that definition in a manner that would require the Fund to limit its currency forward counterparties to a limited set of registered, regulated entities such as FCMs, “retail foreign exchange dealers,” and banks and broker-dealers engaging in “retail foreign exchange transactions.”  Limiting the Fund’s potential currency forward counterparties could lead to the Fund’s bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.  “Retail forex” markets could also be significantly less liquid than the interbank market.  Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade could be significantly weaker than the creditworthiness of MLIB and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.

The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to the Reform Act might limit forward trading to less than that which MLAI would otherwise recommend, to the possible detriment of the Fund.

Trading in Options

The Trading Advisors may trade options on futures contracts or options on F/X forward contracts.  Although successful options trading requires many of the same skills as successful futures and forward trading, the risks involved are different.  For example, the assessment of near-term market volatility, which is directly reflected in the price of outstanding options, can be of much greater significance in trading options than it is in many long-term futures strategies.  The use of options can be extremely expensive if market volatility is incorrectly predicted.  A purchaser of options is exposed to the risk of loss of the entire premium paid; a seller, or writer, of call options is exposed to the risk of theoretically unlimited loss, and the seller of put options is exposed to the risk of substantial loss far in excess of the premium received.

Exchange of Futures for Physicals

The Trading Advisors may engage in exchange of futures for physical (“EFP”) transactions.  As is the case with executing a transaction purely on an exchange or purely in the OTC market, EFP transactions, which are done partially on a futures exchange and partially in the OTC market, involve transaction costs.

Physical Commodities Trading in General

The Trading Advisors may engage in transactions that involve taking delivery of physical commodity assets such as agricultural commodities, freight, coal, oil, gas and electric power.  These investments are subject to risks that are not typically directly applicable to other financial instruments, such as:  destruction; loss; industry-specific regulation, such as pollution control regulation; operating failures; and work stoppages.

Physical commodities trading, as opposed to commodity futures trading, is substantially unregulated, and if the Fund engages in this type of trading, it will not be assured the same access to these markets as it might have in a regulated context.

Exchange Rate Risks; Currency Hedging

The Fund may invest and trade in currencies for speculative and/or hedging purposes.  In addition, the Units are denominated, and the Fund values its assets, in U.S. dollars and the Fund may trade and invest in assets denominated in non-U.S. currencies.

Currency-related investments are subject to the risk that the value of a particular currency will change in relation to the U.S. dollar, and the exchange rates of currencies may be highly volatile.  Among the factors that may affect currency values are direct government intervention, which is often intended specifically to change currency values, trade balances, the level of short-term interest rates, differences in the relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation and political

17

developments.

While a Trading Advisor may from time-to-time hedge a certain amount of risks associated with currency trading, it is under no obligation to do so.  Even if it chooses to do so, it is not economically feasible and often simply not possible to fully or effectively hedge exchange-rate risks.  In a number of cases, otherwise highly successful investment funds have incurred significant, and in certain instances total, losses due to the decline in the value of the currencies in which their investments were denominated or in which they were invested for speculative purposes.

Off-Balance Sheet Risk

The Fund may invest in financial instruments with off-balance sheet risk.  These instruments include futures and forward contracts, swaps and options contracts sold short.  In entering into these contracts, there exists a market risk that the contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in the contracts’ becoming less valuable.  An off-balance sheet risk is associated with a financial instrument if it exposes the investor to a loss in excess of the investor’s recognized asset carrying value in the financial instrument, if any, or if the ultimate liability associated with the financial instrument has the potential to exceed the amount that the investor recognizes as a liability in the investor’s statement of assets and liabilities.

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 Advisor has not have agreed to limit the amount of additional equity which it may manage and may be at or near its all-time high in assets under management.

The aggregate capital committed to the managed futures sector in general is also at an all-time high.  The more capital that is traded in these markets or that is committed to any particular strategy, the greater the competition for a finite number of positions and the less the profit potential for all strategies or for any particular strategy.

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 manager misconduct.

Use of Multiple Trading Advisors

Although the Trading Advisors generally trade in liquid futures markets, they each trade independently of each other and may place orders that “compete” with each other for execution or that cause the Fund, through its investment in the Portfolio Funds, indirectly to hold positions that offset each other.  In these cases the Fund would indirectly incur commissions and fees without the potential for a trading profit.

Redemptions by Other Trading Advisor Fund Investors

Investors in other funds or accounts implementing the Trading Program or similar strategies may be able to redeem their investments more frequently or on less prior notice than investors in the Fund.  Redemptions by investors in these funds or withdrawals from accounts that have less restrictive redemption terms could have a material adverse impact on the Fund’s portfolio and could disadvantage investors in certain circumstances.

Trade Execution Risk

The Trading Advisors may use executing brokers unaffiliated with BAC.  In the event of a trading error, the Fund may have no effective remedy against these executing brokers.

Changes in Trading Program

The Trading Advisor may make material changes to the Trading Program without the knowledge

18

of MLAI.  Particularly given the proprietary and/or systematic nature of such Trading Program, it is virtually impossible for MLAI to detect these changes.

Illiquid Markets

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

Most U.S. futures exchanges limit fluctuations in some futures contract prices during a single day by regulations referred to as “daily price limits.”  During a single trading day no trades may be executed in these contracts at prices beyond the daily price limit.  Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated.  Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading.  Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses.  Also, the CFTC or exchanges may suspend or limit trading.  Trading on non-U.S. exchanges may also be subject to price fluctuation limits and subject to periods of significant illiquidity.  Trading in the F/X Markets and other OTC markets is not subject to daily limits, although OTC trading is also subject to periods of significant illiquidity.

Possible Effects of Speculative Position Limits

The CFTC and 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 on futures contracts traded on U.S. commodities exchanges.  All proprietary or client accounts owned or managed by each Trading Advisor are combined for purposes of calculating position limits.  A Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement its Trading Program, in order to comply with such limits, even though the positions attributable to the Fund do not themselves trigger the position limits or are a small portion of the aggregate positions directed by the Trading Advisor.  Position limits could force the Fund to liquidate profitable positions, result in a tracking error between the Fund’s portfolio and the Trading Advisor’s standard trading program and cause the Fund to incur substantial transaction costs.

In October 2011, the CFTC adopted a separate position limits regime for 28 so-called “exempt,” i.e., metals and energy, and agricultural futures and options contracts and their economically equivalent swap contracts.  Position limits in spot months are generally set at 25% of the official estimated deliverable supply of the underlying commodity while position limits related to non-spot months are generally set at 10% of open interest in the first 25,000 contracts and 2.5% of the open interest thereafter.  In addition, the Reform Act significantly expands the CFTC’s authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function.

MLAI is subject to CFTC-imposed position limits through its control of the Fund, and may have to aggregate positions of certain FuturesAccess Funds in determining whether the position limits are reached.  The rules adopted by the CFTC in October 2011, in addition to expanding the contracts subject to CFTC-imposed position limits, narrow certain exemptions from the aggregation requirements, making it more likely that a party such as the Fund hiring multiple trading advisors may be required to aggregate the positions controlled by the various trading advisors.  In the Fund’s case, if this aggregation is required, the Trading Advisor may not be able to implement the Trading Program for the Fund in the same manner as for its other clients, causing the Fund to underperform other accounts utilizing its trading program, or the Fund may have to liquidate trading positions when the Trading Advisor would otherwise not advise doing so, resulting in losses to the Fund.

Any of the regulations discussed above could adversely affect the Fund in certain circumstances.

Trading on Non-U.S. Exchanges

The Trading Advisors may trade on futures exchanges outside the United States on behalf of the Fund.  Trading on non-U.S. exchanges is not regulated by any U.S. government agency and may involve certain risks not applicable to trading on U.S. exchanges.

19

For example, some non-U.S. exchanges, in contrast to U.S. exchanges, are “principals’ markets” similar to the forward markets in which performance is the responsibility only of the individual member with whom the Fund has entered into a futures contract and not of any exchange or clearing corporation.  In these cases, the Fund will be subject to the risk of the inability or refusal to perform with respect the individual member with whom the Fund has entered into a futures contract.

Trading on non-U.S. exchanges may involve the additional risks of expropriation, burdensome or confiscatory taxation (including taxes on specific trading activities), moratoriums, exchange or investment controls and political or diplomatic disruptions, each of which might materially adversely affect the Fund’s trading activities.  The Fund could incur substantial losses trading on non-U.S. exchanges to which it would not have been subject had the Trading Advisors limited their trading to U.S. markets.

The U.S. tax treatment of non-U.S. futures trading may be adverse compared to the tax treatment of U.S. futures trading.  The profits and losses derived from trading non-U.S. futures and options will generally be denominated in non-U.S. currencies.  Consequently, the Fund will be subject to exchange-rate risk in trading those contracts.

Foreign Exchange Controls

Governments in non-U.S. markets may impose F/X controls at will, making it impossible to convert local currency into other currencies.  Should the Fund trade on futures exchanges outside the United States or otherwise invest in non-U.S. markets, these controls may effectively prevent Fund capital from being removed from a country where its futures contracts and other investments are traded.  In addition, certain countries do not have fully convertible currencies as a matter of policy, adding cost or delay to the trading of currency investments by the Fund.  The imposition of currency controls by a non-U.S. government may negatively affect performance and liquidity in the Fund as capital becomes trapped in that country.

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

The Fund is exposed to the risk that the bankruptcy or insolvency of its trading counterparties and other entities holding Fund assets — such as broker-dealers, FCMs, futures exchanges, clearinghouses, banks or other financial institutions, particularly MLPF&S in its capacity as clearing broker, MLIB as F/X prime broker and their affiliates — could result in all or a substantial portion of the Fund’s assets being lost permanently or impounded for a matter of years pending the final disposition of legal proceedings.  A bankruptcy or insolvency of this kind, or the threat of one, may cause MLAI to decide to liquidate the Fund or suspend, limit or otherwise alter trading, perhaps causing the Fund to miss significant profit opportunities.

The following paragraphs discuss the various uses of the Fund’s assets and the risks of loss — in addition to losses from trading — associated with each use.

Margin for Commodities Trading.  Although MLAI believes that MLPF&S is appropriately capitalized to function as the Fund’s FCM, cash posted as margin for commodities trading with MLPF&S is nevertheless subject to the risk of insolvency of MLPF&S.  MLPF&S is required by CFTC regulations to segregate “customer funds” from its proprietary assets for futures and options trading on U.S. exchanges in order to protect customer funds in the event of MLPF&S’s bankruptcy.  If MLPF&S did not comply with the segregation requirement to the full extent required by law, the assets of the Fund might not be fully protected.  Even given proper segregation, the Fund may be subject to a risk of loss of its funds.  For example, CFTC regulations permit FCMs to invest customer funds in a number of generally high quality and interest bearing financial instruments, which may prove to be riskier than expected and lose value, resulting in a shortfall in customer segregated funds held by MLPF&S in the event of MLPF&S’s insolvency.  In addition, there may be a shortfall in customer segregated funds held by MLPF&S in the event of a substantial default by one or more of MLPF&S’s other customers.  In the case of a MLPF&S insolvency or inability to satisfy a substantial deficiency in other customer accounts, the Fund might recover, even in respect of “customer funds” specifically traceable to the Fund, only a pro rata share of all property available for distribution to all of MLPF&S’s customers.  In addition, if BAC directly or indirectly owns 10% or more of the Fund, the Fund’s account at MLPF&S would be considered a “proprietary

20

account” under CFTC regulations and the Fund’s assets, including assets used to margin U.S. exchange-traded futures and options, would not be protected as “customer funds.”  If MLPF&S became insolvent at a time when the Fund’s assets on deposit with MLPF&S were not considered customer funds, the Fund would likely lose significantly more as a result of the bankruptcy than would otherwise be the case.

MLPF&S is required by CFTC regulations to maintain in a secure account the amount required to margin futures and options positions established on non-U.S. futures exchanges in order to protect customer funds in the event of MLPF&S’s bankruptcy.  While the secure account requirement relating to trading non-U.S. futures exchanges is similar in some respects to the segregation requirement relating to trading on U.S. futures exchanges, they are not identical and there are special risks associated with funds maintained in a secure account.  Funds held in a secure account may be commingled with funds of non-U.S. persons and, because they are by necessity held in a non-U.S. jurisdiction, are subject to different insolvency laws and customer protection regulations, which may be less favorable than U.S. laws and regulations.  Moreover, these funds are not subject to the same limitations on permissible investments applicable to funds subject to segregation.  In addition to these special risks, funds held in a secured account are subject to risks comparable to those applicable to funds in a segregated account, namely that MLPF&S will not comply with the relevant regulations, that investments in the account will decline in value, of a shortfall in the event of the default by another customer, and that, if, BAC owns 10% or more of the Fund, the Fund’s assets will not be protected as “customer funds.”

Collateral for OTC Transactions.  Cash pledged as collateral with MLIB for F/X forwards or options on forwards or with any other OTC prime broker for trading other OTC investments is subject to the risk of the insolvency of MLIB or other OTC prime broker and unlike cash posted as margin for commodities trading on regulated exchanges is not required to be segregated or held in a secured account.

Bank Deposits.  The vast majority of the cash deposited with banks would be in excess of the limits on federal insurance for deposits, and thus not insured by the Federal Deposit Insurance Corporation (“FDIC”), and would be subject to the risk of bank failure.  However, amounts held in non-interest bearing demand deposit accounts are fully insured through the end of 2012.

Cash in Brokerage Accounts.  Cash in brokerage accounts with MLPF&S is subject to the risk of insolvency of MLPF&S.  While brokers are required to keep customer cash in a special reserve account for the benefit of customers, it is possible that a shortfall could exist in this account, in which case the Fund, along with other customers, would suffer losses.  The Securities Investor Protection Corporation provides protection against these losses, up to a limit, but the cash deposited by the Fund in a brokerage account would far exceed the limit.

Direct Investments.  Fund investments in U.S. government securities are backed by the full faith and credit of the U.S. government.  To the extent the Fund makes investments in non-government securities it would be subject to a risk of loss that depended on the type of security.

By preferring its BAC affiliates in clearing and prime brokerage relationships, MLAI has historically maintained the vast majority of its cash in brokerage accounts with its affiliates.  This policy exposes the Fund to the specific credit risk of these BAC affiliates because balances in these accounts are not subject to FDIC or other form of deposit insurance against loss from failure of the BAC affiliate.  Rather, the BAC affiliate is entitled to invest these funds in assets of its choosing.

There are increased risks associated with offshore OTC trading, including the risk that assets held by offshore brokers and unregulated trading counterparties may not benefit from the protection afforded to customer funds deposited with regulated FCMs or broker-dealers.  Additionally, the participants in OTC markets typically are not subject to the type of strict credit evaluation and regulatory oversight applicable to members of “exchange-based” markets, and transactions in these markets typically are not settled through exchanges or clearinghouses that guarantee the trades of their participants.  To the extent a Trading Advisor trades in offshore OTC markets, the Fund is subject to the credit risk of the counterparties with which it trades and deposits collateral, including that of MLIB.

21

If a party holds Fund assets, those assets are not held in segregation or in a secured account as “customer funds” for any of the reasons discussed above and the party becomes insolvent, the Fund would be a general creditor of that party even in respect of property specifically traceable to the Fund’s account.  As a result, the Fund’s claim would be paid along with the claims of other general creditors and the Fund would be subject to the loss of its entire deposit with the party.

MLAI’s policy that the Trading Advisors use MLPF&S and MLIB may increase the risks of insolvency described above by preventing the diversification of brokers and counterparties used by the Fund.

Although the Fund must use MLPF&S and MLIB, in certain circumstances MLAI may have limited control over the selection of counterparties by the Fund.  The Fund also may not be restricted from dealing with any particular counterparty, regulated or unregulated, or from concentrating any or all of its transactions with a single counterparty or limited number of counterparties or from initially transacting, clearing or brokering with a non-BAC broker and from “giving up” those trades to MLPF&S or MLIB.  In addition, to the extent assets are held at entities other than MLPF&S and MLIB, MLAI may have limited ability to assess the extent to which the Trading Advisors maintain the Fund’s assets in unregulated accounts subject to the bankruptcy of the counterparties holding such assets.

Recent events underscore the risks described above.  Significant losses incurred by many investment funds in relation to the bankruptcy and/or administration of Lehman Brothers Holdings Inc. and its affiliates illustrate the risks incurred in both derivatives trading and custody/brokerage arrangements.  The ongoing bankruptcy liquidation of MF Global Inc. also demonstrates that even customer funds subject to segregation requirements may be difficult for an FCM to locate, and customer funds held by an FCM in bankruptcy may not be distributed promptly and may be subject to a lengthy claims process.

Insolvency of Dual-Registered Entities

MLPF&S is registered as both an FCM with the CFTC and as a broker-dealer with the SEC.  Other counterparties and entities holding Fund assets may also be entities registered with both the SEC and the CFTC.  In the event of an insolvency of a dual-registered entity, the distribution of CFTC regulated customer funds would be governed by the CFTC’s bankruptcy rules and Chapter 7 of the U.S. Bankruptcy Code, while the distribution of SEC regulated customer funds would be governed by the Securities Investor Protection Act of 1970 and applicable provisions of the U.S. Bankruptcy Code.  Uncertainty exists regarding the application of the two separate insolvency regimes to the insolvency of a single entity.

Risk of Loss Due to Trading Errors and the Failure of Trading Systems

The Fund is subject to the risk of failures or inaccuracies in the trading systems of the Trading Advisors.  Trades for the Portfolio Funds may be placed or executed in error due to technical errors such as coding or programming errors in software, hardware problems and inaccurate pricing information provided by third parties or execution errors such as keystroke, typographic or inadvertent drafting errors.  Many exchanges have adopted “obvious error” rules that prevent the entry and execution of trades more than a specified amount away from the current best price on the exchange.  However, these rules may not be in place on the exchanges on which the Trading Advisors trade on behalf of the Fund and may not be enforced even if in effect.  These rules likely would not prevent the entry and execution of a trade entered close to the market price but at the wrong size.

The Fund is subject to the risk of the unavailability or failure of the computer systems of the exchanges on which the Trading Advisors trade.  Any such errors or failures could subject the Fund to substantial losses.

Market Disruptions; Government Intervention

The global financial markets have recently experienced pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention.  Government intervention has in certain cases been implemented on an “emergency” basis, suddenly and substantially eliminating market participants’ ability, at least on a temporary basis, to continue to implement certain strategies or manage the risk of their outstanding positions.  In addition, as one would expect given the complexities of the financial markets and the limited time

22

frame within which governments have taken action, these interventions typically have been difficult to interpret and unclear in scope and application, resulting in confusion and uncertainty.  This confusion and uncertainty in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.

The Fund may incur substantial losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted, the availability of credit is restricted or the ability to trade or invest capital, including exiting existing positions, is otherwise impaired.  The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving.  The financing available to private investment funds such as the Fund from banks, dealers and other counterparties is typically reduced in disrupted markets.  Any reduction may result in substantial losses to the Fund.  Market disruptions may from time to time cause dramatic losses for the Fund and these events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.

Regulatory Changes Could Restrict the Fund’s Operations

The Fund implements 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 options 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 Fund by restricting the markets in which it trades, otherwise limiting its trading and/or increasing the taxes to which Investors are subject.  Adverse regulatory initiatives could develop suddenly and without notice.

The Reform Act includes provisions that comprehensively regulate the OTC derivatives markets for the first time.  The Reform Act requires that a substantial portion of derivatives currently traded over the counter be executed in regulated markets and submitted for clearing to regulated clearinghouses.  Those OTC derivatives may include OTC F/X forwards and swaps which may be traded by the Fund.  Although the U.S. Treasury has the discretion to exclude F/X forwards and swaps from certain of the new regulatory requirements, it has proposed to do so only in limited circumstances.  If these forwards and swaps are not so excluded, the Reform Act may require them, and other OTC contracts that the Fund may trade, to be cleared.  This may subject the Fund, the Trading Advisors, MLAI and/or the 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 to currency forwards and swaps even if they are excluded by the U.S. Treasury.  These new regulatory burdens would further increase the dealers’ costs, which are expected to be passed through to other market participants such as the Fund in the form of higher fees and less favorable dealer marks.  They may also render certain strategies in which the Trading Advisors might otherwise engage impossible, or so costly that they will no longer be economical, to implement.

Additionally, the Reform Act includes a provision that has come to be known as the “Volcker Rule” that places significant limitations on the ability of a “banking entity” to sponsor or invest in hedge funds, private equity funds or similar funds (collectively, “private funds”).  “Banking entity” generally includes a company that controls an FDIC-insured depository institution, such as BAC, or a non-U.S. bank that is treated as a bank holding company and any affiliate or subsidiary of any bank holding company, such as MLAI, and other systemically significant organizations regulated by the Federal Reserve.  Under certain circumstances the Volcker Rule will permit a banking entity to organize and make or retain a de minimis investment in a private fund, in connection with the banking entity’s fiduciary or investment advisory business.  The Volcker Rule is effective in July 2012 and provides for a conformance period of up to two years following the effective date.  However, the implementation of

23

the Volcker rule requires additional rulemaking from multiple federal government agencies, including the SEC, CFTC, the Federal Reserve and various other banking regulators.

Concerns Regarding the Downgrade of the U.S. Credit Rating and the Sovereign Debt Crisis in Europe

On August 5, 2011, Standard & Poor’s lowered its long term sovereign credit rating on the United States of America from AAA to AA+.  While U.S. lawmakers reached agreement to raise the federal debt ceiling on August 2, 2011, the downgrade reflected Standard & Poor’s view that the fiscal consolidation plan within that agreement fell short of what would be necessary to stabilize the U.S. government’s medium term debt dynamics.  This downgrade could have material adverse impacts on financial markets and economic conditions in the United States and throughout the world and, in turn, the market’s anticipation of these impacts could have a material adverse effect on the investments made by the Fund and thereby the Fund’s financial condition and liquidity.  The unprecedented nature of negative credit rating actions with respect to U.S. government obligations makes the ultimate impact on global markets and the Fund’s business, financial condition and liquidity unpredictable.

Global markets and economic conditions have been negatively affected by the ability of certain European Union (“E.U.”) member states to service their sovereign debt obligations.  The continued uncertainty over the outcome of the E.U. governments’ financial support programs and the possibility that other E.U. member states may experience similar financial troubles could further disrupt global markets, which may have an adverse effect on the Fund.

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:  Mine Safety Disclosures

Not applicable.

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.

24

(b)           Holders:

As of December 31, 2011, there were 10,874 holders of Units, none of whom owned 5% or more of the Fund’s Units.

(c)           Dividends:

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.

25

(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-11	$	6,020,020	4,807,171	$	1.2523
Feb-11	2,081,630		1,687,854	1.2333
Mar-11	3,967,482		3,162,348	1.2546
Apr-11	5,490,727		4,523,585	1.2138
May-11	3,944,634		3,142,133	1.2554
Jun-11	7,735,677		6,468,498	1.1959
Jul-11	3,300,769		2,851,390	1.1576
Aug-11	3,579,447		2,985,858	1.1988
Sep-11	2,621,883		2,206,044	1.1885
Oct-11	1,833,958		1,550,916	1.1825
Nov-11	1,511,758		1,340,092	1.1281
Dec-11	1,623,482		1,436,075	1.1305
Jan-12	619,671		541,103	1.1452
Feb-12	689,320		600,453	1.1480

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	14,214,345	11,267,812	$	1.2615
Feb-11	14,904,609		12,007,258	1.2413
Mar-11	20,393,724		16,163,688	1.2617
Apr-11	16,574,435		13,590,058	1.2196
May-11	13,638,095		10,820,450	1.2604
Jun-11	12,423,689		10,355,663	1.1997
Jul-11	10,144,855		8,744,057	1.1602
Aug-11	5,451,400		4,540,941	1.2005
Sep-11	6,333,873		5,326,163	1.1892
Oct-11	3,424,508		2,896,725	1.1822
Nov-11	7,849,586		6,965,646	1.1269
Dec-11	7,331,956		6,498,232	1.1283
Jan-12	2,910,402		2,548,290	1.1421
Feb-12	3,476,984		3,039,587	1.1439

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	1,349,999	912,840	$	1.4789
Feb-11	999,999		685,729	1.4583
Mar-11	6,299,998		4,241,281	1.4854
Apr-11	—		—	1.4388
May-11	—		—	1.4900
Jun-11	83,999		59,104	1.4212
Jul-11	699,999		508,240	1.3773
Aug-11	688,999		482,459	1.4281
Sep-11	—		—	1.4176
Oct-11	—		—	1.4123
Nov-11	—		—	1.3490
Dec-11	—		—	1.3535
Jan-12	—		—	1.3729
Feb-12	1,500,000		1,088,534	1.3780

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	664,870	501,221	$	1.3265
Feb-11	580,495		444,211	1.3068
Mar-11	1,825,734		1,372,939	1.3298
Apr-11	555,810		431,865	1.2870
May-11	932,294		700,183	1.3315
Jun-11	2,602,669		2,051,284	1.2688
Jul-11	1,101,972		896,933	1.2286
Aug-11	373,997		293,861	1.2727
Sep-11	286,873		227,280	1.2622
Oct-11	119,745		95,316	1.2563
Nov-11	213,726		178,268	1.1989
Dec-11	298,499		248,377	1.2018
Jan-12	9,999		8,210	1.2179
Feb-12	154,996		126,911	1.2213

CLASS D1

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	—	—	$	1.3199
Feb-11	711,112		546,379	1.3015
Mar-11	—		—	1.3257
Apr-11	—		—	1.2841
May-11	—		—	1.3298
Jun-11	—		—	1.2684
Jul-11	—		—	1.2292
Aug-11	—		—	1.2746
Sep-11	—		—	1.2652
Oct-11	—		—	1.2604
Nov-11	—		—	1.2040
Dec-11	—		—	1.2080
Jan-12	—		—	1.2253
Feb-12	—		—	1.2298

CLASS M

	Subscription
	Amount		Units	NAV (1)
Jan-11	$	—	—	$	—
Feb-11	—		—	—
Mar-11	—		—	—
Apr-11	—		—	—
May-11	—		—	—
Jun-11	—		—	—
Jul-11	—		—	—
Aug-11	—		—	—
Sep-11	—		—	—
Oct-11	—		—	—
Nov-11	—		—	—
Dec-11	150,000		150,000	1.0000
Jan-12	409,999		404,219	1.0143
Feb-12	—		—	1.0180

(1) Beginning of the month Net Asset Value

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

26

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, 2011			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	$	15,968,361		$	16,360,846		$	(4,551,852	)	$	9,202,478		$	(560,037	)
Change in unrealized, net	(92,022,075		)	92,218,885			(57,300,048		)	71,910,257			14,550,075
Total trading profit (loss)	(76,053,714		)	108,579,731			(61,851,900		)	81,112,735			13,990,038
INVESTMENT INCOME:
Interest	187			3,003			100,827			97,972			3,827
EXPENSES:
Sponsor fees	20,592,497			18,769,349			14,993,578			6,953,728			485,354
Other	1,518,474			1,451,397			1,066,617			651,887			504,521
Total Expenses	22,110,971			20,220,746			16,060,195			7,605,615			989,875
NET INVESTMENT INCOME (LOSS)	(22,110,784		)	(20,217,743		)	(15,959,368		)	(7,507,643		)	(986,048		)
NET INCOME (LOSS)	$	(98,164,498	)	$	88,361,988		$	(77,811,268	)	$	73,605,092		$	13,003,990

Balance Sheet Data	December 31, 2011		December 31, 2010		December 31, 2009		December 31, 2008		December 31, 2007
Members’ Capital	$	909,115,762	$	1,027,411,886	$	868,301,244	$	678,698,088	$	120,224,077
Net Asset Value per Class A Unit	1.1452		1.2523		1.1397		1.2561		1.0273
Net Asset Value per Class C Unit	1.1421		1.2615		1.1596		1.2908		1.0664
Net Asset Value per Class D Unit	1.3729		1.4789		1.3259		1.4379		1.1571
Net Asset Value per Class I Unit	1.2179		1.3265		1.2024		1.3197		1.0752
Net Asset Value per Class D1 Unit	1.2253		1.3199		1.1833		1.2847		1.0350
Net Asset Value per Class DA Unit	—		—		—		1.0282		—
Net Asset Value per Class M Unit	1.0143		—		—		—		—

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.

27

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
2011	$	1.2333	$	1.2546	$	1.2138	$	1.2554	$	1.1959	$	1.1576	$	1.1988	$	1.1885	$	1.1825	$	1.1281	$	1.1305	$	1.1452

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
2011	$	1.2413	$	1.2617	$	1.2196	$	1.2604	$	1.1997	$	1.1602	$	1.2005	$	1.1892	$	1.1822	$	1.1269	$	1.1283	$	1.1421

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
2011	$	1.4583	$	1.4854	$	1.4388	$	1.4900	$	1.4212	$	1.3773	$	1.4281	$	1.4176	$	1.4123	$	1.3490	$	1.3535	$	1.3729

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
2011	$	1.3068	$	1.3298	$	1.2870	$	1.3315	$	1.2688	$	1.2286	$	1.2727	$	1.2622	$	1.2563	$	1.1989	$	1.2018	$	1.2179

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
2011	$	1.3015	$	1.3257	$	1.2841	$	1.3298	$	1.2684	$	1.2292	$	1.2746	$	1.2652	$	1.2604	$	1.2040	$	1.2080	$	1.2253

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

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

Jan.

Feb.

Mar.

Apr.

May

June

July

Aug.

Sept.

Oct.

Nov.

Dec.

2011

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

$

1.0143

28

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS A UNITS) (5)

December 31, 2011

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

Inception of Trading:  July 1, 2007

Aggregate Subscriptions $224,206,956

Current Capitalization:   $135,614,804

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

Worst Peak-to-Valley Drawdown(3):  (12.13)%  (January 2009 - December 2011)

Net Asset Value per Unit for Class A, December 31, 2011:   $1.1452

Monthly Rates of Return (4)

Month	2011		2010		2009		2008		2007
January	(1.52	)%	(3.17	)%	.70	%	1.34	%	—
February	1.73		1.07		0.09		10.48		—
March	(3.25	)	4.77		(3.22	)	(2.29	)	—
April	3.43		1.19		(2.92	)	(0.54	)	—
May	(4.74	)	(3.20	)	1.13		3.70		—
June	(3.21	)	(0.21	)	(2.19	)	4.89		—
July	3.56		(1.57	)	(1.25	)	(6.58	)	(4.12	)%
August	(0.86	)	3.65		1.23		(2.54	)	(5.19	)
September	(0.50	)	2.33		1.21		1.31		6.76
October	(4.60	)	3.57		(3.37	)	5.23		5.85
November	0.21		(2.92	)	4.01		3.60		(1.74	)
December	1.31		4.44		(3.39	)	2.69		1.83
Compound Annual Rate of Return	(8.55	)%	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 14.52%.

29

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS C UNITS) (5)

December 31, 2011

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

Inception of Trading: June 1, 2007

Aggregate Subscriptions:    $989,759,656

Current Capitalization:   $617,955,947

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

Worst Peak-to-Valley Drawdown(3):  (13.08)%  (January 2009- December 2011)

Net Asset Value per Unit for Class C, December 31, 2011:   $1.1421

Monthly Rates of Return (4)

Month	2011		2010		2009		2008		2007
January	(1.60	)%	(3.24	)%	(.79	)%	1.27	%	—
February	1.64		0.97		0.01		10.40		—
March	(3.33	)	4.69		(3.30	)	(2.38	)	—
April	3.34		1.10		(3.00	)	(0.62	)	—
May	(4.82	)	(3.28	)	1.04		3.61		—
June	(3.29	)	(0.29	)	(2.27	)	4.80		4.32	%
July	3.47		(1.64	)	(1.33	)	(6.66	)	(4.20	)
August	(0.94	)	3.56		1.14		(2.62	)	(5.27	)
September	(0.58	)	2.24		1.12		1.22		6.67
October	(4.68	)	3.49		(3.45	)	5.15		5.76
November	0.12		(3.00	)	3.92		3.51		(1.82	)
December	1.22		4.35		(3.46	)	2.61		1.74
Compound Annual Rate of Return	(9.46	)%	8.79	%	(10.17	)%	21.00	%	6.68	%

(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 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.

(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 14.21%.

30

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS D UNITS) (5)

December 31, 2011

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

Inception of Trading: April 2, 2007

Aggregate Subscriptions:    $170,409,513

Current Capitalization:   $45,258,041

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, 2011:   $1.3729

Monthly Rates of Return (4)

Month	2011		2010		2009		2008		2007
January	(1.39	)%	(3.05	)%	(.58	)%	1.47	%	—
February	1.86		1.19		0.22		10.63		—
March	(3.13	)	4.90		(3.10	)	(2.18	)	—
April	3.56		1.32		(2.80	)	(0.41	)	3.43	%
May	(4.62	)	(3.07	)	1.26		3.83		3.64
June	(3.09	)	(0.08	)	(2.08	)	5.02		4.54
July	3.69		(1.44	)	(1.13	)	(6.46	)	(4.00	)
August	(0.74	)	3.77		1.36		(2.42	)	(5.07	)
September	(0.38	)	2.46		1.33		1.43		6.90
October	(4.48	)	3.71		(3.25	)	5.36		5.98
November	0.33		(2.80	)	4.14		3.73		(1.62	)
December	1.43		4.57		(3.26	)	2.82		1.96
Compound Annual Rate of Return	(7.17	)%	11.54	%	(7.90	)%	24.06	%	16.04	%

(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 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.

(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 37.29%.

31

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS I UNITS) (5)

December 31, 2011

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

Inception of Trading: June 1, 2007

Aggregate Subscriptions:    $147,591,300

Current Capitalization:   $85,127,204

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, 2011:  $1.2179

Monthly Rates of Return (4)

Month	2011		2010		2009		2008		2007
January	(1.48	)%	(3.14	)%	(0.67	)%	1.39	%	—
February	1.76		1.09		0.12		10.52		—
March	(3.22	)	4.81		(3.18	)	(2.27	)	—
April	3.46		1.23		(2.89	)	(0.51	)	—
May	(4.71	)	(3.17	)	1.16		3.74		—
June	(3.18	)	(0.17	)	(2.16	)	4.93		4.44	%
July	3.59		(1.53	)	(1.21	)	(6.55	)	(4.09	)
August	(0.83	)	3.68		1.27		(2.50	)	(5.16	)
September	(0.47	)	2.36		1.24		1.33		6.80
October	(4.57	)	3.61		(3.34	)	5.26		5.88
November	0.24		(2.89	)	4.05		3.65		(1.71	)
December	1.34		4.47		(3.35	)	2.72		1.86
Compound Annual Rate of Return	(8.18	)%	10.32	%	(8.90	)%	22.71	%	7.56	%

(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 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.

(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 21.79%.

32

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS D1 UNITS) (5)

December 31, 2011

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

Inception of Trading: July 1, 2007

Aggregate Subscriptions:    $54,534,373

Current Capitalization:   $25,007,612

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, 2011:   $1.2253

Monthly Rates of Return (4)

Month	2011		2010		2009		2008		2007
January	(1.39	)%	(3.04	)%	(.58	)%	1.47	%	—
February	1.86		1.19		0.21		10.62		—
March	(3.13	)	4.90		(3.10	)	(2.18	)	—
April	3.56		1.32		(2.79	)	(0.41	)	—
May	(4.62	)	(3.08	)	1.25		3.83		—
June	(3.09	)	(0.08	)	(2.07	)	5.02		—
July	3.69		(1.44	)	(1.13	)	(6.46	)	(4.00	)
August	(0.74	)	3.78		1.36		(2.42	)	(5.07	)
September	(0.38	)	2.45		1.34		1.43		6.90
October	(4.48	)	3.71		(3.25	)	5.36		5.98
November	0.33		(2.80	)	4.15		3.74		(1.62	)
December	1.43		4.56		(3.27	)	2.83		1.96
Compound Annual Rate of Return	(7.17	)%	11.54	%	(7.90	)%	24.07	%	3.56	%

(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 22.53%.

33

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS DA UNITS) (5)

December 31, 2011

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 2009 - September 2009)

Net Asset Value per Unit for Class DA, December 31, 2011:  $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	%

(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 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.

(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 of liquidation total return is (2.84)%.  Class DA was liquidated on September 30, 2009.

34

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(CLASS M UNITS) (5)

December 31, 2011

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

Inception of Trading: December 1, 2011

Aggregate Subscriptions:    $150,000

Current Capitalization:   $152,151

Worst Monthly Drawdown(2):  N/A

Worst Peak-to-Valley Drawdown(3):  N/A

Net Asset Value per Unit for Class M, December 31, 2011:  $1.0143

Monthly Rates of Return (4)

Month	2011
January	—
February	—
March	—
April	—
May	—
June	—
July	—
August	—
September	—
October	—
November	—
December	1.43	%
Compound Annual Rate of Return	1.43	%

(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 December 1, 2011 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, 2011 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 1.43%.

35

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.

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

December 31, 2011

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions
Agriculture	$	(770,088	)	-3.34	%
Currencies	5,710,760			24.76	%
Energy	5,878,398			25.49	%
Interest rates	12,468,005			54.07	%
Metals	(711,956		)	-3.09	%
Stock indices	485,937			2.11	%
Total	$	23,061,056		100.00	%

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

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.

36

December 31, 2011

	Total Trading
Year ended December 31, 2011	Profit (Loss)
Transtrend	$	(19,424,860	)
Altis	(44,402,871		)
Winton	9,917,494
Aspect	5,314,184
John Locke	(11,808,229		)
BlueTrend	(2,353,478		)
Tudor	(13,295,954		)
	$	(76,053,714	)

The Fund experienced a net trading loss for the year ended December 31, 2011of $76,053,714.

Overall, the quarter started poorly in January, the Portfolio Funds were profitable in February only to give it all back and then some in March. Coming into the first quarter, the Portfolio Funds were generally positioned for a rally in equities and commodities. Additionally, a short U.S. dollar bias was highly prevalent in the portfolio. The majority of the Portfolio Funds had reduced their exposure to fixed income positions going into the year, with smaller allocations remaining on the long side. In January, managed futures strategies generally suffered from a rally in the U.S. dollar and a substantial retracement in gold. In February, this positioning was able to generate positive performance when long positions in equities and energy rallied. However, while February’s gains offset January’s losses to a large extent, it was not enough to carry the strategy for the quarter. March was characterized by volatile trading conditions across several markets, creating losses for the month and putting Systematic Momentum in negative territory for the year. During March, most trend-following strategies were whipsawed by the sharp selloffs following the earthquake and tsunami in Japan and the sharp rebounds in the weeks afterwards. As a result, losses in agricultural commodities as well as global equity indices offset any gains from energy and currency positions. While it was generally a challenging first quarter for Fund as a whole, the individual Portfolio Fund returns varied. Five managers had negative returns while only two ended the quarter with positive performance. For the most part, the Portfolio Funds that used higher leverage and a shorter-term time frame tended to underperform. Shorter-term trading strategies found market conditions in March especially problematic since they were the first to react to downward moves in most markets by closing out of long positions. When markets rebounded later in the month, many of these programs did not generate buy signals soon enough to capture the rally. Conversely, longer-term strategies retained their positions and benefited from the subsequent rally in equities and some commodities. The best performing Portfolio Fund over the first three months was BlueTrend. While the Portfolio Fund encountered many of same difficulties as others in the quarter, BlueTrend did a better job of capturing the upside in energy. The lagging performer in the portfolio was Altis which incurred losses primarily due to poor positioning in the currency and energy markets. Altis operates with a higher volatility target than other constituent programs so it was not unexpected that the Portfolio Fund generated higher losses in a difficult trading environment.

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

37

for the year. For the most part, longer-term programs and the Portfolio Funds who utilize less leverage tended to outperform while the Portfolio Funds with shorter-term programs found the recent environment extremely difficult.  For much of this year, the Portfolio Funds have allocated significant capital to long commodity positions. Programs suffered significant losses as oil markets, precious metals (particularly silver), and agricultural markets reversed direction and declined in May and June. In addition to commodities, the Portfolio Funds had a favorable bias toward equities at the outset of the quarter.  In fact, the Portfolio Funds have held long positions in equity indices for some time.  In the last two months of the second quarter, this sector experienced a significant sell off as uncertainty regarding the European debt crisis and the global economy weighed heavily on the markets.  In currencies, the Portfolio Funds generally began the quarter positioned for U.S. dollar depreciation.  However, short positions in the U.S. dollar against a variety of currencies resulted in losses as the dollar rallied in May. Allocations to fixed income were small at the beginning of the second quarter, but have increased considerably by the end of the quarter.

Coming into the third quarter, the Fund was positioned with a short bias toward the U.S. dollar and a long bias in fixed income. The Portfolio Funds still favored long positions in equity indices and commodities; however, these positions were much smaller than they had been earlier in the year.   At the same time, the Portfolio Funds exposure to fixed income was growing as strong trends emerged in this asset class.  At the outset of the quarter, the underlying Portfolio Funds were operating at slightly lower risk levels as several sharp reversals experienced in the second quarter brought down exposures.  July was a favorable month for the Portfolio Funds as gains from long fixed income positions outweighed losses from the other asset classes.  For the rest of the third quarter, long fixed income positions continued to generate strong profits while most other asset classes resulted in losses.  Generally, foreign exchange, equities, and commodities incurred losses, eventually forcing the Portfolio Funds to shift their portfolios to reflect a more defensive environment Across the portfolio, the Portfolio Funds returns were generally positive. Asset class weighting was a key driver of performance this quarter.  The Portfolio Funds with sizeable long fixed income exposures performed well as trends consolidated in this asset class. The duration of the types of programs used by the Portfolio Funds also had a direct influence on performance. The Portfolio Funds that use shorter-term signals and systems outperformed longer-term programs as they were able to identify market inflection points more quickly and adjust their portfolios. The best performing Portfolio Fund for the quarter was John Locke, as the trading advisor’s shorter time horizon was better able to navigate market reversals.  The worst performing Portfolio Fund for the quarter was Altis. Altis’ underperformance may be partially explained by the design of its trading programs.  Altis tends to operate with a higher degree of leverage and its historical volatility is generally higher than other Portfolio Funds in the portfolio. Altis’ program is designed to seek opportunities in markets that are less correlated. As a result, compared with the other Portfolio Funds, Altis lacked a sizeable allocation to fixed income, the best performing asset class, hurting its performance. At the same time, Altis maintained a higher weighting to commodities, which was a difficult asset class to trade in this quarter. Fixed income trading accounted for the largest share of profits in the third quarter as the Portfolio Funds were long both bonds and notes (or their derivatives), taking advantage of a strong downward trend in yields. While fixed income trading was profitable, most other asset classes incurred losses.  Currencies were extremely difficult to trade as short positions in the U.S. dollar suffered as the European debt crisis deepened.  In commodities, precious metals and energy trading were volatile, leading managers to reduce their long positions, and in some cases going short.  Equity indices also detracted from performance as stocks reversed and sold off through most of the third quarter.

The Portfolio Funds declined in the fourth quarter and was negative for the full year. Losses were significant in October and only slightly made back by gains in November and December. The majority of losses were incurred in equity index positions where the Portfolio Funds were short and were hurt by the October rebound in stocks. Other losses came from currency trading where the Portfolio Funds had negative attribution from long U.S. dollar positioning in October, but made some money back being short the Euro through the rest of the fourth quarter. In commodities, attribution was mixed as the Portfolio Funds made some money in markets that continued to trend, for example energy contracts like crude oil and natural gas, but lost money in other markets, such as gold which reversed its long-term up-trend in December. Performance from fixed income markets was flat as most interest rates remained stable with little volatility.  As a result of a shift in investor sentiment starting in May, the Portfolio Funds were positioned for a more risk-averse environment coming into the post summer period. Whereas trends, and as a result the Portfolio Funds positioning, were towards the upside in the first half of the year in risk assets, many markets experienced reversals causing the Portfolio Funds to shift their positions throughout the summer.  Hence, coming out of September trend following Portfolio Funds were generally: long bond and rate contracts, net short equity indices, long the U.S. dollar against a variety of currencies, and net short most commodities.  In October risk assets, particularly equities, experienced significant gains as markets once again reversed the course they had been on for the preceding few months.  These reversals caused sizeable losses for the Portfolio Funds and forced them to

38

remove much of the risk from their bearish stance. Throughout the rest of the fourth quarter, the Portfolio Fund risk levels were lower than historic averages and attribution was mixed though most Portfolio Funds did make a little money back to end the year. Most Portfolio Funds had negative performance. The shorter-term Portfolio Funds tended to underperform in the fourth quarter giving up the outperformance they had accumulated in the previous quarter.  As risk sentiment shifted throughout the summer, the shorter-term Portfolio Funds were able to more quickly change positioning and became more allocated to a bearish posture.  Hence, these Portfolio Funds incurred greater losses when risk asset prices turned significantly higher in October.

	Total Trading
Year ended December 31, 2010	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:

39

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,

40

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

41

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.

	Total Trading
Year ended December 31, 2009	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

42

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

43

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.

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.

44

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.

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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 Fund on a stand alone basis.

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Altis Class DS (1) 

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	1,246,722	0.99	%	$	2,524,793	$	27,921
Energy	3,234,043		2.56	%	8,793,444		740,402
Interest Rates	1,398,585		1.11	%	2,739,606		537,011
Metals	3,925,458		3.11	%	4,773,454		2,642,365
Stock Indices	2,313,962		1.83	%	6,962,534		329,023
Currencies	3,343,358		2.65	%	7,232,723		268,027
TOTAL	$	15,462,128	12.25	%	$	33,026,554	$	4,544,749

(1) Average capitalization of Altis Class DS is $126,166,026.

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.

47

Transtrend Class DS (2) 

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	1,642,454	0.93	%	$	3,398,855	$	465,217
Energy	2,566,856		1.45	%	6,361,665		742,656
Interest Rates	1,734,019		0.98	%	3,934,613		226,987
Metals	3,260,463		1.84	%	7,180,732		1,117,579
Stock Indices	2,327,552		1.31	%	6,022,118		94,232
Currencies	3,194,131		1.80	%	7,968,192		303,778
TOTAL	$	14,725,475	8.31	%	$	34,866,175	$	2,950,449

(2) Average capitalization of Transtrend Class DS is $177,375,360.

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.

48

Aspect Class DS (3) 

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	320,684	0.32	%	$	795,361	$	6,896
Energy	2,033,899		2.05	%	2,620,674		1,413,702
Interest Rates	1,369,710		1.38	%	3,290,330		20,677
Metals	408,601		0.41	%	797,498		8,569
Stock Indices	694,953		0.70	%	1,088,938		431,639
Currencies	1,153,008		1.16	%	1,880,476		236,213
TOTAL	$	5,980,855	6.02	%	$	10,473,277	$	2,117,696

(3) Average Capitalization of Aspect Class DS is $98,985,768.

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.

49

Winton Class DS (5)

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	688,924	0.39	%	$	1,392,789	$	282,121
Energy	1,109,250		0.62	%	1,757,888		423,304
Interest Rates	968,173		0.54	%	2,326,046		55,100
Metals	1,395,666		0.79	%	2,327,782		292,901
Stock Indices	1,158,640		0.65	%	2,251,809		317,394
Currencies	1,926,365		1.08	%	4,143,830		324,828
TOTAL	$	7,247,018	4.07	%	$	14,200,144	$	1,695,648

(5) Average capitalization of Winton Class DS is $177,702,496.

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.

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John Locke Class DS (6)

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	2,585,411	1.88	%	$	4,832,956	$	732,787
Energy	3,849,275		2.79	%	7,775,344		528,355
Interest Rates	1,793,722		1.30	%	3,992,249		266,488
Metals	3,016,347		2.19	%	7,460,069		1,376,098
Stock Indices	822,361		0.60	%	1,347,426		189,489
Currencies	988,157		0.72	%	2,859,194		157,592
TOTAL	$	13,055,273	9.48	%	$	28,267,238	$	3,250,809

(6) Average capitalization of John Locke Class DS is $137,789,282.

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.

51

BlueTrend Class DS (8)

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	1,509,850	0.88	%	$	3,765,895	$	41,870
Energy	3,309,708		1.94	%	6,646,329		466,091
Interest Rates	2,766,379		1.62	%	9,972,435		420,141
Metals	3,132,167		1.83	%	10,064,344		24,803
Stock Indices	4,225,642		2.47	%	8,750,375		1,011,393
Currencies	1,849,722		1.08	%	3,233,507		878,197
TOTAL	$	16,793,468	9.82	%	$	42,432,885	$	2,842,495

(8) Average capitalization of BlueTrend Class DS is $170,739,961.

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

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Tudor Tensor Class DS (7)

December 31, 2011

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	1,504,723	1.18	%	$	2,379,200	$	797,582
Energy	2,588,447		2.03	%	4,933,750		1,190,081
Interest Rates	2,278,696		1.78	%	4,208,264		990,433
Metals	1,097,870		0.86	%	1,977,389		370,078
Stock Indices	571,520		0.45	%	1,187,311		62,733
Currencies	2,047,621		1.60	%	6,394,328		473,792
TOTAL	$	10,088,877	7.90	%	$	21,080,242	$	3,884,699

(7) Average capitalization of Tudor Tensor Class DS is $127,677,085.

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.

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.”

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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,

54

Portfolio Funds at its sole discretion may override computer-generated signals and may at times use discretion in the application of its quantitative models, which may affect performance positively or negatively.

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

Non-Trading Risk

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

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

Item 8: Financial Statements and Supplementary Data

Net Income (Loss) by Quarter

Eight Quarters through December 31, 2011

	Fourth			Third		Second			First			Fourth		Third		Second			First
	Quarter			Quarter		Quarter			Quarter			Quarter		Quarter		Quarter			Quarter
	2011			2011		2011			2011			2010		2010		2010			2010
Total Income (Loss)	$	(28,340,634	)	$	26,644,306	$	(45,535,216	)	$	(28,821,983	)	$	53,862,441	$	44,902,785	$	(17,308,060	)	$	27,125,567
Total Expenses	5,176,053			5,627,244		5,693,889			5,613,785			5,617,195		5,060,483		4,875,376			4,667,692
Net Income (Loss)	$	(33,516,687	)	$	21,017,062	$	(51,229,105	)	$	(34,435,768	)	$	48,245,246	$	39,842,302	$	(22,183,436	)	$	22,457,876
Net Income (Loss) per weighted average Unit (a)	$	(0.0405	)	$	0.0244	$	(0.0593	)	$	(0.0414	)	$	0.0599	$	0.0501	$	(0.0283	)	$	0.0291

(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

None.

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, 2011, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.

55

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, 2011  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, 2011, 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 occurred during the quarter ended December 31, 2011 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 and Vice President
Deann Morgan	Vice President and Manager
James L. Costabile	Vice President and Manager

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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, 36 years old, has been the Chief Executive Officer and President of MLAI since August 2009.  Mr. Ferri has been listed as a principal of MLAI since July 29, 2008.  He has been registered with the CFTC as an associated person of MLAI since September 11, 2009.  He has served as Managing Director within the BAC Global Wealth & Investment Management group (“GWIM”) and the Global Wealth and Retirement Solutions group (“GWRS”) since January 2007, and has been responsible for heading GWIM’s Alternative Investments business since August 2009 and was responsible for platform and product management for the business from January 2007 until taking over as head in August 2009.  Prior to his role in GWRS, Mr. Ferri was a Director in MLPF&S’ Global Private Client Market Investments & Origination group from January 2005 to January 2007 where he was responsible for the structured fund business for Merrill Lynch wealth management, and before that, he served as a Vice President and head of MLPF&S’ Global Private Client Rampart Equity Derivatives team from January 2003 to January 2005.  In addition, from August 2009 to October 2010, Mr. Ferri served as President of IQ Investment Advisors LLC (“IQ”), an indirect, wholly-owned investment adviser subsidiary of ML&Co., and served as President of each of IQ’s publicly traded closed-end mutual fund companies.  Prior to joining BAC in January 2002 as Vice President and Co-Head of Analytic Development, Mr. Ferri was a Vice President within the Quantitative Development group of mPower Advisors LLC, an on-line investment advice and retirement education company, from June 1999 to January 2002, and prior to that, he worked in the Private Client division of J.P. Morgan & Co., a global financial services company, from June 1997 to June 1999, as an associate in the bank’s wealth management business for high-net worth individuals where he was responsible for the development and implementation of a wealth management client account trading system.  Mr. Ferri was listed as a principal and registered as an associated person of BACAP Alternative Advisors, Inc., a commodity pool operator, from January 8, 2010 to May 5, 2010 and January 14, 2010 to May 5, 2010, respectively, where he was responsible for supervision of certain unregistered “fund of hedge fund” investment vehicles.  He was also listed as a principal of Banc of America Investment Advisors, Inc., an investment adviser and an indirect, wholly-owned subsidiary of Bank of America where he was responsible for supervision of certain registered and unregistered “fund of hedge fund” investment vehicles from January 8, 2010 to September 21, 2010 and January 14, 2010 to September 21, 2010, respectively.  Mr. Ferri holds a B.A. degree from Loyola College in Maryland.

Barbra E. Kocsis is the Chief Financial Officer and Vice President for MLAI. Ms. Kocsis, 45 years old, has been the Chief Financial Officer of MLAI since October 2006. Ms. Kocsis has been listed with the CFTC as a principal of MLAI since May 21, 2007 and is a Director within the Bank of America Global Wealth Investment Management Technology and Operations 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, 42 years old, has been a Vice President of MLAI since March 2008 and Managing Director of the GWIM Alternative Investments Group since January 2009. As Managing Director of GWIM AI, Ms. Morgan heads Alternative Investments Origination. From April 2006 until March 2008, Ms. Morgan was a Director for BAC’s Global 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, 35 years old, has been a Managing Director within GWRS responsible for alternative investment distribution for BAC since June 2007 and US Trust since January 2009.  Mr. Costabile has been listed as

57

a principal of MLAI since July 14, 2010.  He has also been registered with NFA as an associated person of 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 BAC 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, 41 years old, has been Managing Director and head of Strategy and Marketing in the Alternative Investment group within GWRS 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 BAC 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 August  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 in September 1992 in investment banking followed by 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, 44 years old, has been a Vice President of MLAI since June 2008 and Managing Director of the GWIM Alternative Investment Group since January 2012. As Managing Director of GWIM Alternative Investment Ms. Rusch heads Alternative Investment Platform Management.  Prior to her role, Ms. Rusch was a Director responsible for overseeing GWIM’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 served 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 from June 2005 to October 2010. Prior to her role in GWRS, 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, 2011, the principals of MLAI had no investment in the Fund.

MLAI acts as the sponsor, general partner or manager to nine public futures funds whose units of limited partner or member interests are registered under the Securities Exchange Act of 1934: Aspect FuturesAccess LLC, Bluetrend FuturesAccess LLC, Highbridge Commodities FuturesAccess LLC, Man AHL FuturesAccess LLC, ML Select Futures I L.P., 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.

(c)Identification of Certain Significant Employees:

None.

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(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 BAC 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 BAC 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, 2011, MLAI owned no Unit-equivalent member interests, and the principals of MLAI did not own any Units.

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(c)Changes in Control:

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 BAC.  However, none of the fees paid by the Fund to such BAC 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 BAC organization, MLAI is the beneficiary of the revenues received by different BAC 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 2011, the Fund expensed (i) Sponsor fees of $20,592,497 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.

(c)Indebtedness of Management:

None.

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(d)Transactions with Promoters:

Not applicable.

(e)Director Independence

No person who served as a manager of MLAI during 2011 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 the principal accountant PricewaterhouseCoopers LLP, for the audit of the Fund’s annual financial statements and review of financial statements included in the Fund’s Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the years ended December 31, 2011 and 2010 were $162,750 and $162,750, respectively.

Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, 2011 and 2010 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, 2011 and 2010 and for professional services rendered to the fund in connection with tax compliance, tax advice and tax planning.

(c)All Other Fees

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.

61

PART IV

Item 15: Exhibits and Financial Statement Schedules

		Page
1.	Financial Statements (found in Exhibit 13.01):
	REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	2
	FINANCIAL STATEMENTS:
	Statements of Financial Condition as of December 31, 2011 and 2010.	3
	Statements of Operations for the years ended December 31, 2011, 2010 and 2009	4
	Statements of Changes in Members’ Capital for the years ended December 31, 2011, 2010 and 2009	5
	Financial Data Highlights for the years ended December 31, 2011, 2010 and 2009	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
	FINANCIAL STATEMENTS:
	Statements of Financial Condition as of December 31, 2011 and 2010	2
	Statements of Operations for the years ended December 31, 2011, 2010 and 2009	3
	Statements of Changes in Members’ Capital for the years ended December 31, 2011 2010 and 2009	4
	Financial Data Highlights for the years ended December 31, 2011, 2010 and 2009	6
	Notes to Financial Statements	9

62

	(b)  Financial Statements of Altis FuturesAccess LLC
	REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
	FINANCIAL STATEMENTS:
	Statements of Financial Condition as of December 31, 2011 and 2010	2
	Statements of Operations for the years ended December 31, 2011 and 2010	3
	Statements of Changes in Members’ Capital for the years ended December 31, 2011 and 2010	4
	Financial Data Highlights for the years ended December 31, 2011 and 2010	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	Amended and Restated Certificate of Formation of Systematic Momentum FuturesAccess LLC.
Exhibit 3.01:	Is incorporated herein by reference from Exhibit 3.01 contained in the registrant’s Report on Form 8-K filed on February 14, 2012.
3.02	Second Amended and Restated Limited Liability Company Operating Agreement of Systematic Momentum FuturesAccess LLC.
Exhibit 3.02	Is incorporated by reference from Exhibit 3.02 contained in the registrant’s Report on Form 8-K, filed on March 6, 2012.
13.01	2011 Annual Report and Report of Independent Registered Public Accounting Firm.
13.02	Financial Statements of Altis FuturesAccess LLC
13.03	Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC
Exhibit 13.01
Exhibit 13.02:
Exhibit 13.03:	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.

63

32.01 and 32.02	Section 1350 Certifications.
Exhibit 32.01 and 32.02:	Are filed herewith.
99.1	Amended and Restated Selling Agreement effective as of July 8, 2011 between Merrill Lynch Alternative Investments LLC (for itself, and as sponsor on behalf of the investment funds listed therein) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (as selling agent).
Exhibit 99.1:	Is incorporated by reference from Exhibit 99.1 contained in the registrant’s Report on Form 8-K filed on July 11, 2011.

64

SIGNATURES

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

SYSTEMATIC MOMENTUM FUTURESACCESS LLC
By:	MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, Manager
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 30, 2012 by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Signature	Title	Date
/s/Justin C. Ferri	Chief Executive Officer, President and Manger	March 23, 2012
Justin C. Ferri
/s/ Barbra E. Kocsis	Chief Financial Officer and Vice President Principal Financial and Accounting Officer)	March 23, 2012
Barbra E. Kocsis
/s/Deann Morgan	Vice President and Manager	March 23, 2012
Deann Morgan
/s/James L. Costabile	Vice President and Manager	March 23, 2012
James L. Costabile
/s/Paul D. Harris	Vice President and Manager	March 23, 2012
Paul D. Harris
/s/Colleen R. Rusch	Vice President and Manager	March 23, 2012
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)

65

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

2011 FORM 10-K

INDEX TO EXHIBITS to be Updated

	Exhibit
Exhibit 13.01	2011 Annual Report and Report of Independent Registered Public Accounting Firm
Exhibit 13.02	Altis FuturesAccess LLC Financial Statements as of and for the years ended December 31, 2011 and 2010 and 2009 and Report of Independent Auditors
Exhibit 13.03	ML Transtrend DTP Enhanced FuturesAccess LLC Financial Statements as of and for the years ended December 31, 2011, 2010 and 2009 and Report of Independent Registered Public Accounting Firm
Exhibit 31.01 and 31.02	Rule 13a - 14(a) / 15d - 14(a) Certifications
Exhibit 32.01 and 32.02	Sections 1350 Certifications

66

EX-13.01

Exhibit 13.01

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

Financial Statements as of and for the years ended December 31, 2011, 2010 and 2009 and Report of Independent Registered Public Accounting Firm

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	2
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2011 and 2010.	3
Statements of Operations for the years ended December 31, 2011, 2010 and 2009	4
Statements of Changes in Members’ Capital for the years ended December 31, 2011, 2010 and 2009	5
Financial Data Highlights for the years ended December 31, 2011, 2010 and 2009	7
Notes to Financial Statements	10

1

Report of Auditors - PWC

Report of Independent Registered Public Accounting Firm

To the Members of

Systematic Momentum FuturesAccess LLC

(formerly 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 Systematic Momentum FuturesAccess LLC (formerly ML Systematic Momentum FuturesAccess LLC) (the “Fund”) at December 31, 2011 and 2010, and the results of its operations, the changes in its members’ capital and its financial data highlights for each of the three years in the period ended December 31, 2011, 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 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 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.

PricewaterhouseCoopers LLP

March 21, 2012

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

T: (646) 471 3000, F: (813) 286 6000, www.pwc.com/us

2

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2011 AND 2010

	2011		2010
ASSETS:
Cash and cash equivalents	$	45,570	$	312,720
Investment in Portfolio Funds (Cost $880,414,859 at 2011 and $917,232,393 at 2010)	909,794,576		1,038,634,185
Other assets	119,995		120,000
Accrued Interest Receivable	—		48
Receivable from Portfolio Fund	35,418,578		—
TOTAL ASSETS	$	945,378,719	$	1,039,066,953
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor fee payable	$	1,596,782	$	1,718,827
Redemptions payable	34,062,410		9,355,655
Other liabilities	603,765		580,585
Total liabilities	36,262,957		11,655,067
MEMBERS’ CAPITAL:
Members’ Interest (782,897,013 Units and 803,714,707 Units outstanding, unlimited Units authorized)	909,115,762		1,027,411,886
Total members’ capital	909,115,762		1,027,411,886
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	945,378,719	$	1,039,066,953
NET ASSET VALUE PER UNIT:
Class A	$	1.1452	$	1.2523
Class C	$	1.1421	$	1.2615
Class D	$	1.3729	$	1.4789
Class I	$	1.2179	$	1.3265
Class D1	$	1.2253	$	1.3199
Class M	$	1.0143	$	—

See notes to financial statements.

3

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	2011			2010			2009
TRADING PROFIT (LOSS):
Realized, net	$	15,968,361		$	16,360,846		$	(4,551,852	)
Change in unrealized, net	(92,022,075		)	92,218,885			(57,300,048		)
Total trading profit (loss)	(76,053,714		)	108,579,731			(61,851,900		)
INVESTMENT INCOME (EXPENSE):
Interest	187			3,003			100,827
EXPENSES:
Sponsor fee	20,592,497			18,769,349			14,993,578
Other	1,518,474			1,451,397			1,066,617
Total expenses	22,110,971			20,220,746			16,060,195
NET INVESTMENT INCOME (LOSS)	(22,110,784		)	(20,217,743		)	(15,959,368		)
NET INCOME (LOSS)	$	(98,164,498	)	$	88,361,988		$	(77,811,268	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A	121,155,293			109,375,008			72,278,307
Class C	580,425,923			531,784,589			424,839,320
Class D	36,049,556			30,338,915			27,746,997
Class I	78,129,418			79,536,161			68,216,740
Class D1	30,682,341			37,708,328			36,879,598
Class DA*	—			—			46,290,806
Class M**	150,000			—			—
Net income (loss) per weighted average Unit
Class A	$	(0.1077	)	$	0.1146		$	(0.1065	)
Class C	$	(0.1203	)	$	0.1053		$	(0.1252	)
Class D	$	(0.1081	)	$	0.1602		$	(0.1098	)
Class I	$	(0.1098	)	$	0.1255		$	(0.1129	)
Class D1	$	(0.0923	)	$	0.1317		$	(0.0941	)
Class DA*	$	—		$	—		$	(0.0608	)
Class M**	$	0.0143		$	—		$	—

* 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.)

** Units issued on December 1, 2011

See notes to financial statements.

4

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009 (IN UNITS)

	Members’ Capital December 31, 2008	Subscriptions	Redemptions		Members’ Capital December 31, 2009	Subscriptions	Redemptions		Members’ Capital December 31, 2010	Subscriptions	Redemptions		Members’ Capital December 31, 2011
Class A	43,411,942	68,840,956	(10,971,528	)	101,281,370	37,454,263	(28,793,436	)	109,942,197	36,161,964	(27,688,933	)	118,415,228
Class C	317,357,227	243,313,258	(64,909,097	)	495,761,388	117,503,045	(67,357,146	)	545,907,287	109,176,693	(114,022,150	)	541,061,830
Class D	34,878,314	12,101,406	(16,996,575	)	29,983,145	10,949,271	(6,931,705	)	34,000,711	6,889,653	(7,925,754	)	32,964,610
Class I	53,200,108	41,524,978	(18,911,876	)	75,813,210	13,078,347	(10,583,415	)	78,308,142	7,441,738	(15,853,937	)	69,895,943
Class D1	31,040,046	10,873,640	(2,137,677	)	39,776,009	2,388,929	(6,608,568	)	35,556,370	546,379	(15,693,347	)	20,409,402
Class DA*	52,795,442	—	(52,795,442	)	—	—	—		—	—	—		—
Class M**	—	—	—		—	—	—		—	150,000	—		150,000
Total Members’ Units	532,683,079	376,654,238	(166,722,195	)	742,615,122	181,373,855	(120,274,270	)	803,714,707	160,366,427	(181,184,121	)	782,897,013

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

** Units issued on December 1, 2011

See notes to financial statements.

5

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	Members’ Capital December 31, 2008		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital December 31, 2009		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital December 31, 2010		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital December 31, 2011
Class A	$	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	$	43,711,467	$	(32,725,858	)	$	(13,053,344	)	$	135,614,804
Class C	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		132,685,075		(133,565,678		)	(69,805,950		)	617,955,947
Class D	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		10,122,993		(11,252,683		)	(3,896,426		)	45,258,044
Class I	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		9,556,684		(19,721,881		)	(8,579,840		)	85,127,204
Class D1	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		711,112		(19,802,857		)	(2,831,089		)	25,007,612
Class DA*	54,284,639		—		(51,468,662		)	(2,815,977		)	—		—		—			—		—		—		—			—			—
Class M**	—		—		—			—			—		—		—			—		—		150,000		—			2,151			152,151
Total Members’ Capital	$	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	$	196,937,331	$	(217,068,957	)	$	(98,164,498	)	$	909,115,762

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

** Units issued on December 1, 2011

See notes to financial statements.

6

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2011

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

	Class A			Class C			Class D			Class I			Class D1			Class M*
Per Unit Operating Performance:
Net asset value, beginning of year	$	1.2523		$	1.2615		$	1.4789		$	1.3265		$	1.3199		$	1.0000
Net Realized and net unrealized change in trading profit (loss)	(0.0874		)	(0.0877		)	(0.1039		)	(0.0928		)	(0.0927		)	0.0145
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0197		)	(0.0317		)	(0.0021		)	(0.0158		)	(0.0019		)	(0.0002		)
Net asset value, end of year	$	1.1452		$	1.1421		$	1.3729		$	1.2179		$	1.2253		$	1.0143
Total Return: (a)
Total return	-8.55		%	-9.46		%	-7.17		%	-8.18		%	-7.17		%	1.43		%
Ratios to Average Members’ Capital:
Expenses	1.64		%	2.64		%	0.15		%	1.24		%	0.15		%	0.01		%
Net investment income (loss)	-1.64		%	-2.64		%	-0.15		%	-1.24		%	-0.15		%	-0.01		%

(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.

* Units issued on December 1, 2011

See notes to financial statements.

7

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly 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.

8

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly 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.

(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.

9

SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(Formerly ML Systematic Momentum FuturesAccess LLC)

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Systematic Momentum FuturesAccess LLC (Formerly 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 “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 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, 2011 the Fund offers four Classes of Units to retail investors: Class A, Class C, Class D, Class M 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.

The Class M Units are for Investors who are subscribing through a managed investment account program at MLPF&S and who satisfy other requirements as determined by the Sponsor from time to time. The Class M Units are not subject to an upfront sales commission and no ongoing compensation is paid to MLFPF&S as selling agent, and the Class M Units are not subject to Sponsor’s fees. However, a portion of the asset-based program fee applicable to a Managed Account, including the amounts invested in Class M Units, will be paid to the Managed Account’s Financial Advisor.

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

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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 as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

Initial Offering and Organizational Costs

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

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), net on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss), net 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.

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Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, 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 dates 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. Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) in the Statements of Operations of 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 as defined in 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 redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other 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, Class M and Class 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 — 2008.

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Distributions

Each Member is 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, 2011, 2010 and 2009.

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 calendar 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 their 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.

(c)         Determination by MLAI to liquidate or withdraw from the Fund.

(d)         Withdrawal of the Sponsor.

2.     INVESTMENTS IN PORTFOLIO FUNDS

The Portfolio Funds in which the Fund was invested as of December 31, 2011 and 2010 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. 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

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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, 2011, details of Investments in Portfolio Funds are as follows:

	Percentage of  Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/11		Management  Fees			Performance Fees		Redemptions Permitted
Transtrend	17.01	%	154,664,583		(19,424,860		)	158,073,068		(3,583,948		)	—		monthly
Altis	12.29	%	111,702,199		(44,402,871		)	129,319,659		(2,535,363		)	—		monthly
Winton	17.01	%	154,664,303		9,917,494			132,177,938		(3,655,604		)	—		monthly
Aspect	9.45	%	85,925,338		5,314,184			71,811,623		(2,029,046		)	—		monthly
John Locke	13.23	%	120,294,680		(11,808,229		)	124,464,075		(2,790,838		)	—		monthly
BlueTrend	18.79	%	170,839,098		(2,353,478		)	145,612,242		(3,468,874		)	—		monthly
Tudor	12.29	%	111,704,375		(13,295,954		)	118,956,254		(2,589,847		)	—		monthly
	100.07	%	$	909,794,576	$	(76,053,714	)	$	880,414,859	$	(20,653,520	)	$	—

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.

As of December 31, 2011 and 2010, no single investment in the Portfolio Funds exceeds 5% of Member’

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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, 2011
	Total Assets		Total Liabilities		Total Capital
Altis	$	118,202,967	$	6,500,768	$	111,702,199
Transtrend	234,879,250		13,832,941		221,046,309
Total	$	353,082,217	$	20,333,709	$	332,748,508

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

	For the year ended December 31,2011
										Net
	Income (Loss)			Commissions			Other			Income (Loss)
Altis	$	(41,137,841	)	$	(544,573	)	$	(2,720,457	)	$	(44,402,871	)
Transtrend	(14,621,768		)	(766,624		)	(4,036,468		)	(19,424,860		)
Total	$	(55,759,609	)	$	(1,311,197	)	$	(6,756,925	)	$	(63,827,731	)

	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

3.FAIR VALUE OF INVESTMENTS

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

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

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

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

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

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

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

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

Investments in Portfolio Funds are valued using the net asset value reported by the Portfolio Funds, 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’s”) are materially based on portfolios of Level I and Level II assets and liabilities for which the Fund has transparency.  As such, the Fund determined that its investments in these Portfolio Funds in this case, would be classified as Level II. There were no transfers to or from Level II during 2011 and 2010.

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

Investment in
Portfolio Funds	Total		Level I		Level II		Level III
December 31, 2011	$	909,794,576	$	—	$	909,794,576	$	—
December 31, 2010	$	1,038,634,185	$	—	$	1,038,634,185	$	—

4.RELATED PARTY TRANSACTIONS

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2011 amounted to $208,890 of which $31,300 was payable to the Transfer Agent as of December 31, 2011.

The Portfolio Funds’ U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, MLPF&S 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 profits actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by MLPF&S.  MLPF&S may derive certain economic benefit, in excess of the interest which MLPF&S pays to the Portfolio Funds, from possession of such assets.

MLPF&S 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, Class D and Class M are not charged a Sponsor Fee.

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. A portion of the brokerage fees is paid to Portfolio Funds’ executing brokers, which include MLPF&S. 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.

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

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, 2014
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
BlueTrend	BlueCrest Capital Management, L.P.	December 31, 2012
Tudor	Tudor Investment Corporation	December 31, 2012

** 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 written 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.

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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, 2011, 2010 and 2009 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

In May 2011, the FASB issued an update to requirements relating to Fair Value Measurement which represents   amendments to achieve common fair value measurement and disclosure requirements in GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. MLAI does not believe the adoption of this update will have a material impact on the Fund’s financial statements.

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its 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 profits (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition of the Portfolio Funds.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

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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 (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties.  Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty nonperformance is the Net unrealized profits 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 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.

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     *     *     *     *     *     *     *     *     *      *     *

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

Systematic Momentum FuturesAccess LLC

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EX-13.02

Exhibit 13.02

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

Financial Statements as of and for the years ended December 31, 2011, 2010 and 2009 and Report of Independent Registered Public Accounting Firm

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2011 and 2010	2
Statements of Operations for the years ended December 31, 2011, 2010 and 2009	3
Statements of Changes in Members’ Capital for the years ended December 31, 2011 2010 and 2009	4
Financial Data Highlights for the years ended December 31, 2011, 2010 and 2009	6
Notes to Financial Statements	9

PWC OPINION

Report of Independent Registered Public Accounting Firm

To the Members of

Altis FuturesAccess LLC

(formerly ML Altis 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 Altis FuturesAccess LLC (formerly ML Altis FuturesAccess LLC) (the “Fund”) at December 31, 2011 and, 2010, and the results of its operations, the changes in its members’ capital and its financial data highlights for each of the three years in the period ended December 31, 2011, 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 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 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.

PricewaterhouseCoopers LLP

March 21, 2012

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

T: (646) 471 3000, F: (813) 286 6000, www.pwc.com/us

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2011 AND 2010

	2011		2010
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $16,170,906 for 2011 and $26,222,717 for 2010)	$	111,998,883	$	127,348,388
Net unrealized profit on open futures contracts	5,811,892		9,486,854
Cash and cash equivalents	382,192		200,000
Accrued interest receivable	10,000		15,201
TOTAL ASSETS	$	118,202,967	$	137,050,443
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Net unrealized loss on open futures contracts	$	331,612	$	1,607,825
Management fees payable	196,335		225,543
Redemptions payable	5,902,575		—
Perfomance fee payable	—		1,033,811
Other liablilities	70,246		111,762
Total liabilities	6,500,768		2,978,941
MEMBERS’ CAPITAL:
Members’ Interest (77,631,855 Units and 66,182,939 Units outstanding, unlimited units authorized)	111,702,199		134,071,502
Total members’ capital	111,702,199		134,071,502
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	118,202,967	$	137,050,443
NET ASSET VALUE PER UNIT	$	1.4389	$	2.0258

See notes to financial statements.

2

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	2011			2010			2009
TRADING PROFIT (LOSS):
Realized, net	$	(38,752,015	)	$	14,368,082		$	1,489,037
Change in unrealized, net	(2,398,749		)	2,320,667			(7,875,975		)
Brokerage commissions	(544,573		)	(441,706		)	(260,577		)
Total trading profit (loss)	(41,695,337		)	16,247,043			(6,647,515		)
INVESTMENT INCOME (EXPENSE):
Interest	12,924			13,791			41,074
EXPENSES:
Management fee	2,535,363			2,445,604			2,077,161
Performance fee	—			1,033,811			—
Other	185,094			183,474			205,299
Total expenses	2,720,457			3,662,889			2,282,460
NET INVESTMENT INCOME (LOSS)	(2,707,533		)	(3,649,098		)	(2,241,386		)
NET INCOME (LOSS)	$	(44,402,870	)	$	12,597,945		$	(8,888,901	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding Class DS	78,602,136			65,308,174			54,865,684
Net income (loss) per weighted average Unit Class DS	$	(0.5649	)	$	0.1929		$	(0.1620	)

See notes to financial statements.

3

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009 (IN UNITS)

	Members’ Capital			Members’ Capital				Members’ Capital				Members’ Capital
	December 31, 2008	Subscriptions	Redemptions	December 31, 2009	Subscriptions	Redemptions		December 31, 2010	Subscriptions	Redemptions		December 31, 2011
Class DS	46,511,477	16,263,252	—	62,774,729	7,141,210	(3,733,000	)	66,182,939	20,029,950	(8,581,034	)	77,631,855
Total Members’ Units	46,511,477	16,263,252	—	62,774,729	7,141,210	(3,733,000	)	66,182,939	20,029,950	(8,581,034	)	77,631,855

See notes to financial statements.

4

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	Members’ Capital									Members’ Capital							Net		Members’ Capital							Net			Members’ Capital
	December 31, 2008		Subscriptions		Redemptions		Net Income(loss)			December 31, 2009		Subscriptions		Redemptions			Income(loss)		December 31, 2010		Subscriptions		Redemptions			Income(Loss)			December 31, 2011
Class DS	$	93,476,848	$	30,744,764	$	—	$	(8,888,901	)	$	115,332,711	$	13,004,521	$	(6,863,675	)	$	12,597,945	$	134,071,502	$	34,629,126	$	(12,595,559	)	$	(44,402,870	)	$	111,702,199
Total Members’ Capital	$	93,476,848	$	30,744,764	$	—	$	(8,888,901	)	$	115,332,711	$	13,004,521	$	(6,863,675	)	$	12,597,945	$	134,071,502	$	34,629,126	$	(12,595,559	)	$	(44,402,870	)	$	111,702,199

See notes to financial statements.

5

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2011

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

	Class DS
Per Unit Operating Performance:
Net asset value, beginning of year	$	2.0258
Net realized and net change in unrealized trading profit	(0.5451		)
Brokerage commissions	(0.0071		)
Interest income	0.0002
Expenses	(0.0349		)
Net asset value, end of year	$	1.4389
Total Return: (a)
Total return before Performance fees	-28.97		%
Performance fees	0.00		%
Total return after Performance fees	-28.97		%
Ratios to Average Members’ Capital:
Expenses (excluding Performance fees)	2.12		%
Performance fees	0.00		%
Expenses (including Performance fees)	2.12		%
Net investment income (loss)	-2.11		%

(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.

6

ALTIS FUTURESACCESS LLC

(Formerly ML Altis 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 DS
Per Unit Operating Performance:
Net asset value, beginning of year	$	1.8372
Net realized and net change in unrealized trading profit	0.2508
Brokerage commissions	(0.0067		)
Interest income	0.0002
Expenses	(0.0557		)
Net asset value, end of year	$	2.0258
Total Return: (a)
Total return before Performance fees	11.09		%
Performance fees	-0.83		%
Total return after Performance fees	10.26		%
Ratios to Average Members’ Capital:
Expenses (excluding Performance fees)	2.16		%
Performance fees	0.79		%
Expenses (including Performance fees)	2.95		%
Net investment income (loss)	-2.94		%

(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.

7

ALTIS FUTURESACCESS LLC

(Formerly ML Altis 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 DS
Per Unit Operating Performance:
Net asset value, beginning of year	$	2.0098
Net realized and net change in unrealized trading profit	(0.1268		)
Brokerage commissions	(0.0048		)
Interest income	0.0008
Expenses	(0.0418		)
Net asset value, end of year	$	1.8372
Total Return: (a)
Total return before Performance fees	-8.59		%
Performance fees	0.00		%
Total return after Performance fees	-8.59		%
Ratios to Average Members’ Capital:
Expenses (excluding Performance fees)	2.20		%
Performance fees	0.00		%
Expenses (including Performance fees)	2.20		%
Net investment income (loss)	-2.16		%

(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.

8

ALTIS FUTURESACCESS LLC

(Formerly ML Altis FuturesAccess LLC)

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Altis FuturesAccess LLC (Formerly ML Altis 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 futures, options on futures and forward contracts on a wide range of commodities. Altis Partners (Jersey) Limited (“Altis” or “trading advisor”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or “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.

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 as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material.

Initial Offering and Organizational Costs

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

9

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), on 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 may transact business 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 dates 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. Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) on the Statements of Operations of the Fund.

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 as defined in 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 other expenses) incurred by the Fund.

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

10

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 - 2008.

Distributions

Each Member is 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, 2011 and 2010.

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 calendar 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 their 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 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.

(c)         Determination by MLAI to liquidate or withdraw from the Fund.

(d)         Withdrawal of the Sponsor.

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2.CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of December 31, 2011 and 2010 are as follows:

December 31, 2011

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	181	$	68,655		0.06	%	(1,440	)	$	312,006		0.28	%	$	380,661		0.34	%	January 12 - October 12
Currencies	240	(57,415		)	-0.05	%	(644	)	2,106,744			1.89	%	2,049,329			1.84	%	March 12
Energy	216	(56,572		)	-0.05	%	(413	)	1,900,736			1.70	%	1,844,164			1.65	%	January 12 - September 12
Interest rates	1,996	1,345,283			1.20	%	(790	)	(19,053		)	-0.02	%	1,326,230			1.18	%	March 12 - December 13
Metals	275	(980,008		)	-0.88	%	(615	)	734,157			0.66	%	(245,851		)	-0.22	%	January 12 - October 12
Stock indices	193	124,992			0.11	%	(83	)	755			0.00	%	125,747			0.11	%	January 12 - March 12
Total		$	444,935		0.39	%			$	5,035,345		4.51	%	$	5,480,280		4.90	%

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/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	1,349	$	2,826,857		2.11	%	(246	)	$	(422,166	)	-0.31	%	$	2,404,691		1.80	%	January 11 - November 11
Currencies	757	1,033,687			0.77	%	(1,520	)	4,798,083			3.58	%	5,831,770			4.35	%	March 11
Energy	653	1,556,822			1.16	%	(679	)	(2,048,766		)	-1.53	%	(491,944		)	-0.37	%	January 11 - September 11
Interest rates	1,485	423,675			0.32	%	(998	)	(528,377		)	-0.39	%	(104,702		)	-0.07	%	March 11 - December 12
Metals	1,129	4,343,897			3.24	%	(544	)	(4,118,784		)	-3.07	%	225,113			0.17	%	January 11 - October 11
Stock indices	352	(53,127		)	-0.04	%	(193	)	67,228			0.05	%	14,101			0.01	%	January 11 - March 11
Total		$	10,131,811		7.56	%			$	(2,252,782	)	-1.67	%	$	7,879,029		5.89	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2011 and 2010.

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3.  FAIR VALUE OF INVESTMENTS

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

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes.  The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included in Equity in commodity trading account on the Statements of Financial Condition.  Any change in net unrealized profit or loss from the preceding year is reported on the Statements of Operations.

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

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

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

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

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

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

13

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 and certain futures 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, 2011 and 2010 are as follows:

2011
Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III
Futures
Long	$	444,935	$	887,822	$	(442,887	)	$	—
Short	$	5,035,345	4,910,293		125,052			—
	$	5,480,280	$	5,798,115	$	(317,835	)	$	—
Forwards
Long	$	—	$	—	$	—		$	—
Short	$	—	—		—			—
	$	—	$	—	$	—		$	—
December 31, 2011	$	5,480,280	$	5,798,115	$	(317,835	)	$	—

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2010
Net unrealized profit (loss)
on open contracts	Total			Level I		Level II			Level III
Futures
Long	$	10,131,811		$	7,215,726	$	2,916,085		$	—
Short	$	(2,252,782	)	1,846,337		(4,099,119		)	—
	$	7,879,029		$	9,062,063	$	(1,183,034	)	$	—
Forwards
Long	$	—		$	—	$	—		$	—
Short	$	—		—		—			—
	$	—		$	—	$	—		$	—
December 31, 2010	$	7,879,029		$	9,062,063	$	(1,183,034	)	$	—

The Fund’s volume of trading forward and futures at December 31, 2011 and 2010, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or Level II during 2011 and 2010.

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 profits 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 total notional, contract amount or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for the years ended December 31, 2011 and 2010:

Commodity Industry	December 31, 2011			December 31, 2010
Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	$	(10,488,645	)	$	4,744,855
Currencies	(12,010,587		)	8,650,376
Energy	(4,414,436		)	(7,022,195		)
Interest rates	8,837,140			10,303,416
Metals	(8,126,336		)	638,471
Stock indices	(14,947,900		)	(626,174		)
Total	$	(41,150,764	)	$	16,688,749

15

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 other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4.  RELATED PARTY TRANSACTIONS

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2011 amounted to $23,368 of which $3,898 was payable to the Transfer Agent as of December 31, 2011.

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, MLPF&S 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 MLPF&S.  MLPF&S may derive certain economic benefit, in excess of the interest which MLPF&S pays to the Fund, from possession of such assets.

MLPF&S 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 and Class DS are not charged a Sponsor Fee. Only Class DS Units have been issued as of December 31, 2011 and 2010 therefore no Sponsor fees have been incurred by the Fund.

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, 2011 and 2010 was approximately $8.37 and $7.97, respectively and (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 all paid to related parties.

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

16

5.  ADVISORY AGREEMENT

The Fund and Altis 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 three-year periods, on the same terms, unless terminated at any time by either Altis or the Fund upon 90 days written notice to the other party.  Altis determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.

The Fund pays Altis annual management fees of 2.00% of the Fund’s average month-end net assets allocated to them after reduction for the brokerage commissions accrued with respect to such assets.  MLAI receives 50% of the 2.00% management fee for sponsoring and providing ongoing administration and operational support of the Fund.

Performance fees paid by the Fund are calculated as 20% of any New Trading Profit, as defined in the private placement memorandum, and are recognized by Altis as of either the end of each calendar year or upon the net reallocation of assets away from Altis.  Performance fees are also paid out in respect of Units redeemed as of the end of interim months, to the extent of the applicable percentage of any New Trading Profit attributable to such Units.

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, 2011 and 2010 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

In May 2011, the FASB issued an update to requirements relating to Fair Value Measurement which represents   amendments to achieve common fair value measurement and disclosure requirements in GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. MLAI does not believe the adoption of this update will have a material impact on the Fund’s financial statements.

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its financial statements.

17

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.

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 Altis, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Altis 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 Altis.

Credit Risk

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

The credit risk associated with these instruments from counterparty nonperformance is the Net unrealized profit (loss) on open contracts, if any, included in the 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 trading accounts on the Statements of Financial Condition.

18

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.

19

*    *    *    *    *    *    *    *    *    *    *

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

Altis FuturesAccess LLC

20

EX-13.03

Exhibit 13.03

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

Financial Statements as of and for the years ended December 31, 2011, 2010 and 2009 and Report of  Independent Registered Public Accounting Firm

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2011 and 2010	2
Statements of Operations for the years ended December 31, 2011, 2010 and 2009	3
Statements of Changes in Members’ Capital for the years ended December 31, 2011 2010 and 2009	4
Financial Data Highlights for the years ended December 31, 2011, 2010 and 2009	6
Notes to Financial Statements	9

Auditors report PWC

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, 2011 and 2010, and the results of its operations, the changes in its members’ capital and its financial data highlights for each of the three years in the period ended December 31, 2011, 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 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 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.

PricewaterhouseCoopers LLP

March 21, 2012

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

T: (646) 471 3000, F: (813) 286 6000, www.pwc.com/us

1

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2011 AND 2010

	2011		2010
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $21,424,479 for 2011 and $30,894,537for 2010)	$	226,605,062	$	248,920,843
Net unrealized profit on open futures contracts	7,840,087		9,574,957
Cash and cash equivalents	368,191		353,576
Other assets	65,910		68,936
TOTAL ASSETS	$	234,879,250	$	258,918,312
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Net unrealized loss on open futures contracts	$	42,864	$	308,321
Sponsor and Advisory fees payable	415,526		2,012,779
Redemptions payable	13,147,584		356,780
Other liabilities	226,967		280,632
Total liabilities	13,832,941		2,958,512
MEMBERS’ CAPITAL:
Members’ Interest (155,007,214 Units and 159,458,717 Units outstanding, unlimited Units authorized)	221,046,309		255,959,800
Total members’ capital	221,046,309		255,959,800
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	234,879,250	$	258,918,312
NET ASSET VALUE PER UNIT:
Class A	$	1.1801	$	1.3296
Class C	$	1.0927	$	1.2436
Class D	$	0.9670	$	1.0733
Class I	$	1.1823	$	1.3268
Class DS	$	1.4814	$	1.6443
Class DT	$	1.5771	$	1.7338

See notes to financial statements.

2

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	2011			2010			2009
TRADING PROFIT (LOSS):
Realized, net	$	(19,290,462	)	$	41,966,162		$	(30,087,116	)
Change in unrealized, net	(1,469,413		)	8,120,139			(5,594,032		)
Brokerage commissions	(1,084,608		)	(1,332,262		)	(1,209,739		)
Total trading profit (loss)	(21,844,483		)	48,754,039			(36,890,887		)
INVESTMENT INCOME (EXPENSE):
Interest	(17,755		)	474			17,531
EXPENSES:
Management fee	4,663,195			4,406,382			3,904,212
Sponsor fee	673,816			471,939			453,477
Performance fee	—			1,574,502			326
Other	644,087			671,538			572,395
Total expenses	5,981,098			7,124,361			4,930,410
NET INVESTMENT INCOME (LOSS)	(5,998,853		)	(7,123,887		)	(4,912,879		)
NET INCOME (LOSS)	$	(27,843,336	)	$	41,630,152		$	(41,803,766	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A	7,578,294			2,802,181			1,786,054
Class C	17,953,162			14,561,033			13,264,190
Class D	2,015,591			2,000,000			1,152,610
Class I	1,100,947			619,907			956,805
Class DS	115,338,397			114,968,274			87,628,053
Class DT	24,763,644			35,656,582			46,262,586
Net income (loss) per weighted average Unit
Class A	$	(0.1699	)	$	0.2007		$	(0.2701	)
Class C	$	(0.1584	)	$	0.1630		$	(0.2511	)
Class D	$	(0.1052	)	$	0.1636		$	(0.2186	)
Class I	$	(0.1544	)	$	0.2115		$	(0.2848	)
Class DS	$	(0.1684	)	$	0.2565		$	(0.2948	)
Class DT	$	(0.1577	)	$	0.2454		$	(0.2521	)

See notes to financial statements.

3

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009 (IN UNITS)

	Members’ Capital December 31, 2008	Subscriptions	Redemptions		Members’ Capital December 31, 2009	Subscriptions	Redemptions		Members’ Capital December 31, 2010	Subscriptions	Redemptions		Members’ Capital December 31, 2011
Class A	937,456	1,476,622	(142,255	)	2,271,823	1,718,015	(531,812	)	3,458,026	6,523,393	(1,054,773	)	8,926,646
Class C	10,398,395	6,948,101	(2,863,733	)	14,482,763	4,312,661	(3,655,224	)	15,140,200	6,132,543	(4,254,902	)	17,017,841
Class D	978,915	2,000,000	(978,915	)	2,000,000	—	—		2,000,000	62,362	—		2,062,362
Class I	780,147	1,335,257	(1,613,404	)	502,000	524,110	(114,693	)	911,417	368,795	(327,359	)	952,853
Class DS	67,285,671	41,935,733	—		109,221,404	14,884,402	(12,437,991	)	111,667,815	8,143,951	(15,405,971	)	104,405,795
Class DT	51,421,530	872,634	(8,966,222	)	43,327,942	351,090	(17,397,773	)	26,281,259	618,514	(5,258,056	)	21,641,717
Total Members’ Units	131,802,114	54,568,347	(14,564,529	)	171,805,932	21,790,278	(34,137,493	)	159,458,717	21,849,558	(26,301,061	)	155,007,214

See notes to financial statements.

4

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2011, 2010 AND 2009

	Members’ Capital December 31, 2008		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital December 31, 2009		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital December 31, 2010		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital December 31, 2011
Class A	$	1,297,666	$	1,957,694	$	(174,096	)	$	(482,333	)	$	2,598,931	$	2,073,078	$	(636,492	)	$	562,392	$	4,597,909	$	8,485,986	$	(1,262,333	)	$	(1,287,510	)	$	10,534,052
Class C	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		7,351,464		(4,741,010		)	(2,843,124		)	18,595,146
Class D	1,205,010		2,000,000		(1,133,727		)	(251,902		)	1,819,381		—		—			327,240		2,146,621		59,699		—			(212,045		)	1,994,275
Class I	1,069,315		1,768,505		(1,994,556		)	(272,480		)	570,784		635,539		(128,109		)	131,084		1,209,298		474,204		(387,009		)	(169,935		)	1,126,558
Class DS	111,764,376		66,276,040		—			(25,829,034		)	152,211,382		20,606,244		(18,693,691		)	29,487,583		183,611,518		13,056,819		(22,578,894		)	(19,424,860		)	154,664,583
Class DT	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		979,606		(8,508,687		)	(3,905,862		)	34,131,695
Total Members’ Capital	$	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	$	30,407,778	$	(37,477,933	)	$	(27,843,336	)	$	221,046,309

See notes to financial statements.

5

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2011

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	$	1.3296		$	1.2436		$	1.0733		$	1.3268		$	1.6443		$	1.7338
Net realized and net change in unrealized trading profit (loss)	(0.0971		)	(0.0905		)	(0.0789		)	(0.0971		)	(0.1209		)	(0.1280		)
Brokerage commissions	(0.0053		)	(0.0050		)	(0.0043		)	(0.0053		)	(0.0067		)	(0.0070		)
Interest income	(0.0001		)	(0.0001		)	(0.0001		)	(0.0001		)	(0.0001		)	(0.0001		)
Expenses	(0.0470		)	(0.0553		)	(0.0230		)	(0.0420		)	(0.0352		)	(0.0216		)
Net asset value, end of year	$	1.1801		$	1.0927		$	0.9670		$	1.1823		$	1.4814		$	1.5771
Total Return: (a)
Total return before Performance fees	-11.28		%	-12.16		%	-9.94		%	-10.92		%	-9.94		%	-9.03		%
Performance fees	-0.04		%	-0.04		%	-0.04		%	-0.04		%	-0.04		%	-0.08		%
Total return after Performance fees	-11.32		%	-12.20		%	-9.98		%	-10.96		%	-9.98		%	-9.11		%
Ratios to Average Members’ Capital:
Expenses (excluding Performance fees)	3.75		%	4.74		%	2.25		%	3.35		%	2.25		%	1.25		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.04		%
Expenses (including Performance fees)	3.75		%	4.74		%	2.25		%	3.35		%	2.25		%	1.29		%
Net investment income (loss)	-3.75		%	-4.75		%	-2.26		%	-3.36		%	-2.26		%	-1.30		%

(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.

6

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	—			—			—			—			—			—
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		%

(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.

7

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		%

(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.

8

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 futures, 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 “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, 2011 the Fund offers six Classes of Units:  Class A, Class C, Class I, Class D, Class DS, and Class DT.  Each Class of Units, except for Class DS and DT was offered at $1.00 per Unit during the initial offering period and subsequently is offered at the 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.

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 as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material.

9

Initial Offering and Organizational Costs

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

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), Net on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss), Net on 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 may transact business 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 dates 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.  Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) on the Statements of Operations of the Fund.

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 as defined in 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 other expenses) incurred by the Fund.

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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 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 — 2008.

Distributions

Each Member is 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, 2011, 2010 and 2009.

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 calendar 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 their 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 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.

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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.

(c)       Determination by MLAI to liquidate or withdraw from the Fund.

(d)       Withdrawal of the Sponsor.

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2.CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit/loss on open contracts on the Statements of Financial Condition, as of December 31, 2011 and 2010 are as follows:

December 31, 2011

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	415	$	185,732		0.08	%	(1,463	)	$	(628,585	)	-0.28	%	$	(442,853	)	-0.20	%	January 12 - December 12
Currencies	551	273,422			0.12	%	(434	)	950,112			0.43	%	1,223,534			0.55	%	March 12
Energy	177	64,791			0.03	%	(1,005	)	3,491,388			1.58	%	3,556,179			1.61	%	January 12 - December 13
Interest rates	4,195	2,851,470			1.29	%	(2,341	)	(225,250		)	-0.10	%	2,626,220			1.19	%	March 12 - September 15
Metals	242	(1,005,397		)	-0.45	%	(386	)	1,437,831			0.65	%	432,434			0.20	%	January 12 - May 12
Stock indices	297	410,970			0.19	%	(182	)	(9,261		)	0.00	%	401,709			0.19	%	January 12 - May 12
Total		$	2,780,988		1.26	%			$	5,016,235		2.28	%	$	7,797,223		3.54	%

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/Notional	Profit (Loss)		Members’ Capital		Contracts/Notional		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	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2011 and 2010.

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3.FAIR VALUE OF INVESTMENTS

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

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes.  The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included in Equity in commodity trading account on the Statements of Financial Condition.  Any change in net unrealized profit or loss from the preceding year is reported on the Statements of Operations.

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

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

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

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

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

14

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 and certain futures 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, 2011 and 2010 are as follows:

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III
Futures
Long	$	2,780,988	$	3,786,386	$	(1,005,398	)	$	—
Short	$	5,016,235	3,882,964		1,133,271
	$	7,797,223	$	7,669,350	$	127,873		$	—
Forwards
Long	$	—	$	—	$	—		$	—
Short	$	—	—		—			—
	$	—	$	—	$	—		$	—
December 31, 2011	$	7,797,223	$	7,669,350	$	127,873		$	—

15

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		$	—

The Fund’s volume of trading forward and futures at December 31, 2011 and 2010, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or Level II during 2011 and 2010.

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 profits 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 total notional, contract amount, or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for the years ended December 31, 2011 and 2010:

	December 31, 2011			December 31, 2010
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net
Agriculture	$	(12,391,662	)	$	1,791,226
Currencies	(15,346,290		)	8,588,176
Energy	(600,805		)	2,100,729
Interest rates	13,882,891			26,649,777
Metals	1,345,868			13,431,814
Stock indices	(7,649,877		)	(2,475,421		)
Total	$	(20,759,875	)	$	50,086,301

16

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 other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4.RELATED PARTY TRANSACTION

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2011 amounted to $51,287 of which $7,723 was payable to the Transfer Agent as of December 31, 2011.

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, MLPF&S 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 MLPF&S.  MLPF&S may derive certain economic benefit, in excess of the interest which MLPF&S pays to the Fund, from possession of such assets.

MLPF&S 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, Class DS, and Class DT are not charged a Sponsor Fee.

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, 2011, 2010 and 2009 was approximately $6.10, $5.64 and $9.58, 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.

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

17

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 their respective 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, 2011, 2010 and 2009 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

In May 2011, the FASB issued an update to requirements relating to Fair Value Measurement which represents   amendments to achieve common fair value measurement and disclosure requirements in GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. MLAI does not believe the adoption of this update will have a material impact on the Fund’s financial statements.

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In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its 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 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.

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 Transtrend, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Transtrend 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 Transtrend.

Credit Risk

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

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

19

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 trading accounts on the Statements of Financial Condition.

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.

20

*    *    *    *    *    *    *    *    *    *    *

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

21

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 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 23, 2012

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

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 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 23, 2012

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

EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this annual report of  Systematic Momentum FuturesAccess LLC (the “Company”) on Form 10-K for the year ended December 31, 2011 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 23, 2012

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

EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this annual report of  Systematic Momentum FuturesAccess LLC, (the “Company”) on Form 10-K for the year ended December 31, 2011 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 23, 2012

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

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INVESTMENTS IN PORTFOLIO FUNDS

12 Months Ended

Dec. 31, 2011

INVESTMENTS IN PORTFOLIO FUNDS

INVESTMENTS IN PORTFOLIO FUNDS

2.    INVESTMENTS IN PORTFOLIO FUNDS

The Portfolio Funds in which the Fund was invested as of December 31, 2011 and 2010 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. 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, 2011, details of Investments in Portfolio Funds are as follows:

	Percentage of  Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/11		Management  Fees			Performance Fees		Redemptions Permitted
Transtrend	17.01	%	154,664,583		(19,424,860		)	158,073,068		(3,583,948		)	—		monthly
Altis	12.29	%	111,702,199		(44,402,871		)	129,319,659		(2,535,363		)	—		monthly
Winton	17.01	%	154,664,303		9,917,494			132,177,938		(3,655,604		)	—		monthly
Aspect	9.45	%	85,925,338		5,314,184			71,811,623		(2,029,046		)	—		monthly
John Locke	13.23	%	120,294,680		(11,808,229		)	124,464,075		(2,790,838		)	—		monthly
BlueTrend	18.79	%	170,839,098		(2,353,478		)	145,612,242		(3,468,874		)	—		monthly
Tudor	12.29	%	111,704,375		(13,295,954		)	118,956,254		(2,589,847		)	—		monthly
	100.07	%	$	909,794,576	$	(76,053,714	)	$	880,414,859	$	(20,653,520	)	$	—

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.

As of December 31, 2011 and 2010, 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, 2011
	Total Assets		Total Liabilities		Total Capital
Altis	$	118,202,967	$	6,500,768	$	111,702,199
Transtrend	234,879,250		13,832,941		221,046,309
Total	$	353,082,217	$	20,333,709	$	332,748,508

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

	For the year ended December 31,2011
										Net
	Income (Loss)			Commissions			Other			Income (Loss)
Altis	$	(41,137,841	)	$	(544,573	)	$	(2,720,457	)	$	(44,402,871	)
Transtrend	(14,621,768		)	(766,624		)	(4,036,468		)	(19,424,860		)
Total	$	(55,759,609	)	$	(1,311,197	)	$	(6,756,925	)	$	(63,827,731	)

	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

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SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

12 Months Ended

Dec. 31, 2011

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

1.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Systematic Momentum FuturesAccess LLC (Formerly 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 “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 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, 2011 the Fund offers four Classes of Units to retail investors: Class A, Class C, Class D, Class M 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.

The Class M Units are for Investors who are subscribing through a managed investment account program at MLPF&S and who satisfy other requirements as determined by the Sponsor from time to time. The Class M Units are not subject to an upfront sales commission and no ongoing compensation is paid to MLFPF&S as selling agent, and the Class M Units are not subject to Sponsor’s fees. However, a portion of the asset-based program fee applicable to a Managed Account, including the amounts invested in Class M Units, will be paid to the Managed Account’s Financial Advisor.

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 as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

Initial Offering and Organizational Costs

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

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), net on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss), net 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, 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 dates 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. Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) in the Statements of Operations of 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 as defined in 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 redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other 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, Class M and Class 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 — 2008.

Distributions

Each Member is 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, 2011, 2010 and 2009.

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 calendar 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 their 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.

(c)         Determination by MLAI to liquidate or withdraw from the Fund.

(d)         Withdrawal of the Sponsor.

XML

STATEMENTS OF FINANCIAL CONDITION (USD $)	Dec. 31, 2011	Dec. 31, 2010
ASSETS:
Cash and cash equivalents	$ 45,570	$ 312,720
Investment in Portfolio Funds (Cost $880,414,859 at 2011 and $917,232,393 at 2010)	909,794,576	1,038,634,185
Other assets	119,995	120,000
Accrued Interest Receivable		48
Receivable from Portfolio Fund	35,418,578
TOTAL ASSETS	945,378,719	1,039,066,953
LIABILITIES:
Sponsor fee payable	1,596,782	1,718,827
Redemptions payable	34,062,410	9,355,655
Other liabilities	603,765	580,585
Total liabilities	36,262,957	11,655,067
MEMBERS' CAPITAL:
Members' Interest (782,897,013 Units and 803,714,707 Units outstanding, unlimited Units authorized)	909,115,762	1,027,411,886
Total members' capital	909,115,762	1,027,411,886
TOTAL LIABILITIES AND MEMBERS' CAPITAL	$ 945,378,719	$ 1,039,066,953

XML

STATEMENTS OF CHANGES IN MEMBERS' CAPITAL (USD $)	12 Months Ended
	Dec. 31, 2011		Dec. 31, 2010	Dec. 31, 2009
Increase (Decrease) in Members' Capital
Members' Capital	$ 1,027,411,886		$ 868,301,244	$ 678,698,088
Members' Capital (in Units)	803,714,707		742,615,122	532,683,079
Subscriptions	196,937,331		214,222,125	460,439,963
Subscriptions (in Units)	160,366,427		181,373,855	376,654,238
Redemptions	(217,068,957)		(143,473,471)	(193,025,539)
Redemptions (in Units)	(181,184,121)		(120,274,270)	(166,722,195)
Net Income (Loss)	(98,164,498)		88,361,988	(77,811,268)
Members' Capital	909,115,762		1,027,411,886	868,301,244
Members' Capital (in Units)	782,897,013		803,714,707	742,615,122
Class A
Increase (Decrease) in Members' Capital
Members' Capital	137,682,539		115,433,469	54,529,667
Members' Capital (in Units)	109,942,197		101,281,370	43,411,942
Subscriptions	43,711,467		43,208,239	81,493,093
Subscriptions (in Units)	36,161,964		37,454,263	68,840,956
Redemptions	(32,725,858)		(33,492,677)	(12,896,520)
Redemptions (in Units)	(27,688,933)		(28,793,436)	(10,971,528)
Net Income (Loss)	(13,053,344)		12,533,508	(7,692,771)
Members' Capital	135,614,804		137,682,539	115,433,469
Members' Capital (in Units)	118,415,228		109,942,197	101,281,370
Class C
Increase (Decrease) in Members' Capital
Members' Capital	688,642,500		574,889,257	409,646,343
Members' Capital (in Units)	545,907,287		495,761,388	317,357,227
Subscriptions	132,685,075		137,194,846	297,112,874
Subscriptions (in Units)	109,176,693		117,503,045	243,313,258
Redemptions	(133,565,678)		(79,462,491)	(78,716,580)
Redemptions (in Units)	(114,022,150)		(67,357,146)	(64,909,097)
Net Income (Loss)	(69,805,950)		56,020,888	(53,153,380)
Members' Capital	617,955,947		688,642,500	574,889,257
Members' Capital (in Units)	541,061,830		545,907,287	495,761,388
Class D
Increase (Decrease) in Members' Capital
Members' Capital	50,284,160		39,754,376	50,152,681
Members' Capital (in Units)	34,000,711		29,983,145	34,878,314
Subscriptions	10,122,993		15,063,878	16,149,077
Subscriptions (in Units)	6,889,653		10,949,271	12,101,406
Redemptions	(11,252,683)		(9,395,654)	(23,558,237)
Redemptions (in Units)	(7,925,754)		(6,931,705)	(16,996,575)
Net Income (Loss)	(3,896,426)		4,861,560	(2,989,145)
Members' Capital	45,258,044		50,284,160	39,754,376
Members' Capital (in Units)	32,964,610		34,000,711	29,983,145
Class I
Increase (Decrease) in Members' Capital
Members' Capital	103,872,241		91,156,074	70,208,485
Members' Capital (in Units)	78,308,142		75,813,210	53,200,108
Subscriptions	9,556,684		15,803,018	52,343,272
Subscriptions (in Units)	7,441,738		13,078,347	41,524,978
Redemptions	(19,721,881)		(13,065,374)	(23,702,669)
Redemptions (in Units)	(15,853,937)		(10,583,415)	(18,911,876)
Net Income (Loss)	(8,579,840)		9,978,523	(7,693,014)
Members' Capital	85,127,204		103,872,241	91,156,074
Members' Capital (in Units)	69,895,943		78,308,142	75,813,210
Class D1
Increase (Decrease) in Members' Capital
Members' Capital	46,930,446		47,068,068	39,876,273
Members' Capital (in Units)	35,556,370		39,776,009	31,040,046
Subscriptions	711,112		2,952,144	13,341,647
Subscriptions (in Units)	546,379		2,388,929	10,873,640
Redemptions	(19,802,857)		(8,057,275)	(2,682,871)
Redemptions (in Units)	(15,693,347)		(6,608,568)	(2,137,677)
Net Income (Loss)	(2,831,089)		4,967,509	(3,466,981)
Members' Capital	25,007,612		46,930,446	47,068,068
Members' Capital (in Units)	20,409,402		35,556,370	39,776,009
Class DA
Increase (Decrease) in Members' Capital
Members' Capital				54,284,639	[1]
Members' Capital (in Units)				52,795,442	[1]
Redemptions				(51,468,662)	[1]
Redemptions (in Units)				(52,795,442)	[1]
Net Income (Loss)				(2,815,977)	[1]
Class M
Increase (Decrease) in Members' Capital
Subscriptions	150,000	[2]
Subscriptions (in Units)	150,000	[2]
Net Income (Loss)	2,151	[2]
Members' Capital	$ 152,151	[2]
Members' Capital (in Units)	150,000	[2]

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

[2] Units issued on December 1, 2011

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FINANCIAL DATA HIGHLIGHTS (USD $)	12 Months Ended																														1 Months Ended		12 Months Ended
	Dec. 31, 2011 Class A		Dec. 31, 2010 Class A		Dec. 31, 2009 Class A		Dec. 31, 2011 Class C		Dec. 31, 2010 Class C		Dec. 31, 2009 Class C		Dec. 31, 2011 Class D		Dec. 31, 2010 Class D		Dec. 31, 2009 Class D		Dec. 31, 2011 Class I		Dec. 31, 2010 Class I		Dec. 31, 2009 Class I		Dec. 31, 2011 Class D1		Dec. 31, 2010 Class D1		Dec. 31, 2009 Class D1		Dec. 31, 2011 Class M		Dec. 31, 2011 Class M		Dec. 31, 2009 Class DA
Per Unit Operating Performance:
Net asset value, beginning of year	$ 1.2523		$ 1.1397		$ 1.2561		$ 1.2615		$ 1.1596		$ 1.2908		$ 1.4789		$ 1.3259		$ 1.4379		$ 1.3265		$ 1.2024		$ 1.3197		$ 1.3199		$ 1.1833		$ 1.2847		$ 1.0000	[1]			$ 1.0282	[2]
Net Realized and net unrealized change in trading profit (loss)	$ (0.0874)		$ 0.1319		$ (0.0971)		$ (0.0877)		$ 0.1333		$ (0.0995)		$ (0.1039)		$ 0.1551		$ (0.1119)		$ (0.0928)		$ 0.1396		$ (0.1022)		$ (0.0927)		$ 0.1384		$ (0.0998)		$ 0.0145	[1]			$ 0.0073	[2]
Interest income	$ 0.0000		$ 0.0000		$ 0.0001		$ 0.0000		$ 0.0000		$ 0.0001		$ 0.0000		$ 0.0000		$ 0.0002		$ 0.0000		$ 0.0000		$ 0.0002		$ 0.0000		$ 0.0000		$ 0.0001		$ 0.0000	[1]			$ 0.0001	[2]
Expenses	$ (0.0197)		$ (0.0193)		$ (0.0194)		$ (0.0317)		$ (0.0314)		$ (0.0318)		$ (0.0021)		$ (0.0021)		$ (0.0003)		$ (0.0158)		$ (0.0155)		$ (0.0153)		$ (0.0019)		$ (0.0018)		$ (0.0017)		$ (0.0002)	[1]			$ (0.0007)	[2]
Net asset value, before liquidation					$ 1.1397						$ 1.1596						$ 1.3259						$ 1.2024						$ 1.1833						$ 1.0349	[2]
Less liquidating distribution																																			$ 1.0349	[2]
Net asset value, end of year	$ 1.1452		$ 1.2523		$ 1.1397		$ 1.1421		$ 1.2615		$ 1.1596		$ 1.3729		$ 1.4789		$ 1.3259		$ 1.2179		$ 1.3265		$ 1.2024		$ 1.2253		$ 1.3199		$ 1.1833		$ 1.0143	[1]	$ 1.0143	[1]
Total Return:
Total return (as a percent)	(8.55%)	[3]	9.88%	[3]	(9.27%)	[3]	(9.46%)	[3]	8.78%	[3]	(10.17%)	[3]	(7.17%)	[3]	11.54%	[3]	(7.90%)	[3]	(8.18%)	[3]	10.32%	[3]	(8.90%)	[3]	(7.17%)	[3]	11.54%	[3]	(7.90%)	[3]			1.43%	[1],[3]	(5.50%)	[2],[3]
Ratios to Average Members' Capital:
Expenses (as a percent)	1.64%		1.66%		1.64%		2.64%		2.67%		2.64%		0.15%		0.15%		0.14%		1.24%		1.26%		1.24%		0.15%		0.15%		0.14%				0.01%	[1]	0.10%	[2]
Net investment income (loss) (as a percent)	(1.64%)		(1.66%)		(1.63%)		(2.64%)		(2.67%)		(2.63%)		(0.15%)		(0.15%)		(0.13%)		(1.24%)		(1.26%)		(1.23%)		(0.15%)		(0.15%)		(0.13%)				(0.01%)	[1]	(0.09%)	[2]

[1] Units issued on December 1, 2011

[2] Units issued December 1, 2008 and liquidated as of September 30, 2009.

[3] 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.

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STATEMENTS OF FINANCIAL CONDITION - NET ASSET VALUE PER UNIT (USD $)	Dec. 31, 2011 Class A	Dec. 31, 2010 Class A	Dec. 31, 2009 Class A	Dec. 31, 2008 Class A	Dec. 31, 2011 Class C	Dec. 31, 2010 Class C	Dec. 31, 2009 Class C	Dec. 31, 2008 Class C	Dec. 31, 2011 Class D	Dec. 31, 2010 Class D	Dec. 31, 2009 Class D	Dec. 31, 2008 Class D	Dec. 31, 2011 Class I	Dec. 31, 2010 Class I	Dec. 31, 2009 Class I	Dec. 31, 2008 Class I	Dec. 31, 2011 Class D1	Dec. 31, 2010 Class D1	Dec. 31, 2009 Class D1	Dec. 31, 2008 Class D1	Dec. 31, 2011 Class M		Dec. 01, 2011 Class M		Dec. 31, 2008 Class DA
NET ASSET VALUE PER UNIT:
NET ASSET VALUE PER UNIT: (in dollars per unit)	$ 1.1452	$ 1.2523	$ 1.1397	$ 1.2561	$ 1.1421	$ 1.2615	$ 1.1596	$ 1.2908	$ 1.3729	$ 1.4789	$ 1.3259	$ 1.4379	$ 1.2179	$ 1.3265	$ 1.2024	$ 1.3197	$ 1.2253	$ 1.3199	$ 1.1833	$ 1.2847	$ 1.0143	[1]	$ 1.0000	[1]	$ 1.0282	[2]

[1] Units issued on December 1, 2011

[2] Units issued December 1, 2008 and liquidated as of September 30, 2009.

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Document and Entity Information (USD $)	12 Months Ended
	Dec. 31, 2011
Document and Entity Information
Entity Registrant Name	Systematic Momentum FuturesAccess LLC
Entity Central Index Key	0001393359
Document Type	10-K
Document Period End Date	Dec. 31, 2011
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Public Float	$ 0
Entity Common Stock, Shares Outstanding	782,897,013
Document Fiscal Year Focus	2011
Document Fiscal Period Focus	FY

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STATEMENTS OF FINANCIAL CONDITION (Parenthetical) (USD $)	Dec. 31, 2011	Dec. 31, 2010
STATEMENTS OF FINANCIAL CONDITION
Investment in Portfolio Funds, Cost (in dollars)	$ 880,414,859	$ 917,232,393
Members' Interest, Units outstanding	782,897,013	803,714,707

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ADVISORY AGREEMENTS

12 Months Ended

Dec. 31, 2011

ADVISORY AGREEMENTS

ADVISORY AGREEMENTS

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, 2014
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
BlueTrend	BlueCrest Capital Management, L.P.	December 31, 2012
Tudor	Tudor Investment Corporation	December 31, 2012

** 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 written 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.

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RELATED PARTY TRANSACTIONS

12 Months Ended

Dec. 31, 2011

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS

4.RELATED PARTY TRANSACTIONS

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2011 amounted to $208,890 of which $31,300 was payable to the Transfer Agent as of December 31, 2011.

The Portfolio Funds’ U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, MLPF&S 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 profits actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by MLPF&S.  MLPF&S may derive certain economic benefit, in excess of the interest which MLPF&S pays to the Portfolio Funds, from possession of such assets.

MLPF&S 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, Class D and Class M are not charged a Sponsor Fee.

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. A portion of the brokerage fees is paid to Portfolio Funds’ executing brokers, which include MLPF&S. 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.

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

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MARKET AND CREDIT RISK

12 Months Ended

Dec. 31, 2011

MARKET AND CREDIT RISK

MARKET AND CREDIT RISK

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 profits (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition of the Portfolio Funds.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that 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 (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties.  Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty nonperformance is the Net unrealized profits 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 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.

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WEIGHTED AVERAGE UNITS

12 Months Ended

Dec. 31, 2011

WEIGHTED AVERAGE UNITS

WEIGHTED AVERAGE UNITS

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, 2011, 2010 and 2009 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.

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RECENT ACCOUNTING PRONOUNCEMENTS

12 Months Ended

Dec. 31, 2011

RECENT ACCOUNTING PRONOUNCEMENTS

RECENT ACCOUNTING PRONOUNCEMENTS

7.RECENT ACCOUNTING PRONOUNCEMENTS

In May 2011, the FASB issued an update to requirements relating to Fair Value Measurement which represents   amendments to achieve common fair value measurement and disclosure requirements in GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. MLAI does not believe the adoption of this update will have a material impact on the Fund’s financial statements.

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its financial statements.

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SUBSEQUENT EVENTS

12 Months Ended

Dec. 31, 2011

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS

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.

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STATEMENTS OF OPERATIONS (USD $)	12 Months Ended
	Dec. 31, 2011		Dec. 31, 2010	Dec. 31, 2009
TRADING PROFIT (LOSS):
Realized, net	$ 15,968,361		$ 16,360,846	$ (4,551,852)
Change in unrealized, net	(92,022,075)		92,218,885	(57,300,048)
Total trading profit (loss)	(76,053,714)		108,579,731	(61,851,900)
INVESTMENT INCOME (EXPENSE):
Interest	187		3,003	100,827
EXPENSES:
Sponsor fee	20,592,497		18,769,349	14,993,578
Other	1,518,474		1,451,397	1,066,617
Total expenses	22,110,971		20,220,746	16,060,195
NET INVESTMENT INCOME (LOSS)	(22,110,784)		(20,217,743)	(15,959,368)
NET INCOME (LOSS)	$ (98,164,498)		$ 88,361,988	$ (77,811,268)
Class A
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	121,155,293		109,375,008	72,278,307
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.1077)		$ 0.1146	$ (0.1065)
Class C
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	580,425,923		531,784,589	424,839,320
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.1203)		$ 0.1053	$ (0.1252)
Class D
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	36,049,556		30,338,915	27,746,997
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.1081)		$ 0.1602	$ (0.1098)
Class I
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	78,129,418		79,536,161	68,216,740
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.1098)		$ 0.1255	$ (0.1129)
Class D1
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	30,682,341		37,708,328	36,879,598
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0923)		$ 0.1317	$ (0.0941)
Class DA
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)				46,290,806	[1]
Net income (loss) per weighted average Unit (in dollars per unit)				$ (0.0608)	[1]
Class M
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	150,000	[2]
Net income (loss) per weighted average Unit (in dollars per unit)	$ 0.0143	[2]

[1] 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.)

[2] Units issued on December 1, 2011

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FAIR VALUE OF INVESTMENTS

12 Months Ended

Dec. 31, 2011

FAIR VALUE OF INVESTMENTS

FAIR VALUE OF INVESTMENTS

3.FAIR VALUE OF INVESTMENTS

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

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

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

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

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

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

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

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

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

Investments in Portfolio Funds are valued using the net asset value reported by the Portfolio Funds, 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’s”) are materially based on portfolios of Level I and Level II assets and liabilities for which the Fund has transparency.  As such, the Fund determined that its investments in these Portfolio Funds in this case, would be classified as Level II. There were no transfers to or from Level II during 2011 and 2010.

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

Investment in
Portfolio Funds	Total		Level I		Level II		Level III
December 31, 2011	$	909,794,576	$	—	$	909,794,576	$	—
December 31, 2010	$	1,038,634,185	$	—	$	1,038,634,185	$	—