UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended September 30, 2015

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

For the transition period from to

Commission File Number 0-28928

ML TREND-FOLLOWING FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


Delaware		13-3887922
(State or other jurisdiction of		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

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

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

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

Large accelerated filer o		Accelerated filer o

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

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

As of September 30, 2015, 276,490 units of limited partnership interest were outstanding.

ML TREND-FOLLOWING FUTURES FUND L.P.

QUARTERLY REPORT FOR SEPTEMBER 30, 2015 ON FORM 10-Q

Table of Contents

PART I—FINANCIAL INFORMATION		PAGE

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	14

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	23

Item 4.	Controls and Procedures	30

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	31

Item 1A.	Risk Factors	31

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	31

Item 3.	Defaults Upon Senior Securities	31

Item 4.	Mine Safety Disclosures	31

Item 5.	Other Information	31

Item 6.	Exhibits	32

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

STATEMENTS OF FINANCIAL CONDITION

At September 30, 2015 (Liquidation Basis) and December 31, 2014 (Going Concern Basis)

(unaudited)

	September 30,		December 31,
	2015		2014

ASSETS:
Cash and cash equivalents	$	349,509	$	349,512
Investments in Portfolio Funds (cost $36,811,762 for 2015 and cost $42,005,957 for 2014)	48,724,248		59,002,985
Receivable from Portfolio Funds	3,325,032		1,416,175
Accrued interest receivable	4		—

TOTAL ASSETS	$	52,398,793	$	60,768,672

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Liquidation accrual	$	457,635	$	—
Wrap fee payable	174,663		202,561
Redemptions payable	3,150,374		1,125,689

Total liabilities	3,782,672		1,328,250

PARTNERS’ CAPITAL:
General Partner (9 Units and 9 Units)	1,582		1,638
Limited Partners (276,490 Units and 326,557 Units)	48,614,539		59,438,784

Total partners’ capital	48,616,121		59,440,422

TOTAL LIABILITIES AND PARTNERS’ CAPITAL:	$	52,398,793	$	60,768,672

NET ASSET VALUE PER UNIT
(Based on 276,499 and 326,566 Units outstanding; unlimited Units authorized)	$	175.8275	$	182.0166

See notes to financial statements.

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

(unaudited)

	For the two			For the one			For the three			For the eight			For the one			For the nine
	months ended			month ended			months ended			months ended			month ended			months ended
	August 31,			September 30,			September 30,			August 31,			September 30,			September 30,
	2015 (1)			2015 (2)			2014 (1)			2015 (1)			2015 (2)			2014 (1)
TRADING PROFIT (LOSS):
Realized, net	$	2,041,003		$	1,292,188		$	1,259,879		$	4,167,669		$	1,292,188		$	(22,161	)
Change in unrealized, net	(803,065		)	416,924			1,943,995			(5,501,466		)	416,924			4,440,730
Total trading profit (loss), net	1,237,938			1,709,112			3,203,874			(1,333,797		)	1,709,112			4,418,569

INVESTMENT INCOME (EXPENSE):
Interest, net	6			3			—			20			3			—

EXPENSES:
Wrap fee	354,735			174,663			593,452			1,528,673			174,663			1,894,856
Total expenses	354,735			174,663			593,452			1,528,673			174,663			1,894,856

NET INVESTMENT INCOME (LOSS)	(354,729		)	(174,660		)	(593,452		)	(1,528,653		)	(174,660		)	(1,894,856		)
NET PROFIT (LOSS) (1) / REMEASUREMENT OF ASSETS AND LIABILITIES (2)	883,209			1,534,452			$	2,610,422		$	(2,862,450	)	$	1,534,452		$	2,523,713

NET PROFIT (LOSS) (1) / REMEASUREMENT OF ASSETS AND LIABILITIES (2) PER UNIT:
Weighted average number of General Partner and Limited Partner Units outstanding	296,827			294,260			366,836			312,924			294,260			403,860

Net profit (loss) / Remeasurement of Assets and Liabilities per weighted average General Partner and Limited Partner Unit	$	2.98		$	5.21		$	7.12		$	(9.15	)	$	5.21		$	6.25

(1) Going concern basis

(2) Liquidation basis

See notes to financial statements.

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE EIGHT MONTHS ENDED AUGUST 31, 2015 (GOING CONCERN BASIS) AND THE ONE MONTH ENDED SEPTEMBER 30, 2015 (LIQUIDATION BASIS)

(unaudited)

	Units		General Partner			Limited Partners			Total

PARTNERS’ CAPITAL,
December 31, 2014	326,566		$	1,638		$	59,438,784		$	59,440,422

Subscriptions	129		—			25,000			25,000

Net Profit (Loss)	—		(88		)	(2,862,362		)	(2,862,450		)

Redemptions	(32,445	)	—			(5,913,294		)	(5,913,294		)

PARTNERS’ CAPITAL,
August 31, 2015	294,250		$	1,550		$	50,688,128		$	50,689,678

Liquidation Accrual	—		$	—		$	(457,635	)	$	(457,635	)

PARTNERS’ CAPITAL,
September 1, 2015	294,250		$	1,550		$	50,230,493		$	50,232,043

Remeasurement of Assets and Liabilities	—		32			1,534,420			1,534,452

Redemptions	(17,751	)	—			(3,150,374		)	(3,150,374		)

PARTNERS’ CAPITAL,
September 30, 2015	276,499		$	1,582		$	48,614,539		$	48,616,121

See notes to financial statements.

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

STATEMENT OF CHANGES IN PARTNERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (GOING CONCERN BASIS)

(unaudited)

	Units		General Partner		Limited Partners			Total

PARTNERS’ CAPITAL,
December 31, 2013	450,750		$	1,416	$	70,906,512		$	70,907,928

Subscriptions	145		—		22,000			22,000

Net Profit (Loss)	—		69		2,523,644			2,523,713

Redemptions	(102,957	)	—		(16,029,916		)	(16,029,916		)

PARTNERS’ CAPITAL,
September 30, 2014	347,938		$	1,485	$	57,422,240		$	57,423,725

See notes to financial statements.

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

FINANCIAL DATA HIGHLIGHTS

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

	Two months ended			One month ended			Eight months ended			One month ended
	August 31, 2015 (5)			September 30, 2015 (6)			August 31, 2015 (5)			September 30, 2015 (6)
Per Unit Operating Performance:
Net asset value, beginning of period	$	169.4437		$	172.2674		$	182.0166		$	172.2674
Liquidation accrual	—			(1.6551		)	—			(1.6551		)
Net realized and net change in unrealized trading profit (loss)	4.0009			5.8082			(4.8699		)	5.8082
Expenses	(1.1772		)	(0.5930		)	(4.8793		)	(0.5930		)

Net asset value, end of period	$	172.2674		$	175.8275		$	172.2674		$	175.8275

Total Return: (2) (3)

Total return	1.67		%	2.07		%	-5.36		%	2.07		%

Ratios to Average Net Assets: (1) (3) (4)

Expenses	0.67		%	0.33		%	2.67		%	0.33		%

Net investment income (loss)	-0.67		%	-0.33		%	-2.67		%	-0.33		%

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

(2) The total return is based on compounded monthly returns and is calculated for the limited partners as a whole.

An individual limited partner’s return may vary from these returns based on timing of capital transactions.

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

(4) The ratios do not include the liquidation accrual of $457,635.

(5) Going concern basis

(6) Liquidation basis

See notes to financial statements.

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 (unaudited)

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

	Three months ended			Nine months ended
	September 30, 2014			September 30, 2014
Per Unit Operating Performance:
Net asset value, beginning of period	$	157.7810		$	157.3110

Net realized and net change in unrealized trading profit (loss)	8.8771			12.4298
Expenses	(1.6180		)	(4.7007		)

Net asset value, end of period	$	165.0401		$	165.0401

Total Return: (2) (3)

Total return	4.60		%	4.91		%

Ratios to Average Net Assets: (1) (3)

Expenses	1.01		%	3.02		%

Net investment income (loss)	-1.01		%	-3.02		%

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

(2) The total return is based on compounded monthly returns and is calculated for each class taken as a whole.

An individual partner’s return may vary from these returns based on timing of capital transactions.

(3) The ratios are not annualized.

See notes to financial statements.

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

ML Trend-Following Futures Fund L.P. (the “Partnership”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Revised Uniform Limited Partnership Act on December 11, 1995 and commenced trading on July 15, 1996. The Partnership operates as a “fund of funds”, allocating and reallocating its capital, under the direction of Merrill Lynch Alternative Investments LLC (“MLAI” or “General Partner” or “Sponsor”), the sponsor and general partner of the Partnership, among underlying FuturesAccess funds (each a “Portfolio Fund”, and collectively the “Portfolio Funds”) (See Note 2). Presently there are four Portfolio Funds. MLAI is the sponsor and manager of the Portfolio Funds.

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

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor and a single fund of funds (the Partnership) no longer offered to investors for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor for the Portfolio Funds participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

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

The Partnership considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of September 30, 2015 the Partnership holds cash equivalents. Cash was held at a nationally recognized financial institution.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Partnership as of September 30, 2015 and December 31, 2014 and the results of its operations for the periods presented. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Partnership’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2014.

Liquidation of the Partnership

MLAI has decided to liquidate the Partnership as of December 31, 2015. Through an August 27, 2015 communication, it notified the Partnership’s investors that it will mandatorily redeem those that are still invested in the Partnership as of December 31, 2015, while accepting regular monthly redemption requests through December 21, 2015. MLAI will be redeeming any remaining investment in its underlying Portfolio Funds at December 31, 2015, in connection with the Partnership’s liquidation.

The Partnership maintains monthly books and records, thus as a result of the plan of liquidation, it has adopted the liquidation basis of accounting as of September 1, 2015 and for periods subsequent to such date in accordance with U.S. GAAP. Accordingly on September 1, 2015 all assets were adjusted to their net realizable value, or liquidation value, which represents the estimated amount of cash that the Partnership will collect as it carries out its plan of liquidation.

Estimates

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

Estimated costs of $457,635 have been accrued for which represent MLAI’s best estimate of the remaining wrap fees the Partnership will incur through the planned final liquidation date of December 31, 2015.

2. INVESTMENTS IN PORTFOLIO FUNDS

The four Portfolio Funds in which the Partnership is invested in as of September 30, 2015 are: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). The five Portfolio Funds in which the Partnership was invested in as of December 31, 2014 were: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). Effective as of August 31, 2015 the Partnership terminated its investment in Lynx, and reallocated the redeemed capital from Lynx to the other Portfolio Funds. Each of the Portfolio Funds implements a systematic-based managed futures strategy under the direction of a trading advisor unaffiliated with MLAI (each a “Trading Advisor”, and collectively “Trading Advisors”). MLAI may, in its discretion, change Portfolio Funds at any time. MLAI may vary the percentage of the Partnership’s total portfolio allocated to the different Portfolio Funds at its discretion. There is no pre-established range for the minimum and maximum allocations that may be made to any individual Portfolio Fund.

The investment transactions were accounted for on a trade date basis. Prior to entering into liquidation the investments in the Portfolio Funds were valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, MLAI utilized the Net Asset Value of the underlying Portfolio Funds which approximates fair value. The fair value was net of all fees relating to the Portfolio Funds, paid or accrued.

Additionally, MLAI monitored the performance of the Portfolio Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in the Portfolio Funds’ investments, comparing performance to industry benchmarks, and conference calls and site visits with the Portfolio Funds’ respective Trading Advisor. Upon entering liquidation on September 1, 2015, the investments continued to be valued at their reported Net Asset Value from the Portfolio Funds which represents MLAI’s estimate of their value in liquidation.

The details of investments in Portfolio Funds at and for the nine month period ended September 30, 2015 are as follows:



	Percentage of									Management			Performance			Redemptions
September 30, 2015	Partners’ Capital		Value		Profit (Loss)			Cost @ 9/30/15		Fee			Fee			Permitted
Winton	25.06	%	$	12,181,062	$	102,986		$	7,876,579	$	(130,405	)	$	(102,108	)	Semi -Monthly
Aspect	25.06	%	12,181,063		728,381			8,520,007		(131,064		)	(173,688		)	Semi -Monthly
Transtrend	25.06	%	12,181,062		(194,999		)	9,892,657		(87,043		)	(8,626		)	Semi -Monthly
BlueTrend	25.06	%	12,181,061		644,255			10,522,519		(88,036		)	(73,328		)	Monthly
Lynx*	0.00	%	—		(905,308		)	—		(76,178		)	(270,943		)	Semi -Monthly

Total Investment in Portfolio Funds	100.24	%	$	48,724,248	$	375,315		$	36,811,762	$	(512,726	)	$	(628,693	)

*Liquidated as of August 31, 2015.

The details of investments in Portfolio Funds at and for the year ended December 31, 2014 are as follows:


	Percentage of									Management			Performance			Redemptions
December 31, 2014	Partners’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/14		Fee			Fee			Permitted
Winton	19.88	%	$	11,818,184	$	1,590,873		$	6,530,293	$	(185,130	)	$	(285,726	)	Semi -Monthly
Aspect	19.88	%	11,818,183		3,168,595			7,758,764		(186,363		)	(271,475		)	Semi -Monthly
Transtrend	19.88	%	11,818,184		2,206,143			8,410,154		(123,163		)	(208,004		)	Semi -Monthly
BlueTrend	19.73	%	11,730,252		1,119,777			10,288,824		(123,251		)	—			Monthly
Lynx**	19.88	%	11,818,182		3,209,667			9,017,922		(80,103		)	(741,913		)	Semi -Monthly
Man AHL*	0.00	%	—		(509,490		)	—		(43,736		)	—			Monthly

Total Investment in Portfolio Funds at fair value	99.25	%	$	59,002,985	$	10,785,565		$	42,005,957	$	(741,746	)	$	(1,507,118	)

*Liquidated as of April 30, 2014.

**Added to the Portfolio May 1, 2014.

There are no investments held by the Portfolio Funds that in the aggregate exceed 5% of the Partnership’s partners’ capital. The following is summarized financial information for each of the Portfolio Funds:

	As of September 30, 2015
	Total Assets		Total Liabilities		Total Capital
Winton	$	1,080,929,569	$	27,310,091	$	1,053,619,478
Aspect	143,372,070		6,416,862		136,955,208
Transtrend	41,509,582		2,751,716		38,757,866
BlueTrend	52,808,363		3,012,343		49,796,020
Lynx**	—		—		—

Total	$	1,318,619,584	$	39,491,012	$	1,279,128,572

	As of December 31, 2014
	Total Assets		Total Liabilities		Total Capital
Winton	$	1,030,271,728	$	49,186,671	$	981,085,057
Aspect	160,883,084		13,082,365		147,800,719
Transtrend	77,843,044		4,857,981		72,985,063
BlueTrend	91,645,985		5,126,658		86,519,327
Lynx**	49,332,652		4,574,525		44,758,127

Total	$	1,409,976,493	$	76,828,200	$	1,333,148,293

	For the nine months ended September 30, 2015
									Net
	Income (Loss)		Commissions			Expenses			Income (Loss)
Winton	$	21,899,786	$	(853,394	)	$	(39,889,489	)	$	(18,843,097	)
Aspect	12,335,875		(349,025		)	(7,241,272		)	4,745,578
Transtrend	581,128		(313,907		)	(1,705,947		)	(1,438,726		)
BlueTrend	7,590,180		(309,874		)	(2,528,389		)	4,751,917
Lynx**	1,379,071		(97,047		)	(1,472,861		)	(190,837		)

Total	$	43,786,040	$	(1,923,247	)	$	(52,837,958	)	$	(10,975,165	)

	For the nine months ended September 30, 2014
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Winton	$	60,450,846		$	(908,716	)	$	(34,648,215	)	$	24,893,915
Aspect	8,619,753			(412,821		)	(4,131,709		)	4,075,223
Transtrend	10,391,804			(442,733		)	(1,552,613		)	8,396,458
BlueTrend	5,387,299			(417,590		)	(2,449,658		)	2,520,051
Lynx**	7,446,393			(161,271		)	(2,020,729		)	5,264,393
Man AHL*	(538,782		)	(97,828		)	(280,458		)	(917,068		)

Total	$	91,757,313		$	(2,440,959	)	$	(45,083,382	)	$	44,232,972

*Liquidated as of April 30, 2014.

**Added to the Portfolio May 1, 2014. Liquidated as of August 31, 2015.

3. FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price).

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

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

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Partnership does not adjust the quoted price for these investments even in situations where the Partnership 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 and investments in Portfolio Funds valued using the reported Net Asset Value from the Portfolio Fund.

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

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

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

Investments in Portfolio Funds were valued using the Net Asset Value reported by the Portfolio Funds, which management believes approximates fair value as of August 31, 2015 and the estimated liquidation value as of September 30, 2015. These Net Asset Values are the prices used to execute trades with these Portfolio Funds. As the Partnership can transact with the Portfolio Funds on a monthly/semi-monthly basis, the Partnership determined that its investments in these Portfolio Funds, would be classified as Level II. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from Level II during the two or eight month periods ended August 31, 2015 or the year ended December 31, 2014.

The following table summarizes the valuation of the Partnership’s investments by the above fair value hierarchy levels as of August 31, 2015, before entering into liquidation, and December 31, 2014:

Investment in
Portfolio Funds	Total		Level I		Level II		Level III

August 31, 2015	$	41,408,106	$	—	$	41,408,106	$	—
December 31, 2014	$	59,002,985	$	—	$	59,002,985	$	—

As of September 30, 2015 all investments were valued utilizing the reported Net Asset Value from the Portfolio Funds.

4. MARKET, CREDIT AND CONCENTRATION RISKS

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

Market Risk

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

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Portfolio Funds, calculating the Net Asset Value of the Partnership 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 monitoring the Trading Advisors, with the market risk controls being applied by the respective Trading Advisor.

Credit Risk

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

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

MLAI, as sponsor of the Portfolio Funds, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA

Corp. affiliated service providers as clearing brokers or prime brokers for the Portfolio Funds. This policy may increase risk to the Portfolio Funds by preventing the diversification of brokers used by the Portfolio Funds.

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

Concentration Risk

The Partnership’s investments in the Portfolio Funds are subject to the market and credit risk of the Portfolio Funds. Because the majority of the Partnership’s capital is invested in the Portfolio Funds, any changes in the market conditions that would adversely affect the Portfolio Funds could significantly impact the solvency of the Partnership.

Indemnifications

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

5. RELATED PARTY TRANSACTIONS

MLAI owns a General Partner interest which represents less than 1% of the Partnership’s Net Asset Value as of September 30, 2015.

MLAI and the Partnership entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the quarter ended September 30, 2015, the rate ranged from 0.018% to 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Partnership, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Partnership for the three and nine month periods ended September 30, 2015 and 2014 is paid on behalf of the Partnership by MLAI. These fees are included in the wrap fee and are not separately charged to the Partnership.

Wrap fees as presented on the Statements of Operations is paid to a related party.

6. SUBSEQUENT EVENTS

The General Partner has evaluated the impact of subsequent events on the Partnership through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

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

MONTH-END NET ASSET VALUE PER UNIT

The Partnership calculates the Net Asset Value per Unit as of the last calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Partnership’s Net Asset Value as of any calculation date generally equals the value of the Partnership’s interests in the Portfolio Funds as of that date, plus any other assets held by the Partnership, minus accrued wrap fees and all other liabilities of the Partnership. MLAI or its delegates are authorized to make all Net Asset Value determinations.

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

The September 2015 Net Asset Value is different than the financial reporting Net Asset Value due to the accrual of liquidation costs in the amount of $457,635. As a result the $177.4826 reported below is a non-GAAP measure. Refer to Note 1 in the Financial Statements which describes the plan of liquidation.

	MONTH-END NET ASSET VALUE PER UNIT
	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.
2014	$	151.4082	$	153.1223	$	150.7298	$	151.9635	$	156.3551	$	157.7810	$	155.4049	$	163.5612	$	165.0401
2015	$	190.2861	$	189.5042	$	193.6712	$	183.4649	$	180.6276	$	169.4437	$	179.8202	$	172.2674	$	177.4826

Liquidity and Capital Resources

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

Inflation by itself does not affect profitability, but it can cause price movements that do so.

The Portfolio Funds’ assets and open positions are generally highly liquid.

The Portfolio Funds change positions and market focus frequently. Consequently, the fact that the Portfolio Funds realized gains or incurred losses in certain markets (gold, stock indices, currencies, etc.) in the past is not necessarily indicative of whether the Portfolio Funds will do so in the future.

Investors in the Partnership generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last day of any calendar month (each a “Redemption Date”), upon providing notice at least 10 calendar days prior to month-end. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date.

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

For the nine month period ended September 30, 2015, Partnership capital decreased 18.21% from $59,440,422 to $48,616,121. This decrease was attributable to the net loss from operations of $1,327,998, a liquidation accrual of $457,635, and the redemption of 50,196 redeemable Units resulting in an outflow of $9,063,668. The cash outflow was offset with cash inflow of $25,000 due to subscriptions of 129 Units.

Critical Accounting Policies

Statement of Cash Flows

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

Investments

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. Realized profits and losses and any change in net unrealized profit or loss from the preceding period/year are reported in the Statements of Operations.

Fair Value Measurements

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

Interest Rates and Income

BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Partnership cash assets during any time they are maintained by the Sponsor with its affiliates. The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The current short term interest rates have remained extremely low when compared with historical rates and thus have contributed negligible amounts to overall Partnership performance.

Income Taxes

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

The Partnership follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’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 Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Partnership, including reducing the net asset value of the Partnership to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Partnership. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Partnership. The General Partner has analyzed the Partnership’s tax positions and has concluded that no provision for income tax is required in the Partnership’s financial statements. The following is the major tax jurisdiction for the Partnership and the earliest tax year subject to examination: United States — 2012.

Reform Act

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

Results of Operations

January 1, 2015 to September 30, 2015

January 1, 2015 to March 31, 2015

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Partnership as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of March 31, 2015:

March 31, 2015

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

Agriculture	$	425,955		27.02	%
Currencies - Futures	(9,070		)	-0.58	%
Currencies - Forwards	(127,237		)	-8.07	%
Energy	127,252			8.07	%
Interest rates	989,716			62.79	%
Metals	(25,353		)	-1.61	%
Stock indices	195,171			12.38	%

Total	$	1,576,434		100.00	%

The Partnership experienced a net trading profit for the quarter ended March 31, 2015 of $4,395,248.

In the first quarter, returns were positive in January and March, with a slight dip in February. Continuing trends in fixed income, equity indices, currencies and energies drove performance.

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

In equity indices, the Portfolio Funds came into the first quarter with long exposure, with positions across geographies. The largest exposures were in U.S. indices, based on recent trends. Equity markets saw some divergence in the first three months of the year. U.S. markets had roughly flat returns, taking a break from the strong performance they had put in the previous two years as rate hikes approached, a strong U.S. dollar began to

weigh on earnings, and the energy sector continued to struggle. On the other hand, European markets took off strongly as quantitative easing became a reality and a weaker currency buoyed earnings. Japanese equities also performed well due to similar reasons. The Portfolio Funds generally adjusted their portfolios, reducing allocations to U.S. indices and increasing their long positions in Europe and Asia. The asset class finished the first quarter with gains, driven primarily by rising equity prices in non-U.S. markets.

Fixed income was also profitable. The falling yields drove performance in 2014. The Portfolio Funds were long fixed income markets across geographies and maturities at the start of 2015, even as yields were low in many areas. Yields fell further, with big moves registered in January, especially in Europe. These moves were in part due to the concerns over slow growth and deflation, and the easing bias adopted by many central banks as evidenced by rate cuts in several countries and the quantitative easing decision from the European Central Bank. Yields did come back up some in February, but were down again in March. Overall, the direction was downward and the moves benefited long positions, resulting in profits for trend followers.

Currencies were another profitable asset class. Following some big moves in the second half of 2014, the Portfolio Funds were broadly long the U.S. dollar against most major foreign currencies, with especially large short exposure in the euro. The first quarter generally saw a continuation of the strong dollar trend. Continuing divergence across economies and monetary policy versus the U.S. led to the euro being down in the first quarter and many foreign currencies fell in tandem. These moves led to gains.

In commodities, there was a short bias across portfolios. Energy positions had been profitable in the latter part of 2014 as oil and related markets fell precipitously due to acute supply and demand imbalances. The moves in oil continued in January, but there was a choppy period in February when oil markets rebounded strongly, followed by another down leg in March. WTI crude oil was down over the first quarter and short positions made additional gains. In metals and agricultural markets, price moves were more mixed and there were some losses due to choppiness and an absence of strong trends. Sugar and nickel were two trending markets where the Portfolio Funds did make some money. Looking at the asset class as a whole, commodities attribution was roughly flat.

Overall, even as some trends have looked a little extended, market moves generally continued in the direction of existing trends during the first quarter. There were gains in fixed income, equity indices and FX. Commodities were close to flat. As a result, the first quarter was profitable for the Partnership.

April 1, 2015 to June 30, 2015

June 30, 2015

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

Agriculture	$	(194,450	)	38.55	%
Currencies - Futures	(46,715		)	9.26	%
Currencies - Forwards	(96,441		)	19.12	%
Energy	(77,950		)	15.45	%
Interest rates	74,095			-14.69	%
Metals	161,187			-31.95	%
Stock indices	(324,185		)	64.26	%

Total	$	(504,459	)	100.00	%

The Partnership experienced a net trading loss for the quarter ended June 30, 2015 of $6,966,983.

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

The Partnership lost -12.5% in the second quarter. Returns were negative for most of the Portfolio Funds throughout the second quarter. Starting in April and continuing through the quarter, established trends across most sectors began reversing. All four asset classes were unprofitable (equities, fixed income, currencies, and commodities), with the worst of the losses coming from fixed income and commodities.

In equities, the Portfolio Funds entered the second quarter with a net long posture across geographies. The largest exposures were in European and U.S. indices based on recent trends. Despite some choppy market moves and increased volatility, equities rose higher in April and May. Global equity markets began to pull back significantly in June, driven by different factors, including high valuations to slowing growth and the potential effects of a Greek default. European equities were hit the hardest and therefore the largest detractor to performance, and long positions in U.S. and Asian indices also produced losses. Gains from April and May were unable to make up for losses incurred in June. Equity indices ended the quarter down.

In fixed income, the Portfolio Funds held long positions within rates and bonds. This positioning was unprofitable as fixed income yields moved higher over the second quarter. The Portfolio Funds entered April with large net long positions across the term structure, but began reducing risk in the asset class as bond yields began reversing at the end of April and through May and June. Fixed income was the worst performing asset class for the quarter, losing money in all three months.

Currencies were another unprofitable asset class. The Portfolio Funds were broadly long the U.S. dollar against most major foreign currencies, with large short exposure in the Euro and Japanese yen. Following a period of strength starting in-mid 2014, the U.S. dollar began to experience weakness in April as U.S. growth seemed to slow. The U.S. dollar appreciated slightly in May before falling again in June. Gains from May were more than offset by losses from April and June. Short positions in the Euro and Japanese yen were the worst performing currencies.

Commodities performed poorly. Going into the second quarter, there was a net short posture across the commodity sectors. Reversals in trends such as energies began in April, when oil markets rose. Metals and agriculturals also began to rise. In May commodity prices fell, before rising again in June. The Portfolio Funds generally remained net short across the board and experienced losses in April and June. The largest losses came from short positions in oil and grains. Overall, commodities detracted from performance over the second quarter.

In summary, all four sectors produced losses in the second quarter due to choppiness and reversals across many markets. The worst performing markets include bonds, oil and the Euro. The Portfolio Funds have reduced net long exposure across equity indices and fixed income and net short exposure in commodities.

July 1, 2015 to September 30, 2015

September 30, 2015

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

Agriculture	$	41,995		2.74	%
Currencies - Futures	(20,026		)	-1.31	%
Currencies - Forwards	(132,848		)	-8.67	%
Energy	415,140			27.10	%
Interest rates	988,752			64.55	%
Metals	201,074			13.13	%
Stock indices	37,754			2.46	%

Total	$	1,531,841		100.00	%

The Partnership experienced a net trading profit for the quarter ended September 30, 2015 of $2,947,050, which is comprised of $1,237,938 for the two months ended August 31, 2015 and $1,709,112 for the one month ended September 30, 2015 as presented in the Statements of Operations.

In the third quarter, managed futures and trend following strategies had positive performance. Returns were positive in July and September, but negative in August. Continuing trends in commodities and fixed income drove performance for the most part while currencies saw small gains and equities lost money.

In equity indices, the Portfolio Funds came into the third quarter with moderate long exposure, with positions across geographies. Equity markets were up slightly early in the quarter, but slowing growth in China began weighing on markets in August. Volatility increased significantly and equities fell broadly in the second half of August and during September. These moves led to losses in August. The Portfolio Funds reduced exposures significantly and by the end of the quarter, they had mostly moved from a long position to slightly short in the asset class.

Fixed income was profitable throughout the third quarter. With investors occupied by growth worries and rate hikes in the U.S., yields generally moved lower. The path they took was not smooth, but risk aversion generally drove them down, leading to gains on long positions held by the Portfolio Funds. The bulk of these came in September as both short and longer dated fixed income futures appreciated.

Currencies made money in July, but gave most of those gains back in August and September. The Portfolio Funds were generally positioned long the U.S. dollar against foreign currencies. Expectations of rising rates in the U.S. led to strength in the dollar during July; however, that strength ended in August as two important currencies, the

euro and yen, reversed and rose. The Portfolio Funds gave most of their earlier gains back and the asset class was roughly flat for the quarter.

Commodities were the best performing asset class in the third quarter. The Portfolio Funds were positioned broadly short coming into July as commodity prices have been trending lower for some time. The downward trends continued strongly in July in energies, metals and agriculturals as demand appeared to wane. The Portfolio Funds booked strong profits on these moves. August ushered in a period of volatility. For example, energy prices continued to fall, along with other risky assets, but staged a strong recovery in the last few days of September to finish in the black. Several sectors broadly resumed their downward trend in September to generate some additional gains.

Overall, profits for the third quarter were due to the downward moves in energies, metals and fixed income yields. Equity indices detracted from performance. Currencies were roughly flat. While some trends continued strongly and led to gains, others reversed resulting in some offsetting losses.

January 1, 2014 to September 30, 2014

January 1, 2014 to March 31, 2014

March 31, 2014

Commodity Industry Sector	Net Unrealized Profit (Loss) on Open Positions			Percent of Net Unrealized Profit (Loss) on Open Positions
Agriculture	$	499,455		39.01	%
Currencies - Futures	89,232			6.97	%
Currencies - Forwards	264,077			20.63	%
Energy	(65,606		)	-5.13	%
Interest rates	186,013			14.53	%
Metals	(76,273		)	-5.96	%
Stock indices	383,438			29.95	%

Total	$	1,280,336		100.00	%

The Partnership experienced a net trading loss for the quarter ended March 31, 2014 of $2,264,438.

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

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

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

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

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

April 1, 2014 to June 30, 2014

June 30, 2014

Commodity Industry Sector	Net Unrealized Profit (Loss) on Open Positions			Percent of Net Unrealized Profit (Loss) on Open Positions
Agriculture	$	76,076		4.40	%
Currencies - Futures	98,879			5.72	%
Currencies - Forwards	28,721			1.66	%
Energy	303,230			17.53	%
Interest rates	946,349			54.70	%
Metals	(45,839		)	-2.65	%
Stock indices	322,461			18.64	%

Total	$	1,729,877		100.00	%

The Partnership experienced a net trading profit for the quarter ended June 30, 2014 of $3,479,133.

The Partnership gained 4.7% in the second quarter. Returns were positive for most of the Portfolio Funds during the second quarter. Continuing trends in equity indices and fixed income drove performance. Choppiness and some reversals in currencies and commodities minimally offset those gains.

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

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

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

Commodity trading was difficult and generally contributed to losses. Oil markets were down initially before recovering in the second half of the second quarter on heightened concerns over the disruption of supply in Iraq. Long positions generally made money. Natural gas saw a reversal later in the quarter, falling as stock levels and the weather outlook improved, resulting in some losses. Larger losses came from the agricultural sector and especially grains. With several negative supply effects such as drought conditions and tensions in Ukraine dissipating, these markets reversed and fell, leading to losses on long positions. Metal markets also shifted direction several times, depending on strength in the Chinese economy, production levels and safe-haven demand, leading to additional losses.

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

July 1, 2014 to September 30, 2014

September 30, 2014

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

Agriculture	$	924,080		45.93	%
Currencies - Futures	395,760			19.67	%
Currencies - Forwards	(280,219		)	-13.93	%
Energy	479,714			23.85	%
Interest rates	233,268			11.59	%
Metals	515,518			25.63	%
Stock indices	(256,367		)	-12.74	%

Total	$	2,011,754		100.00	%

The Partnership experienced a net trading profit for the quarter ended September 30, 2014 of $3,203,874.

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

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

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

In fixed income, the Portfolio Funds had long positioning with both rates and bonds having generally falling yields. The moves were especially large in August, resulting in profits for the Portfolio Funds. Yields rose slightly in September, leading to a small give back of earlier gains, but fixed income ended up being a strong driver of performance for the Portfolio Funds in the quarter overall.

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

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

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

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

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

The Portfolio Funds, under the direction of their respective Trading Advisor, rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance and the Partnership’s and the Portfolio Funds’ past performance is not necessarily indicative of future results.

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

Quantifying the Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

The Partnership’s risk exposure in the various market sectors traded by the Portfolio Funds is quantified below in terms of VaR. Due to the Portfolio Funds’ fair value accounting, any loss in the fair value of the Portfolio Funds’ open positions is directly reflected in the Portfolio Funds’ 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 have been used by the Portfolio Funds as the measure of their VaR. 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% to 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 VaR. 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 VaR. The diversification effects (which would reduce the VaR estimates) resulting from the fact that the Portfolio Funds’ positions are rarely, if ever, 100% positively correlated have not been reflected.

The Portfolio Funds’ Trading Value at Risk in Different Market Sectors

The following information with respect to VaR is set forth in respect of the Portfolio Funds separately, rather than for the Partnership.

The following tables indicate the average, highest, and lowest trading VaR associated with the Portfolio Funds’ open positions by market category for the nine month periods ended September 30, 2015 and 2014.

Aspect Class DT (1) September 30, 2015

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

Agricultural Commodities	$	298,123	2.62	%	$	498,055	$	113,431
Energy	113,344		1.00	%	164,597		76,518
Interest Rates	393,097		3.46	%	563,283		250,445
Metals	151,064		1.33	%	271,451		54,063
Stock Indices	111,884		0.98	%	185,978		72,538
Currencies	109,818		0.97	%	193,964		21,052

TOTAL	$	1,177,330	10.36	%	$	1,877,328	$	588,047

(1) Average Capitalization of Aspect Class DT is $11,375,190.

Aspect Class DT (1) September 30, 2014

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

Agricultural Commodities	$	278,818	2.27	%	$	493,886	$	37,191
Energy	127,263		1.04	%	225,454		31,704
Interest Rates	356,969		2.91	%	615,992		163,512
Metals	104,973		0.86	%	156,856		37,966
Stock Indices	258,134		2.10	%	447,014		118,923
Currencies	107,169		0.87	%	184,653		21,591

TOTAL	$	1,233,326	10.05	%	$	2,123,855	$	410,887

(1) Average capitalization of Aspect Class DT is $12,271,935.

BlueTrend Class DT (2) September 30, 2015

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

Agricultural Commodities	$	21,619	0.19	%	$	37,478	$	10,121
Energy	205,194		1.80	%	383,274		50,039
Interest Rates	887,383		7.77	%	1,505,862		284,746
Metals	93,510		0.82	%	255,049		17,308
Stock Indices	195,878		1.72	%	328,872		62,208
Currencies	133,080		1.17	%	189,293		63,938

TOTAL	$	1,536,664	13.47	%	$	2,699,828	$	488,360

(2) Average capitalization of BlueTrend Class DT is $11,416,922.

BlueTrend Class DT (2) September 30, 2014

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

Agricultural Commodities	$	313,191	2.54	%	$	454,736	$	151,241
Energy	138,931		1.13	%	254,134		78,636
Interest Rates	340,339		2.76	%	594,903		204,776
Metals	32,898		0.27	%	67,907		13,476
Stock Indices	225,479		1.83	%	446,181		32,286
Currencies	318,306		2.58	%	554,928		168,809

TOTAL	$	1,369,144	11.11	%	$	2,372,789	$	649,224

(2) Average capitalization of Bluetrend Class DT is $12,343,306.

Transtrend Class DT (3) September 30, 2015

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

Agricultural Commodities	$	902,858	7.91	%	$	1,670,646	$	300,069
Energy	343,976		3.01	%	839,186		124,026
Interest Rates	685,045		6.00	%	1,336,087		344,315
Metals	74,369		0.65	%	177,242		21,959
Stock Indices	365,474		3.20	%	608,082		152,936
Currencies	115,635		1.01	%	145,799		102,432

TOTAL	$	2,487,357	21.78	%	$	4,777,042	$	1,045,737

(3) Average capitalization of Transtrend Class DT is $11,409,118.

Transtrend Class DT (3) September 30, 2014

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

Agricultural Commodities	$	586,896	4.74	%	$	838,539	$	399,280
Energy	265,676		2.15	%	728,967		5,756
Interest Rates	281,781		2.28	%	506,012		154,376
Metals	293,769		2.37	%	796,617		32,807
Stock Indices	173,964		1.40	%	269,687		123,039
Currencies	338,245		2.73	%	590,740		83,812

TOTAL	$	1,940,331	15.67	%	$	3,730,562	$	799,070

(3) Average capitalization of Transtrend Class DT is $12,385,810.

Winton Class DT (4) September 30, 2015

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

Agricultural Commodities	$	95,193	0.83	%	$	159,947	$	37,402
Energy	41,549		0.36	%	63,865		24,221
Interest Rates	454,296		3.97	%	649,178		286,003
Metals	91,223		0.80	%	139,415		32,754
Stock Indices	126,445		1.10	%	204,006		53,056
Currencies	92,283		0.81	%	182,204		25,508

TOTAL	$	900,989	7.87	%	$	1,398,615	$	458,944

(4) Average capitalization of Winton Class DT is $11,452,858.

Winton Class DT (4) September 30, 2014

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

Agricultural Commodities	$	297,059	2.40	%	$	427,271	$	174,910
Energy	74,769		0.60	%	171,186		23,875
Interest Rates	234,804		1.89	%	412,073		46,950
Metals	159,786		1.29	%	232,674		103,127
Stock Indices	160,322		1.29	%	260,904		78,523
Currencies	80,741		0.65	%	105,087		64,359

TOTAL	$	1,007,481	8.12	%	$	1,609,195	$	491,744

(4) Average capitalization of Winton Class DT is $12,394,906.

Lynx Class DT* (5) September 30, 2014

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

Agricultural Commodities	$	372,999	3.17	%	$	463,812	$	277,770
Energy	138,107		1.17	%	216,169		87,284
Interest Rates	483,561		4.11	%	925,598		211,191
Metals	344,635		2.93	%	459,095		262,772
Stock Indices	272,119		2.32	%	485,770		17,630
Currencies	369,208		3.14	%	412,288		333,703

TOTAL	$	1,980,629	16.84	%	$	2,962,732	$	1,190,350

(5) Average capitalization of Lynx Class DT is $11,753,834.

*Added to the Portfolio May 1, 2014. Liquidated as of August 31, 2015.

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

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

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures through the Portfolio Funds — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership 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 Partnership’s primary market risk exposures as well as the strategies used and to be used by MLAI and the Trading Advisors of the Portfolio Funds for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the risk controls for the Partnership and for the trading conducted through Portfolio Funds to differ materially from the objectives of such strategies. Government

interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. There can be no assurance that the Partnership’s risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the value of their investment in the Partnership.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Risk Management-Trading Risk

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Portfolio Funds, calculating the Net Asset Value of the Partnership 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 Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. Except in cases in which it appears that the Portfolio Funds have begun to deviate from past practice and trading policies or to be trading erratically, it is expected that MLAI’s basic risk control procedures will consist of monitoring the Portfolio Funds, with the market risk controls being applied by the respective Trading Advisor.

Non-Trading Risk

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

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

Item 4. Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Partnership, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Partnership as of the end of the quarter which ended September 30, 2015, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a- 15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended September 30, 2015 that has materially affected, or is reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Partnership’s report on Form 10-K for the year ended December 31, 2014, filed with the Securities and Exchange Commission on March 20, 2015.

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

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.

The Partnership’s sales of unregistered securities are as follows for each Class of Units:

	Subscription
	Amount		Units	NAV (1)
Jan-15	$	—	—	182.0166
Feb-15	—		—	190.2861
Mar-15	—		—	189.5042
Apr-15	25,000		129	193.6712
May-15	—		—	183.4649
Jun-15	—		—	180.6276
Jul-15	—		—	169.4437
Aug-15	—		—	179.8202
Sep-15	—		—	172.2674
Oct-15				177.4826

(1) Beginning of the month Net Asset Value

The Units are subject to upfront sales commissions paid to MLPF&S of 0.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

31.01 and

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

Exhibit 31.01

and 31.02 Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02 Are filed herewith.

Exhibit 101 Are filed herewith.

The following materials from the Partnership’s quarterly Report on Form 10-Q for the periods ended September 30, 2015 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Partners’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

SIGNATURES

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

	ML TREND-FOLLOWING FUTURES FUND L.P.

	By:	MERRILL LYNCH ALTERNATIVE
		INVESTMENTS LLC
		(General Partner)

Date: November 13, 2015	By:	/s/ NANCY FAHMY
		Nancy Fahmy
		Chief Executive Officer and President
		(Principal Executive Officer)

Date: November 13, 2015	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)

ML TREND-FOLLOWING FUTURES FUND L.P. 10-Q