UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended: December 31, 2016

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

Commission file number: 0-53794

ML BLUETREND FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware		26-2581977
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10281

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

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

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

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

Yes o No x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act.

Yes o No x

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate 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 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 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 Act).

Yes o No x

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

As of February 28, 2017 Units of limited liability company interest with an aggregate Net Asset Value of $17,261,384 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2016 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the year ended December 31, 2016, 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 1-866-657-3784.

ML BLUETREND FUTURESACCESS LLC

ANNUAL REPORT FOR 2016 ON FORM 10-K

Table of Contents

		PAGE

PART I

Item 1.	Business	1

Item 1A.	Risk Factors	10

Item 1B.	Unresolved Staff Comments	21

Item 2.	Properties	22

Item 3.	Legal Proceedings	22

Item 4.	Mine Safety Disclosures	22

PART II

Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	22

Item 6.	Selected Financial Data	25

Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	27

Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	39

Item 8.	Financial Statements and Supplementary Data	43

Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	43

Item 9A.	Controls and Procedures	44

Item 9B.	Other Information	44

PART III

Item 10.	Directors, Executive Officers and Corporate Governance	45

Item 11.	Executive Compensation	47

Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	47

Item 13.	Certain Relationships and Related Transactions and Director Independence	48

Item 14.	Principal Accounting Fees and Services	48

PART IV

Item 15.	Exhibits, Financial Statement Schedules	49

PART I

Item 1: Business

(a) General Development of Business:

ML BlueTrend FuturesAccess LLC (the “Fund”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on May 8, 2008 and commenced trading activities on September 1, 2008. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Systematica Investments Limited (acting as general partner of Systematica Investments LP) is the trading advisor (the “Trading Advisor”) of the Fund. The Trading Advisor trades the BlueTrend Program (the “Trading Program”) for the Fund. The Trading Advisor has delegated the day-to-day operation of the Trading Program to affiliated sub-investment managers Systematica Investments GP Limited and Systematica Investments Singapore Pte Ltd. and may in the future delegate to other affiliated sub-investment managers.

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

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

The Trading Advisor is registered under the Investment Advisers Act of 1940. The Trading Advisor may delegate any of its duties and obligations under the Advisory Agreement to any of its duly appointed sub-investment managers (each a “Trading Advisor Subsidiary”), including, but not limited to, Systematica Investments Jersey Limited; provided that the Trading Advisor shall act in good faith and shall exercise reasonable skill and care in the selection, use and monitoring of the Trading Advisor Subsidiary.

The Trading Program is a systematic trend follower, but its decision-making inputs are 100% technical. The Trading Program focuses on daily futures and liquid OTC instruments across 150+ markets in equity indexes, fixed income, foreign exchange (“F/X”), energy, metals, agricultural and soft commodities. See “Trading Advisor’s Trading Program,” below.

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 last calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s Net Asset Value as of any Calculation Date generally equals the value of the Fund’s account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

As of December 31, 2016, the Net Asset Value of the Fund was $18,793,760. As of December 31, 2016, the Net Asset Value per Unit was $0.9288 for Class A, $0.8638 for Class C, $0.8323 for Class D, $0.9609 for Class I and $0.9016 for Class M. Effective as of April 30, 2015 all Class DS Units were redeemed. Effective as of December 31, 2015 all Class DT Units were redeemed.

The Net Asset Value of the Fund is generally calculated in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”). However, the Fund’s Limited Liability Company Operating Agreement allows MLAI to depart from U.S. GAAP in calculating the Fund’s Net Asset Value for all purposes other than for financial statement purposes, including for purposes of subscriptions and redemptions and fee calculations, if MLAI determines in its good-faith discretion that this departure is advisable in order to better reflect the true value of any asset or amount of any liability, or to further the fair and equitable treatment of investors. MLAI may depart from U.S. GAAP in calculating the Fund’s Net Asset Value for these purposes if, for example, it determines that application of U.S. GAAP would cause an expense to be taken in a particular fiscal period — and therefore borne only by investors who hold Units during such period — but MLAI determines that it is more appropriate to spread such expense over additional fiscal periods. In the event that MLAI departs from U.S. GAAP in calculating the Fund’s Net Asset Value for purposes of subscriptions and redemptions, calculation of fees and other non-financial statement purposes, the Fund’s audited financial statements will continue to be determined in accordance with U.S. GAAP.

(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.

Advisory Agreement Term

The Fund and MLAI are parties to an Advisory Agreement with the Trading Advisor. The Advisory Agreement will continue in effect until December 31, 2017. Thereafter, the Advisory Agreement will be automatically renewed for successive one-year periods, on the same terms, unless terminated by either the Trading Advisor or the Fund upon 120 days written notice to the other party. The Advisory Agreement may, however, be terminated at any time pursuant to any of the following: (i) the Trading Advisor may terminate the Advisory Agreement upon 90 days written notice in the event that the Trading Advisor independently determines not to pursue, for any accounts, the trading strategy in which the Trading Advisor engages on behalf of the Fund; and (ii) the Fund and/or MLAI, on the one hand, or the Trading Advisor, on the other, may terminate the Advisory agreement as a result of a material breach of the Advisory Agreement by the other party, after due notice and an opportunity to cure. The Advisory Agreement will also terminate immediately if the Fund is terminated and dissolved as determined by MLAI.

Trading Advisor’s Trading Program

The Trading Program is a systematic trend follower, but its decision-making inputs are technical. The Trading Advisor aims to apply scientific techniques to the analysis and modeling of markets. The Fund trades daily futures and liquid OTC instruments across 150+ markets in equity indexes, fixed income, F/X, energy, metals, agriculturals and soft commodities.

The Trading Program’s systematic trading team combines research/model development, implementation and execution functions. The Fund’s portfolio construction is regularly reviewed.

The trading strategy utilized by the 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.

Although the Trading Advisor’s Trading Program is continually evolving, there were no fundamental or material changes to the Trading Program during the 2016 fiscal year.

Forward Contracts and Counterparties

Currently, the only forward contracts entered into by the Fund are currency forwards. MLI is the only counterparty to these forward contracts. In the future the Fund may enter into other types of forwards and/or use other counterparties. The standard terms of forward contracts entered into by the Fund are the term, the currency, the exchange rate, the principal amount and, in some cases the definition of a “disruption event,” i.e., a contingency pricing and settlement mechanism if an event occurs that causes the unavailability of the relevant exchange rate. Forwards are governed by International Swaps and Derivatives Association documentation, and, in some cases, also by EMTA, Inc. documentation.

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, offset by trading gains, as well as its expenses and redemptions. The primary use of the proceeds of the sale of the Units is to permit the Trading Advisor to trade on a speculative basis in a wide range of commodities on behalf of the Fund. While being used for this purpose, the Fund’s assets are also generally available for cash management, as described below under “Cash Management and Interest”.

Markets

The Fund trades on a variety of United States and foreign futures exchanges as well as OTC. The Fund’s commitments to different types of markets — U.S. and non-U.S., regulated and non-regulated —may differ from time to time, as well as over time.

CONDENSED SCHEDULES OF INVESTMENTS

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

December 31, 2016

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

Agriculture	116	$	(73,917	)	-0.39	%	(146	)	$	46,560		0.25	%	$	(27,357	)	-0.14	%	March 2017
Currencies-Forwards*	21,829,231	(35,467		)	-0.19	%	(36,605,247	)	134,716			0.72	%	99,249			0.53	%	March 2017
Energy	61	106,625			0.57	%	(12	)	(2,950		)	-0.02	%	103,675			0.55	%	January 2017 - April 2017
Interest rates	313	22,027			0.12	%	(515	)	41,780			0.22	%	63,807			0.34	%	March 2017 - December 2020
Metals	110	(6,210		)	-0.03	%	(118	)	(38,729		)	-0.21	%	(44,939		)	-0.24	%	January 2017 - April 2017
Stock indices	258	155,178			0.83	%	(242	)	64,904			0.35	%	220,082			1.18	%	January 2017 - March 2017

Total		$	168,236		0.91	%			$	246,281		1.31	%	$	414,517		2.22	%

December 31, 2015

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

Agriculture	49	$	(8,940	)	-0.03	%	(453	)	$	235,860		0.70	%	$	226,920		0.67	%	March 2016
Currencies-Forwards*	47,118,237	61,597			0.18	%	(58,341,822	)	(126,242		)	-0.37	%	(64,645		)	-0.19	%	March 2016
Energy	—	—			0.00	%	(256	)	218,018			0.64	%	218,018			0.64	%	January 2016 - April 2016
Interest rates	758	(88,889		)	-0.26	%	(584	)	5,166			0.01	%	(83,723		)	-0.25	%	March 2016 - December 2019
Metals	194	7,031			0.02	%	(280	)	195,391			0.58	%	202,422			0.60	%	January 2016 - April 2016
Stock indices	93	(31,689		)	-0.09	%	(297	)	(101,010		)	-0.30	%	(132,699		)	-0.39	%	January 2016 - March 2016

Total		$	(60,890	)	-0.18	%			$	427,183		1.26	%	$	366,293		1.08	%

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

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

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 turn, deposit initial margin with 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 an 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 the “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 may have “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 forwards, 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 10% to 30% of the 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 be substantially higher or lower. The 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.

As of December 31, 2016 the Fund employed $2,860,619 and $1,971,982 as initial margin to support futures and forward positions, respectively, representing approximately 13.46% and 9.28% respectively, of the Fund’s total assets as of such date.

Custody of Assets

The Fund’s financial assets consist primarily of cash, futures and OTC FX forward and spot positions. In addition, the Fund has authority to trade options on futures and forwards and certain other OTC derivatives including swaps, but these contracts typically represent a small percentage of the Fund’s financial assets, if any are traded at all.

Futures and OTC forwards and other instruments typically constitute a predominant amount of the Fund’s investment risk, but the notional value of these instruments is not included on the Fund’s balance sheet.

The vast majority of the net assets of the Fund is, and has historically been, held in the form of cash. The Fund’s cash is used in various ways. It can be:

· posted as margin with MLPF&S in segregated or secured accounts in connection with commodities trading on regulated exchanges;

· pledged as collateral to MLI for OTC forwards or options on forwards or to other OTC prime brokers for other OTC investments;

· deposited in savings or demand deposit accounts with the Fund’s custodian or other banking institutions, both in the United States and internationally; and held in segregated or secured accounts with MLPF&S, which generally invests the cash in short-term high quality securities or other instruments viewed as cash equivalents.

Typically the vast majority of the Fund’s assets are held in segregated or secured accounts with MLPF&S. In general, approximately 10% to 30% of the Fund’s assets are expected to be required as margin or collateral at any one time. Approximately 90% of the Fund’s assets are held in customer segregated accounts at MLPF&S pursuant to applicable Commodity Futures Trading Commission (“CFTC”) regulations to margin U.S. exchange-traded futures contracts and options thereon, or in customer secured accounts at MLPF&S and used to margin futures trading on non-U.S. exchanges pursuant to CFTC regulations. The remaining approximately 10% is expected to be deposited with MLI, other OTC prime brokers, or one or more third-party collateral custodians as margin for OTC trades. These amounts could be substantially higher or lower and there is no obligation to maintain margin or collateral within these or any other specific ranges.

Assets held in segregated or secured accounts at MLPF&S may be invested only in CFTC-permitted investments, which include U.S. government and government agency securities, commercial paper and corporate notes and bonds guaranteed by the U.S. government, and money market mutual funds. Under the applicable regulations, such permitted investments are subject to instrument and issuer based concentration and time to maturity limits and must be managed with the objectives of preserving principal and maintaining liquidity.

Cash deposited in savings or demand deposit accounts with the Fund’s custodian or other banking institutions may 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.

MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with its BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may, nevertheless, engage unaffiliated service providers as clearing brokers or prime brokers for the Fund. Other affiliates may from time to time be involved in the clearing, custody or investment of the Fund’s assets, including as prime brokers. However, the vast majority of the Fund’s assets are held with, and therefore subject to the credit risk of, MLPF&S. MLAI believes that its policy is in the best interest of investors due to the enhanced dependability and quality of service provided by MLPF&S and MLI to FuturesAccess as a result of MLAI’s relationship and shared corporate infrastructure with these affiliates. In addition, MLAI believes that MLPF&S is well capitalized and that the Fund benefits from the transparency provided to MLAI, as an affiliate of MLPF&S, into the controls MLPF&S has implemented to comply with the various regulatory requirements designed to protect customer funds. However, there nonetheless exists a substantial risk of loss with respect to each of the above custody arrangements in the event of the bankruptcy or insolvency of MLI or MLPF&S if it does not properly segregate customer funds. See “Risk Factors — Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges” below for a more detailed discussion of these risks.

Subject to the interest income arrangements discussed below, each BofA Corp. entity holding Fund assets, including MLPF&S, retains the additional economic benefit derived from possession and investment of those assets for the entity’s own account.

Cash Management and Interest

MLAI is primarily responsible for the placement of the Fund’s “cash assets” with MLPF&S or other brokers. In exercising this responsibility, MLAI’s primary considerations are safety of assets, seeking interest income, and the services provided by custodians. A vast majority of the Fund’s cash has historically been held in futures brokerage accounts with affiliates. To a smaller degree, the Fund’s cash assets may be held with the Fund’s bank custodian, which is at present the administrator.

MLAI retains the ability to change its cash management practices at any time, including by transferring a majority of the Fund’s cash assets to the Fund’s custodial bank accounts or other bank accounts. Bank deposits may be in either savings accounts that pay interest, or demand deposit accounts, which may or may not pay interest and which may or may not be subject to FDIC insurance. Any of these banks may be affiliated with MLAI if MLAI believes that to be in the best interests of the investors in the Fund.

MLPF&S and any other BofA Corp. affiliates that hold the Fund’s cash receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little or no interest on these cash assets.

BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by MLAI with its affiliates. The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%, except for currencies designated by MLPF&S as “negative interest rate currencies” (discussed below). The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis.

At present, due to the low interest rate environment that has prevailed in the U.S. since 2008, MLAI may seek to transfer cash from affiliates if it believes that any interest earned on this cash was consistent with its goal of safely maintaining these assets and otherwise would offset the advantages of maintaining cash with its affiliates.

MLPF&S deposits certain of the Fund’s assets as margin or collateral with clearinghouses and/or depositories. As a result of the present low interest rate environment, these clearinghouses and depositories charge MLPF&S fees to account for the negative interest rates on cash balances for certain currencies, which may change from time to time at the discretion of MLPF&S and without prior notice to the Fund. Accordingly, MLPF&S charges the Fund a “negative interest rate fee” for any currencies designated by MLPF&S as a “negative interest rate currency.” The negative interest rate fee is based on the relevant currency’s benchmark index less a certain number of basis points, depending on the currency and based on the current market conditions, including but not limited to negative interest rates charged by clearinghouses and other depositories. The negative interest rate fee constitutes compensation to MLPF&S, although in some cases the fee may be used to offset MLPF&S’ own costs incurred in connection with maintaining cash at clearinghouses or depositories. The negative interest rate fee is subject to change from time to time at the discretion of MLPF&S and without prior notice to the Fund. The negative interest rate fee is computed by MLPF&S on the daily net cash and open trade equity in the Fund’s account at MLPF&S and charged on a monthly basis.

MLPF&S, in the course of acting as commodity broker for the Fund, will have use of Fund cash and earn interest and receive other economic benefits as a result. The interest income arrangements with regard to cash held with MLPF&S will be equivalent with those under the Interest Earning Program as discussed above.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2016, 2015 and 2014.

	2016				2015				2014
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	$	408,980	1.54	%	$	552,393	0.92	%	$	531,241	0.57	%
Sponsor fee	510,258		1.92	%	772,655		1.28	%	882,045		0.95	%
Management fee	408,600		1.54	%	896,970		1.49	%	1,770,108		1.92	%
Performance fee	86,267		0.32	%	612,282		1.02	%	—		0.00	%
Total	$	1,414,105	5.32	%	$	2,834,300	4.71	%	$	3,183,394	3.44	%

The foregoing table does not reflect: (i) the bid-ask spreads paid by the Fund on forward trading, (ii) brokerage commissions, (iii) the benefits which may be derived by BofA Corp. from the deposit of certain of the Fund’s 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 brokerage commissions are components of the trading profit or loss of the Fund which are netted against realized and unrealized trading gains or losses in determining trading profit or loss. Benefits derived by BofA Corp. from the deposit of the 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.

The Fund’s average month-end Net Asset Values during 2016, 2015 and 2014 equaled $26,601,118, $60,251,788 and $92,425,259, respectively.

During 2016, the interest income for the Fund was $29,166, or approximately 0.11% of the Fund’s average month-end Net Asset Values During 2015, the interest income of the Fund was $2,004, or approximately 0.00% of the Fund’s average month-end Net Asset Values During 2014, the interest income for the Fund was $3,304, or approximately 0.00% of the Fund’s average month-end Net Asset Values.

Description of Current Charges

Recipient	Nature of Payment	Amount of Payment

MLPF&S	Brokerage commissions	During 2016, 2015 and 2014, the average round-turn (each purchase and sale or sale and purchase of a single futures contract) rate of the Fund’s brokerage commissions was approximately $5.17, $5.91 and $7.04, respectively.

MLPF&S	Use of assets	BofA Corp. may derive an economic benefit from the deposit of certain of the Fund’s U.S. dollar assets in accounts maintained at MLPF&S.

MLAI	Sponsor fees	The Fund charges Sponsor fees on the month-end Net Asset Value at annual rates equal to 1.5% for Class A Units, 2.5% for Class C Units, and 1.1% for Class I Units. Class D Units and Class M Units are not charged Sponsor fees. No Sponsor fees are charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BofA Corp. managed accounts in which the Class M Units are held.

MLPF&S	Sales commissions	Class A Units were subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Effective as of February 1, 2017, the upfront sales commission range applicable to Class A Units changed to between 0% and 2.5%. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. No upfront sales commission is charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BofA Corp. managed accounts in which the Class M Units are held.

MLI (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 the purposes of generally accepted accounting principles.

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

Trading Advisor	Performance fees	The Fund pays a 25% annual performance fee to the Trading Advisor with respect to all Classes of Units. The performance fee is calculated based on any increase in the aggregate Net Asset Value of the Classes of Units subject to the same rate of performance fees (“Class Group”), taken together, in excess of the Class Group’s highest Net Asset Value as of any previous December 31, after adjustment for subscriptions and the performance fee then paid (“High Water Mark”). The increase in Net Asset

		Value on which Performance fees are calculated is prior to reduction for Sponsor fees. The performance fee is also paid on net redemptions, and the High Water Mark is proportionately reduced. Net Asset Value for purposes of calculating the performance fee does not include any interest income earned by the Fund.

Trading Advisor and MLAI	Management fees	The Fund pays monthly management fees to the Trading Advisor based on the month-end Net Asset Value of the Fund (prior to the reduction for the management fees being calculated and any accrued performance fees or Sponsor fees). The management fee rate is 1.5% per year for all Classes of Units. The Trading Advisor has agreed to share with MLAI, from the management fees, a percentage of the gross asset value attributable to the Units equal to 0.65% on an annual basis but calculated and paid monthly. The Trading Advisor fee sharing arrangement with MLAI is in order to defray costs in connection with and in consideration of BofA Corp. providing certain operational support for the Fund.

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

MLAI	Ongoing offering costs reimbursed	Actual costs incurred.

Regulation

The CFTC has delegated to the National Futures Association (“NFA”) 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 (“CEA”) requires commodity pool operators such as MLAI, commodity trading advisors such as the 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 particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by the Trading Advisor will be combined for position limit purposes. The Trading Advisor could be required to liquidate positions in order to comply with such limits. Any such liquidation could result in substantial costs to the Fund. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses. Currency forward contracts are not regulated as “swaps” under the CEA, but are subject to governmental regulation such as mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC, see Item 1A “Risk Factors—F/X Forward 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 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 Fund does 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 Fund trades on a number of foreign commodity exchanges. The Fund does 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 the Trading Advisor is not necessarily indicative of how the Fund or the Trading Advisor may 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 under future market conditions that are similar to conditions in which it may have 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 Advisor 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 Advisor can predict or control overall market or economic conditions. These conditions, however, can be expected to have a material effect on the performance of the 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 Advisor’s strategy performing with unprecedented volatility and risk.

Managed Futures Trading Strategies and Trading Systems

Trend-Following Systems. Many managed futures 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 Advisor 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 Advisor 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 Advisor’s strategy 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 Advisor 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 Advisor may use systematic or quantitative valuation models in evaluating the economic components of many prospective trades, the market judgment and discretion of the Trading Advisor’s 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 Advisor may not have the same access to market information as do certain of its competitors, and the market decisions made by the Trading Advisor will, accordingly, often be based on less information and analysis than those available to competing investors.

F/X Forward Trading

The Fund may trade currencies in the F/X Markets, in addition to its trading in the futures markets, including by trading in deliverable and non-deliverable F/X forward contracts. Prospective investors must recognize that deliverable F/X forward trading generally does not take place on futures exchanges or swap execution facilities, and is not standardized; rather, banks and dealers act as principals in these markets, negotiating each transaction on an individual basis (including many deliverable forwards where the parties do not take delivery). As a result of The Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank”), the CFTC now regulates non-deliverable forwards as swaps, including deliverable forwards where the parties do not take delivery. Although non-deliverable forwards are not currently required to be executed in regulated markets, such as futures exchanges or swap execution facilities, certain non-deliverable F/X forwards are voluntarily traded on swap execution facilities and cleared through regulated clearing houses. See “Regulatory Changes Could Restrict the Fund’s Operations” in this section below. The responsibility for performing under a non-cleared particular forward transaction currently 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 deliverable F/X forwards and deposits collateral, including that of MLI. See “Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges” in this section below.

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

Dodd-Frank amended the definition of “eligible contract participant,” and the Fund expects to meet the amended definition so long as its total assets exceed $10 million. If the Fund does not meet the definition of “eligible contract participant,” it 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 MLI 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 Dodd-Frank might limit forward trading to less than that which MLAI would otherwise recommend, to the possible detriment of the Fund.

Derivatives Risks

The Trading Advisor uses derivative instruments, primarily futures and OTC F/X forwards, in implementing the 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 Fund’s investments in uncleared OTC derivatives are subject to greater risk of counterparty default and less liquidity than exchange-traded derivatives, although derivatives traded on regulated exchanges or execution facilities are subject to risk of failure of the exchange or facility 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.

In addition, 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.

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 bankruptcies of Lehman Brothers Holdings, Inc. and MF Global Inc. and uncertainty relating to the government bailout of American International Group, Inc. This type of 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” in this section below.

Trading in Options

The Trading Advisor 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 Advisor may engage in exchange of futures for physical (“EFP”) transactions on behalf of the Fund. 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 higher transaction costs.

Physical Commodities Trading

The Trading Advisor 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 developments.

While the 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.

In the past few years regulators have alleged that certain interest rate benchmarks that underlie various swap agreements had been manipulated for several years and multiple banks involved in setting such benchmarks are currently under investigation for this manipulation. Certain of these banks have been fined by, or entered into civil and criminal settlements with, various international regulators, including the U.S. Department of Justice, CFTC, and U.K. Financial Conduct Authority. In entering into swap agreements, the Fund relies on the integrity of interest rates and other benchmarks. If the level of these benchmarks is artificially influenced by market participants, the Fund could suffer losses.

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 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 near its all-time high. The more capital that is traded in these markets, or that is committed to any one 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.

Dependence on Key Individuals

The success of the Fund is significantly dependent upon the expertise of one or more of the Trading Advisor’s principals. The loss of any one of these principal’s services may have a substantial impact on the performance of the Fund and may result in liquidation of the Fund which, if made at an inopportune time, may result in losses for the Fund.

Trading Advisor Risk

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

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 Advisor may use executing brokers unaffiliated with BofA Corp. 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 of MLAI. It is virtually impossible for MLAI to detect these changes, particularly given the confidential, proprietary, “systematic” and/or quantitative nature of the Trading Program strategies, customarily referred to as “black box strategies.”

Illiquid Markets

Certain positions held by the Fund may become illiquid, preventing the Trading Advisor from acquiring positions otherwise indicated by the 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 the Trading Advisor are combined for purposes of calculating position limits. The Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement the 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 rules that, among other things, established 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 were generally set at 25% of the official estimated deliverable supply of the underlying commodity while position limits related to non-spot months were generally set at 10% of open interest in the first 25,000 contracts and 2.5% of the open interest thereafter. Those proposed speculative position limits were vacated by a United States District Court, but the CFTC has proposed a new set of speculative position limits which are not yet finalized. If the current proposal is approved, the size or duration of positions available to the Fund may be further limited.

In addition, Dodd-Frank 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 will have to aggregate positions of certain FuturesAccess Funds in determining whether the position limits are reached. The CFTC’s current position limit proposal would, if implemented in substance, 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 MLAI hiring multiple trading advisors may be required to aggregate the positions controlled by the various trading advisors. Although MLAI may claim an exemption from the aggregation requirements for the majority of FuturesAccess Funds, the aggregation of positions of certain FuturesAccess Funds may be required. If aggregation is required in the Fund’s case, 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 the 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 Advisor 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.

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 clearinghouse. In these cases, the Fund will be subject to the risk of the inability or refusal to perform with respect to 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 Advisor limited its 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, MLI 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.

MLAI has historically preferred BofA Corp. affiliates in clearing and prime brokerage relationships, and as a result has maintained the vast majority of its cash in futures brokerage accounts with its affiliates. This policy exposes the Fund to the specific credit risk of these BofA Corp. affiliates because balances in these accounts are not subject to FDIC or other form of deposit insurance against loss from failure of the BofA Corp. affiliate. Balances maintained with clearing brokers are, however, subject to the protections for customer segregated, cleared swaps customer accounts and secured accounts discussed below.

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

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- BofA Corp. broker and from “giving up” those trades to MLPF&S or MLI. In addition, to the extent assets are held at entities other than MLPF&S and MLI, the Sponsor may have limited ability to assess the extent to which the Trading Advisor maintains the Fund’s assets in unregulated accounts subject to the bankruptcy of the counterparties holding such assets.

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 the Sponsor 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. The Fund maintains cash deposits with MLPF&S in segregated accounts, which are required by CFTC regulations to be separate from its proprietary assets for futures and options trading on U.S. exchanges. Funds held in segregated accounts are intended to be readily identifiable as customer funds in the event of MLPF&S’s bankruptcy and are expected to be reserved for distribution to customers of MLPF&S. If MLPF&S did not comply with the segregation requirement, however, 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 because, although CFTC regulations require that FCMs invest customer funds only in certain types of interest bearing financial instruments, these instruments are still subject to credit and market risk. As a result, if the instruments in which customer segregated funds are invested lose value, there would be 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. If MLPF&S becomes insolvent, only a pro rata share of all property available for distribution to all of MLPF&S’s customers would be recovered, whether or not another customer also defaults and even if this property is held in segregated accounts.

In addition, if BofA Corp. directly or indirectly owns 10% or more of the Fund, which would typically result from BofA Corp. providing seed capital to the Fund to help ensure that the Fund has enough capital to commence trading activities, the Fund’s account at MLPF&S would be considered a “proprietary 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. Where BofA Corp. provides seed capital it also establishes a regular redemption schedule providing for withdrawal of the capital when the Fund capitalization reaches a certain level. Once BofA Corp.’s ownership of a FuturesAccess Fund falls below 10%, the account of the FuturesAccess Fund will be considered a customer account rather than a proprietary account.

MLPF&S is required by CFTC regulations to maintain in a secured 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 secured 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 secured account. Funds held in a secured 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, funds transferred from a secured account to a non-U.S. FCM, exchange or clearing agency to margin trading on non-U.S. futures exchanges are not subject to the same limitations on permissible investments as funds held by U.S. FCMs. 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, BofA Corp. owns 10% or more of the Fund, the Fund’s assets will not be protected as “customer funds.”

If the Fund deposits assets with a particular entity and those assets are not held in segregation or in a secured account as “customer funds” for any of the reasons discussed above, in the event of the entity’s insolvency the Fund could be a general creditor of the entity even with regard to 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.

To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with MLPF&S in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds but provide certain additional protections to cleared swaps collateral in the event of an FCM or FCM customer default. For example, in the event of a default of both the FCM and a customer of the FCM, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally commingled) account of the defaulting cleared swap customer of the FCM, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting FCM.

Collateral for OTC Transactions. Cash pledged as collateral with MLI or any other OTC prime broker for uncleared OTC trades is subject to the risk of the insolvency of the prime broker. Unlike cash posted as margin for commodities trading on regulated exchanges, cash margin for OTC trades is not required to be segregated or held in a secured account. With respect to cleared OTC trades, the Fund will not face a clearinghouse directly, but rather will do so through MLI or any other OTC prime broker that is registered with the CFTC and that acts as a clearing member. The Fund may face the indirect risk of the failure of another clearing member customer to meet its obligations to its clearing member. Such scenario could arise due to a default by the clearing member on its obligations to the clearinghouse triggered by a customer’s failure to meet its obligations to the clearing member.

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 FDIC, and would be subject to the risk of bank failure. Only up to $250,000 held in the interest bearing demand deposit accounts is insured under the FDIC’s general deposit insurance rules.

Cash in Securities Brokerage Accounts. Cash in securities 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 securities 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.

Historical 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 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 CFTC and the SEC. 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 Advisor. Trades for the Fund 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 Advisor trades 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 Advisor trades. Any such errors or failures could subject the Fund to substantial losses.

Government Intervention; Market Disruptions

The global financial markets have in the past several years 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 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, swaps, 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, as described in further detail above under “Possible Effects of Speculative Position Limits,” the U.S. Congress and the CFTC have expressed the concern that speculative traders, and commodity funds in particular, may be responsible for unwarranted and dramatic swings in the prices of commodities and the CFTC enacted position limits designed to address such speculative trading. 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.

Dodd-Frank includes provisions that substantially increase the regulation of the OTC derivatives markets. Regulations implementing Dodd-Frank will ultimately require that a substantial portion of derivatives currently traded over the counter be executed in regulated markets and/or be 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 deliverable F/X forwards and swaps from certain of the new regulatory requirements, it has done so to date only in limited circumstances. Forwards and swaps that are not so excluded may be required by Dodd-Frank to be centrally cleared or traded on a regulated market. Dodd-Frank may also require other OTC derivatives traded by the Fund, if any, to be centrally cleared or traded on a regulated market. This may subject the Fund, the Trading Advisor, MLAI and/or the Fund’s counterparties to additional regulatory requirements. Certain of these regulatory requirements could affect the Fund, the Trading Advisor or MLAI directly, while others could impact the Fund, the Trading Advisor or MLAI indirectly due to the impact of the requirements on the Fund’s counterparties. For example, OTC derivative dealers are now required to be registered with the CFTC (and ultimately will be required to register with the SEC) and are subject to new minimum capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens. These new regulatory burdens have and will continue to increase the counterparties’ costs, which are generally passed through to other market participants such as the Fund in the form of higher fees, including clearing account maintenance fees, and less favorable dealer marks. They may also render certain strategies in which the Trading Advisor might otherwise engage impossible, or so costly that they will no longer be economical, to implement.

The CFTC also now requires certain derivative transactions that were previously executed on a bi-lateral basis in the OTC markets to be executed through a regulated futures exchange or swap exchange facility. These requirements may make it more difficult and costly for investment funds, including the Fund, to enter into highly tailored or customized transactions. They may also render certain strategies in which the Fund might otherwise engage impossible or so costly that they will no longer be economical to implement. If the Fund decides to execute derivatives transactions through these exchanges or execution facilities—and especially if it decides to become a direct member of one or more of these exchanges or execution facilities—the Fund would be subject to the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility. Even if the Fund indirectly participates in an exchange or execution facility, the Fund and/or the Trading Advisor may be required to consent to the exchange’s or execution facility’s jurisdiction and to the relevant rulebook, which could subject it to a wide range of regulations and other obligations, together with associated costs. Like any other self-regulatory organization, exchanges and execution facilities regularly revise and interpret their rules, and such revisions and interpretations could adversely affect the Fund.

Although Dodd-Frank requires certain OTC derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearinghouse, some of the derivatives that may be traded by the Fund may not be centrally cleared. The risk of counterparty non-performance can be significant in the case of these OTC instruments, and bid-ask spreads may be unusually wide in these heretofore substantially unregulated markets. While Dodd-Frank is intended in part to reduce these risks, its success in this respect may not be evident for some time after Dodd-Frank is fully implemented, a process that may take several years. In addition, while Dodd-Frank’s requirement that certain swaps be traded on a regulated market is intended to improve transparency in the market for these swaps, and may for more liquid swaps decrease trading costs, it may actually increase trading costs for less liquid swaps.

While Dodd-Frank is intended to bring more stability and lower counterparty risk to derivatives markets by requiring central clearing of certain standardized derivatives trades, not all of the Fund’s trades will be subject to a clearing requirement because the trades are grandfathered or because they are bespoke, or because they are within a class that is not currently subject to mandatory clearing. Furthermore, it is yet to be seen whether Dodd-Frank will be effective in reducing counterparty risk or if such risk may actually increase as a result of market uncertainty, mutuality of loss to clearinghouse members, or other reasons.

The overall impact of Dodd-Frank on the Fund remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime, along with additional, sometimes overlapping, regulatory requirements imposed by non-U.S. regulators.

The “Volcker Rule” component of the Dodd-Frank materially restricts proprietary speculative trading by banks, “bank holding companies” and other regulated entities. As a result, there has been a significant influx of new portfolio managers into private investment funds who had previously traded institutional proprietary accounts. Such influx can only increase the competition for the Fund from other talented portfolio managers trading in the Fund’s investment sector.

On August 16, 2012, the European Market Infrastructure Regulation (“EMIR”) entered into force. EMIR introduces certain requirements in respect of derivative contracts, which applies primarily to “financial counterparties” (“FCs”) such as European Union (“E.U.”) authorized investment firms, credit institutions, insurance companies, funds regulated under the E.U. Undertakings for Collective Investment in Transferable Securities Directives, referred to as “UCITS,” and alternative investment funds managed by alternative investment fund managers authorized under the Alternative Fund Managers Directive, and “non-financial counterparties” (“NFCs”), which are entities established in the E.U. that are not financial counterparties. NFCs whose transactions in OTC derivative contracts exceed EMIR’s prescribed clearing threshold (“NFC+s”) are generally subject to more stringent requirements under EMIR than NFCs whose transactions in OTC derivative contracts do not exceed such clearing threshold (“NFC-s”).

Broadly, EMIR’s requirements in respect of derivative contracts are (i) mandatory clearing of OTC derivative contracts declared subject to the clearing obligation; (ii) risk mitigation techniques in respect of uncleared OTC derivative contracts; and (iii) reporting and record-keeping requirements in respect of all derivative contracts.

As FCs and NFCs are required to comply with EMIR’s risk mitigation obligations regardless of the identity of their counterparties, non-E.U. counterparties such as the Fund are likely to become indirectly subject to such requirements when they transact with E.U. counterparties, which will require compliance by their non-E.U. counterparties in order to satisfy their own obligations under EMIR. E.U. FCs or NFC+s which transact with a non-E.U. counterparty that would be classed as an FC or an NFC+ if it had been established in the E.U. will also be required to ensure that certain specified OTC derivative contracts are cleared through a duly authorized central counterparty. Secondary legislation has been published subjecting certain index credit default swaps, along with certain interest rate derivative contracts denominated in EUR, GBP, JPY, USD, NOK, PLN and SEK, to the clearing obligation. Mandatory clearing for these classes of derivatives is now in the process of being phased in by class of counterparty.

The majority of risk mitigation obligations under EMIR (such as the obligation to reconcile portfolios and confirm transactions in a timely fashion) are already in force, while the requirement to exchange collateral will apply from March 1, 2017 for the majority of counterparties (when the obligation to exchange variation margin commences). Exchange of initial margin is subject to a longer phase-in timeline.

The E.U. regulatory framework and legal regime relating to derivatives is set not only by EMIR but also by a new Directive and Regulation containing a package of reforms to the existing Markets in Financial Instruments Directive (Directive 2004/39/EC), collectively referred to as “MiFID II”. MiFID II was published on June 12, 2014 in the Official Journal of the European Union but the majority of MiFID II’s provisions will only become effective on January 3, 2018. In particular, MiFID II is expected to require transactions between FCs and NFC+s in sufficiently liquid OTC derivatives to be executed on a trading venue which meets the requirements of the MiFID II regime. This trading obligation will also extend to FCs and NFC+s which trade with third country counterparties that would be classed as FCs or NFC+s if they were established in the E.U.

It is difficult to predict the full impact of these regulatory developments on the Fund. Prospective investors should be aware that the regulatory changes arising from EMIR and MiFID II may in due course significantly raise the costs of entering into derivative contracts and may adversely affect the Fund’s ability to engage in transactions in derivatives.

Banking Regulation

BofA Corp. is subject to certain U.S. banking laws, including the Bank Holding Company Act of 1956 (the “BHCA”), and to regulation by the Board of Governors of the Federal Reserve System. If BofA Corp. directly, or indirectly through its subsidiaries, makes capital contributions to the Fund in an aggregate amount such that BofA Corp. may be deemed to control the Fund for purposes of the BHCA, or if BofA Corp. is otherwise deemed to control the Fund for purposes of the BHCA, the Fund may be subject to certain investment and other limitations.

In addition to the changes in the regulation of U.S. markets described above, it is impossible to predict what additional interim or permanent governmental regulations, restrictions or limitations may be imposed, whether in the U.S. or non-U.S. markets, on, for example: (x) the markets in which the Fund invests and the strategies of the Fund; and (y) BofA Corp. Such measures could have a material and adverse effect on the Fund, including expenses that result from increased compliance requirements.

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

On August 5, 2011, Standard & Poor’s lowered its long term sovereign credit rating on the United States of America from AAA to AA+. This downgrade or future downgrades by Standard & Poor’s or other credit rating agencies could have material adverse effects 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 ultimate impact on global markets and the Fund’s business is unpredictable.

Global markets and economic conditions have been negatively affected by the ability of E.U. member states to service their sovereign debt obligations. The continued uncertainty over the outcome of the E.U.’s financial support programs and financial troubles could have an adverse effect on the Fund.

On June 23, 2016, the U.K. held an “in-or-out referendum” on the U.K.’s membership of the E.U., the result of which favored the exit of the U.K. from the E.U. (“Brexit”). The U.K. has the largest financial services sector in the E.U. A process of negotiation will determine the future terms of the U.K.’s relationship with the E.U. which could take many forms. In the meantime, the U.K. remains a member of the E.U. The potential impact of Brexit on the Fund is currently unclear. Depending on the terms of Brexit, economic conditions in the U.K., the rest of the E.U. and global markets may be adversely affected by reduced economic growth and volatility. The uncertainty before, during and after the period of negotiation could also have a negative economic impact and increase volatility in the financial markets, particularly (but not exclusively) in the E.U. Such volatility and negative economic impact could, in turn, adversely affect the net asset value, and trading of the Fund. Further items that may be affected by Brexit may include the regulatory environment in which the Trading Advisor or the Fund operates/trades in. It is possible that Brexit will stimulate further calls for referenda and political instability among member states of the E.U. and in the U.K. itself with attendant risks.

Cybersecurity Risk

With the increased use of technologies such as the Internet to conduct business, the Fund is susceptible to operational, information security and related risks. In general, cyber incidents can result from deliberate attacks or unintentional events. Cyber-attacks include, but are not limited to, gaining unauthorized access to digital systems, for example, through “hacking” or malicious software coding, for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on websites, i.e., efforts to make network services unavailable to intended users. Cyber incidents affecting MLAI, the administrator and other service providers (including, but not limited to, the Fund’s accountants, custodians, transfer agents and financial intermediaries) have the ability to cause disruptions and affect business operations, potentially resulting in financial losses, interference with the Fund’s ability to value securities or other investments, impediments to trading, the inability of investors to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, or additional compliance costs. Similar adverse consequences could result from cyber incidents affecting the Trading Program, counterparties with which the Trading Advisor engages in transactions, governmental and other regulatory authorities, exchange and other financial market operators, banks, brokers, dealers, insurance companies and other financial institutions (including financial intermediaries and service providers for investors) and other parties. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. While MLAI and the Fund’s service providers have established business continuity plans in the event of, and risk management systems to prevent, such cyber incidents, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Furthermore, neither MLAI nor the Fund can control the cyber security plans and systems put in place by its service providers or any other third parties whose operations may affect the Fund or its investors. The Fund and investors could be harmed as a result.

Item 1B: Unresolved Staff Comments

Not applicable.

Item 2: Properties

The Fund does not use any physical properties in the conduct of its business.

The Fund’s offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, 250 Vesey Street, 11th Floor, New York, New York, 10281). 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

(a) Market Information:

There is no established public trading market for the Units. Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last calendar day of each month (each a “Redemption Date”), upon submitting a redemption request by the “Subscription/Redemption Notice Date,” which is eight business days prior to the first of every month. 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.

(b) Holders:

As of December 31, 2016, there were 467 holders of Units.

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

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

Not applicable.

(e) Performance Graph:

Not applicable.

(f) Recent Sales of Unregistered Securities:

Not applicable. Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(a)(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.

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

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-16	$	—	—	$	1.0657
Feb-16	—		—	1.1282
Mar-16	—		—	1.1534
Apr-16	—		—	1.1326
May-16	—		—	1.0599
Jun-16	—		—	1.0297
Jul-16	—		—	1.0464
Aug-16	—		—	1.0736
Sep-16	—		—	1.0342
Oct-16	—		—	0.9556
Nov-16	—		—	0.9128
Dec-16	—		—	0.9069
Jan-17	—		—	0.9288
Feb-17	—		—	0.9000

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-16	$	17,000	16,981	$	1.0011
Feb-16	11,000		10,388	1.0589
Mar-16	10,000		9,246	1.0816
Apr-16	—		—	1.0613
May-16	—		—	0.9923
Jun-16	—		—	0.9632
Jul-16	—		—	0.9780
Aug-16	—		—	1.0026
Sep-16	—		—	0.9650
Oct-16	—		—	0.8909
Nov-16	—		—	0.8503
Dec-16	—		—	0.8441
Jan-17	—		—	0.8638
Feb-17	—		—	0.8363

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-16	$	—	—	$	0.9407
Feb-16	—		—	0.9971
Mar-16	—		—	1.0207
Apr-16	—		—	1.0035
May-16	—		—	0.9403
Jun-16	—		—	0.9147
Jul-16	—		—	0.9306
Aug-16	—		—	0.9561
Sep-16	—		—	0.9221
Oct-16	—		—	0.8531
Nov-16	—		—	0.8159
Dec-16	—		—	0.8116
Jan-17	—		—	0.8323
Feb-17	—		—	0.8075

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-16	$	—	—	$	1.0981
Feb-16	—		—	1.1629
Mar-16	—		—	1.1893
Apr-16	—		—	1.1682
May-16	—		—	1.0937
Jun-16	—		—	1.0628
Jul-16	—		—	1.0804
Aug-16	—		—	1.1089
Sep-16	—		—	1.0685
Oct-16	—		—	0.9877
Nov-16	—		—	0.9437
Dec-16	—		—	0.9379
Jan-17	—		—	0.9609
Feb-17	—		—	0.9314

CLASS M

	Subscription
	Amount		Units	NAV (1)
Jan-16	$	—	—	$	1.0191
Feb-16	—		—	1.0802
Mar-16	15,000		13,565	1.1058
Apr-16	17,000		15,636	1.0872
May-16	231,867		227,611	1.0187
Jun-16	—		—	0.9909
Jul-16	—		—	1.0082
Aug-16	—		—	1.0357
Sep-16	—		—	0.9989
Oct-16	—		—	0.9242
Nov-16	—		—	0.8839
Dec-16	—		—	0.8792
Jan-17	—		—	0.9016
Feb-17	—		—	0.8748

(1) Beginning of the month Net Asset Value

Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. Class DT Units and Class DS Units were not subject to upfront sales commissions.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6: Selected Financial Data

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

Statements of Operations	For the year ended December 31, 2016			For the year ended December 31, 2015			For the year ended December 31, 2014			For the year ended December 31, 2013			For the year ended December 31, 2012

Trading profit (loss), net:
Realized, net	$	(1,647,185	)	$	8,955,359		$	11,851,426		$	(11,727,253	)	$	7,099,428
Change in unrealized, net	48,224			(2,453,551		)	(1,786,161		)	383,129			(3,439,687		)
Brokerage commissions	(136,013		)	(366,457		)	(530,630		)	(815,030		)	(886,130		)
Total trading profit (loss), net	(1,734,974		)	6,135,351			9,534,635			(12,159,154		)	2,773,611

INVESTMENT INCOME (EXPENSE):
Interest, net	29,166			2,004			3,304			2,577			(8,831		)

EXPENSES:
Management fee	408,600			896,970			1,770,108			2,951,301			4,156,778
Performance fee	86,267			612,282			—			49,399			102,552
Sponsor fees	510,258			772,655			882,045			937,658			729,287
Other	408,980			552,393			531,241			475,775			555,699
Total Expenses	1,414,105			2,834,300			3,183,394			4,414,133			5,544,316

NET INVESTMENT INCOME (LOSS)	(1,384,939		)	(2,832,296		)	(3,180,090		)	(4,411,556		)	(5,553,147		)

NET INCOME (LOSS)	$	(3,119,913	)	$	3,303,055		$	6,354,545		$	(16,570,710	)	$	(2,779,536	)

Balance Sheet Data	December 31, 2016			December 31, 2015			December 31, 2014			December 31, 2013			December 31, 2012

Members’ Capital	$	18,793,760		$	33,879,085		$	86,519,327		$	113,835,996		$	170,304,436
Net Asset Value per Class A Unit	0.9288			1.0657			1.0634			0.9896			1.1196
Net Asset Value per Class C Unit	0.8638			1.0011			1.0089			0.9485			1.0838
Net Asset Value per Class D Unit**	0.8323			0.9407			—			—			1.1740
Net Asset Value per Class I Unit	0.9609			1.0981			1.0914			1.0117			1.1399
Net Asset Value per Class DS Unit*	—			—			1.3536			1.2410			1.3830
Net Asset Value per Class DT Unit***	—			—			1.1571			1.0503			1.1598
Net Asset Value per Class M Unit	0.9016			1.0191			1.0018			0.9184			1.0235

*Units fully redeemed as of April 30, 2015.

**Units reissued May 1, 2015.

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

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

NET ASSET VALUE PER UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.		Oct.		Nov.		Dec.
2012	$	1.1585	$	1.1711	$	1.1262	$	1.1600	$	1.1557	$	1.0951	$	1.1603	$	1.1581	$	1.1546	$	1.0966	$	1.1077	$	1.1196
2013	$	1.1592	$	1.1422	$	1.1650	$	1.1837	$	1.1087	$	1.0140	$	1.0030	$	0.9942	$	0.9889	$	1.0201	$	1.0268	$	0.9896
2014	$	0.9493	$	0.9696	$	0.9398	$	0.9455	$	1.0023	$	1.0252	$	0.9999	$	1.0480	$	1.0191	$	1.0319	$	1.0739	$	1.0634
2015	$	1.1375	$	1.1463	$	1.1657	$	1.1442	$	1.1245	$	1.0329	$	1.0892	$	1.0912	$	1.0994	$	1.0825	$	1.1089	$	1.0657
2016	$	1.1282	$	1.1534	$	1.1326	$	1.0599	$	1.0297	$	1.0464	$	1.0736	$	1.0342	$	0.9556	$	0.9128	$	0.9069	$	0.9288

NET ASSET VALUE PER UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.		Oct.		Nov.		Dec.
2012	$	1.1318	$	1.1431	$	1.0984	$	1.1304	$	1.1253	$	1.0655	$	1.1279	$	1.1248	$	1.1205	$	1.0633	$	1.0732	$	1.0838
2013	$	1.1212	$	1.1038	$	1.1249	$	1.1421	$	1.0687	$	0.9767	$	0.9653	$	0.9560	$	0.9502	$	0.9793	$	0.9849	$	0.9485
2014	$	0.9091	$	0.9277	$	0.8984	$	0.9031	$	0.9565	$	0.9776	$	0.9527	$	0.9977	$	0.9694	$	0.9807	$	1.0198	$	1.0089
2015	$	1.0783	$	1.0858	$	1.1033	$	1.0821	$	1.0625	$	0.9752	$	1.0274	$	1.0285	$	1.0354	$	1.0186	$	1.0426	$	1.0011
2016	$	1.0589	$	1.0816	$	1.0613	$	0.9923	$	0.9632	$	0.9780	$	1.0026	$	0.9650	$	0.8909	$	0.8503	$	0.8441	$	0.8638

NET ASSET VALUE PER UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.		Oct.		Nov.		Dec.
2011	$	1.2067	$	1.2504	$	1.2359	$	1.3027	$	1.2592	$	1.2157	$	1.2521	$	1.2228	$	1.2239	$	1.1454	$	1.1634	$	1.1857
2012	$	1.1982	$	1.2127	$	1.1677	$	1.2042	$	1.2013	$	1.1398	$	1.2091	$	1.2083	$	1.2062	$	1.1470	$	1.1601	$	1.1740
2013	$	1.2170	$	1.2007	$	1.2262	$	1.2475	$	1.1698	$	1.0713	$	1.0610	$	1.0530	$	1.0487	$	1.0831	$	1.0916	n/a
2015	n/a		n/a		n/a		n/a		$	0.9840	$	0.9050	$	0.9555	$	0.9584	$	0.9669	$	0.9532	$	0.9777	0.9407
2016	0.9971		1.0207		1.0035		0.9403		$	0.9147	$	0.9306	$	0.9561	$	0.9221	$	0.8531	$	0.8159	$	0.8116	$	0.8323

NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.		Oct.		Nov.		Dec.
2012	$	1.1752	$	1.1884	$	1.1432	$	1.1779	$	1.1739	$	1.1128	$	1.1794	$	1.1775	$	1.1744	$	1.1158	$	1.1275	$	1.1399
2013	$	1.1807	$	1.1637	$	1.1874	$	1.2068	$	1.1307	$	1.0345	$	1.0237	$	1.0150	$	1.0099	$	1.0421	$	1.0493	$	1.0117
2014	$	0.9708	$	0.9919	$	0.9617	$	0.9678	$	1.0263	$	1.0501	$	1.0246	$	1.0742	$	1.0449	$	1.0583	$	1.1018	$	1.0914
2015	$	1.1678	$	1.1773	$	1.1976	$	1.1759	$	1.1560	$	1.0623	$	1.1205	$	1.1229	$	1.1318	$	1.1148	$	1.1423	$	1.0981
2016	$	1.1629	$	1.1893	$	1.1682	$	1.0937	$	1.0628	$	1.0804	$	1.1089	$	1.0685	$	0.9877	$	0.9437	$	0.9379	$	0.9609

NET ASSET VALUE PER UNIT CLASS DS

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.		Oct.		Nov.		Dec.
2012	$	1.4115	$	1.4287	$	1.3756	$	1.4187	$	1.4152	$	1.3427	$	1.4244	$	1.4234	$	1.4210	$	1.3513	$	1.3667	$	1.3830
2013	$	1.4338	$	1.4145	$	1.4446	$	1.4696	$	1.3781	$	1.2621	$	1.2500	$	1.2406	$	1.2355	$	1.2760	$	1.2860	$	1.2410
2014	$	1.1920	$	1.2189	$	1.1830	$	1.1915	$	1.2647	$	1.2953	$	1.2649	$	1.3275	$	1.2924	$	1.3103	$	1.3653	$	1.3536
2015	$	1.4497	$	1.4628	$	1.4895	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a
2016	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a

NET ASSET VALUE PER UNIT CLASS DT

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.		Oct.		Nov.		Dec.
2012	$	1.1743	$	1.1893	$	1.1461	$	1.1827	$	1.1805	$	1.1210	$	1.1900	$	1.1899	$	1.1886	$	1.1313	$	1.1451	$	1.1598
2013	$	1.2031	$	1.1876	$	1.2136	$	1.2355	$	1.1595	$	1.0628	$	1.0535	$	1.0464	$	1.0430	$	1.0781	$	1.0875	$	1.0503
2014	$	1.0096	$	1.0333	$	1.0036	$	1.0118	$	1.0748	$	1.1017	$	1.0768	$	1.1309	$	1.1020	$	1.1182	$	1.1661	$	1.1571
2015	$	1.2397	$	1.2513	$	1.2744	$	1.2529	$	1.2333	$	1.1347	$	1.1985	$	1.2026	$	1.2136	$	1.1969	$	1.2280	n/a
2016	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a

NET ASSET VALUE PER UNIT CLASS M

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sep.		Oct.		Nov.		Dec.
2012	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	1.0235
2013	$	1.0611	$	1.0468	$	1.0691	$	1.0876	$	1.0199	$	0.9340	$	0.9251	$	0.9181	$	0.9143	$	0.9443	$	0.9517	$	0.9184
2014	$	0.8821	$	0.9021	$	0.8755	$	0.8818	$	0.9360	$	0.9586	$	0.9361	$	0.9824	$	0.9565	$	0.9697	$	1.0104	$	1.0018
2015	$	1.0729	$	1.0826	$	1.1023	$	1.0833	$	1.0660	$	0.9804	$	1.0351	$	1.0383	$	1.0475	$	1.0327	$	1.0592	$	1.0191
2016	$	1.0802	$	1.1058	$	1.0872	$	1.0187	$	0.9909	$	1.0082	$	1.0357	$	0.9989	$	0.9242	$	0.8839	$	0.8792	$	0.9016

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

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

· 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. Actual results could differ from those estimates and such differences could be material.

· The fair value of a financial instrument 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.

· The fair value amounts of, and the net profits and losses on, derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively.

· Realized profits (losses) and changes in unrealized profits (losses) on open positions are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

Results of Operations

General

The Trading Program is a systematic trend follower, but it decision-making inputs are technical. The Fund trades daily futures and liquid OTC instruments across 150+ markets in equity indexes, fixed income, F/X, energy metals, agricultural and soft commodities.

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 have caused such movements, but simply occurred at or about the same time.

Year ended December 31, 2016

	Total Trading
	Profit (Loss)
Stock Indices	$	(1,191,094	)
Metals	(768,755		)
Agricultural	(73,224		)
Currencies	83,098
Energy	(1,102,399		)
Interest Rates	1,453,413
Subtotal	(1,598,961		)
Brokerage Commissions	(136,013		)
Total	$	(1,734,974	)

The Fund experienced a net trading loss of $1,598,961 before brokerage commissions and related fees for the year ended December 31, 2016. The Fund’s profits were primarily attributable to the interest rates and the currency sectors. The agriculture, metals, energy and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter as the Trading Program continued its long positions in bonds (short yields) delta throughout January. Profits were posted to the Fund in the middle of the first quarter. The Trading Program continued with its long bonds (short yields) delta throughout February. Long positions in the Japanese 10-year and gilt positions led the way in positive performance for bond contracts. Losses were posted to the Fund at the end of the quarter. The Trading Program entered March with long bonds (short yields), however, the whipsaw action in prices saw some reduction of this exposure at the start of the month, muting the

benefits from the rise in bond prices seen towards the end of the month. Long positioning in Italian and U.S. government bonds benefited the Fund, but this positive performance was partially offset by negative performance from the Trading Program’s long positioning in the Australian 10-year and 3-year bonds. Losses were posted to the Fund at the beginning of the second quarter due to a negative rates environment in two of the major government bond issuing markets and yields rose across the space. The interest rates sector was influenced by central banks and whether or not they will provide further monetary policy stimulus measures. This led to uncertainty surrounding the European Central Bank, The U.S. Federal Reserve and Bank of Japan meetings. Overall, the European Central Bank kept stimulus and rates on hold, however, the U.S. Federal Reserve acknowledged that global markets face pressures. Losses were posted to the Fund in the middle of the quarter with its long bonds (short yields) exposure throughout May. This exposure increased throughout May as yields traded lower towards the second half of the month. A sharp rally in yields towards the end of the month harmed performance in the sector. These sharp moves halted relatively quickly and the bond futures space returned moderately positive performance in May. Profits were posted to the Fund at the end of quarter. Bonds was the top performing sector in June with the Trading Program’s long positions in Gilts, U.S. 2 and 5 year Treasury bonds leading the way in terms of positive performance. Profits were posted to the Fund at the beginning of the third quarter. The Trading Program continued with its long bonds (short yields) exposure throughout July. Generally, bond market volatility traded at lower levels relative to June. The Trading Program posted profits to the Fund from long positions in U.K. gilt and Euro-BTP positions posting the largest gains. Losses were posted to the Fund in the middle of the quarter. The Trading Program continued with its long bonds (short yields) delta throughout August. Yields had been trading sideways for most of the summer and August was no major deviation from this. The Trading Program increased its long bonds exposure towards the end of August and a slight increase in yields led to a negative return in the bond sector. Rates markets remained influenced by the Federal Reserve Chair Janet Yellen’s comments towards a rate hike in 2016. The Trading Program posted losses to the Fund in rates with gains in FI-Europe and the interest rate swap space offset by losses in FI-Asia and FI-US. Losses were posted to the Fund at the end of the quarter. Bonds sold off in September during the risk-off period after the lack of action from the European Central Bank. The Trading Program’s long position in the Canadian 10 year contract was the largest detractor in bonds. Rates markets experienced volatility after concerns that the European Central Bank did not immediately lengthen the duration of their QE program. The Trading Program’s long Eurodollar contract was the largest detractor of the rates contracts. Losses were posted to the Fund at the beginning of the fourth quarter. The Trading Program continued with its long bonds (short yields) exposure throughout the month of October. Bonds, especially those close to zero or with negative rates, were notably volatile in the government bond space. German yields traded back into positive territory in a sell off throughout October, which accelerated after the European Central Bank’s relatively hawkish press conference. Italian government bonds were also notably volatile. The Trading Program reduced its long bond exposure consistently throughout October. The Canadian 10 year and Euro-BTP contracts detracted the most from performance. Within rates markets, central banks were the focus. The United Kingdom curve remained vulnerable to Brexit uncertainty. The Trading Program reduced risk in its core short interest rate positions, most notably in the three month Sterling interest rate future contract. The long Eurodollar contract was the largest detractor of the rates contracts. Profits were posted to the Fund in the middle of the fourth quarter. The Trading Program transitioned to short bonds (long yields) exposure throughout November. A sharp move in yields was witnessed in the U.S., which may be attributed to the outcome of the U.S. presidential election. A combination of inflation expectations and expected fiscal stimulus from the president elect combined with his apparent dislike of the Federal Reserve zero interest rate policies contributed to bondholders reducing risk. Many yields in Europe managed to stay positive throughout November with yields in France and Germany rising. Short rates posted positive performance most notably from returns in Eurodollars. Profits were posted to the Fund at the end of the fourth quarter. The Trading Program continued with its short bonds (long yields) delta throughout December. After the sharp move witnessed in yields in the U.S., yields continued to drift higher following the U.S. Federal Reserve rate hike. In Europe, interest rates dropped as the European Central Bank announced changes to its QE program. The Trading Program maintained long yields exposure in both the U.S. and Asia alongside short yields in Europe, with small losses in the U.S. and Europe covered by gains in Asia.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The U.S. dollar gained ground versus emerging market currencies in particular, as well as their G10 counterparts. Three-month ATM-FX generally rose throughout January, with an unwinding of “carry pairs” mainly in AUD-JPY. The U.S. dollar index (DXY) regained lost ground. The Euro continued to trade sideways while still seeing plenty of intra-day volatility. The devaluation of the Japanese yen affected the Asia-Pacific region, with many pairs losing versus the dollar. In the FX space, top contributors to the Fund performance included the Canadian dollar and Mexican peso, while the New Zealand dollar and Polish zloty were the main detractors. Overall, within FX, the Fund increased its risk. Losses were posted to the Fund in the middle of the quarter due to sharp moves and trend reversals. Specifically, the U.S. dollar initially sold off as the Japanese yen showed some strength. This resulted in negative performance from the Trading Program’s short positions in the Japanese yen versus the U.S. dollar. Profits were posted to the Fund at the end of the quarter. The Trading Program had short positions in the U.S. dollar versus other currencies, which allowed the model to capitalize on the U.S. dollar weakness throughout March. The U.S. dollar lost ground after with a more dovish tone to recent U.S. Federal Reserve language. While most of the G10 currency pairs gained versus the dollar, it was emerging market currencies that saw more pronounced gains.

The Trading Program’s long positioning in the Polish zloty and Turkish lira (versus the U.S. dollar) were the top positions in the sector for March. Losses were posted to the Fund at the beginning of the second quarter. FX markets confounded many in April as despite a move to negative rates in Europe and Japan both of these currencies outperformed the U.S. dollar. The British sterling also staged a recovery rally. The Euro and emerging markets currencies rallied against the U.S. dollar. Emerging markets currencies rebounded as commodity markets retraced their losses. Further soft language from the U.S. Federal Reserve also put pressure with uncertainty as to when the next rate rise will be. The Trading Program transitioned to net short positions in the U.S. dollar across G10 and EM Forex Markets at the end of March. Overall the Forex Markets were a detractor from performance due to the Trading Program’s short positions in the Canadian dollar and long positions in the Polish Zloty being the top detractors. Losses were posted to the Fund in the middle of the second quarter. The Forex Markets were primarily led by a slight rebound in the U.S. dollar. The U.S. dollar rallied against most G10 currencies with the exception of the British sterling. Words from the Reserve Bank of New Zealand coupled with poor employment numbers resulted in the New Zealand dollar dropping aggressively at the start May. The top detractors within the Forex Markets were the long positions in Turkish Lira and New Zealand positions. Poor employment numbers in Sweden resulted in gains from the short positions in the Swedish krona versus the U.S. dollar positions, however, gains in the sector were not enough to offset losses. Profits were posted to the Fund at the end of second quarter due to the Trading Program’s long positioning in the Brazilian real and New Zealand dollar. Losses were posted to the Fund at the beginning of the third quarter. The U.S. dollar showed strength for much of July, however late in the month lowered close to where it began making for a flat month. The Trading Program entered July primarily long U.S. dollar vs. G10 crosses and short U.S. dollar vs emerging market crosses and risk GPB/USD was minimal. Losses were posted to the Fund in the middle of the quarter. The Trading Program continued to have long positions in the U.S. dollar vs G10 crosses and short positions in the U.S. dollar vs emerging market crosses. Exposure was reduced throughout July. Losses were posted to the Fund at the end of the quarter. The Trading Program had mixed positioning in G10 crosses, however overall, continued with a net long U.S. dollar exposure versus G10 crosses and a net short U.S. dollar exposure versus emerging market crosses. This exposure increased slightly from the start to finish of September with varying levels week over week. Profits were posted to the Fund at the beginning of the fourth quarter. Despite action by the Federal Reserve in terms of rates, it was the U.S. dollar that performed the best throughout October. The U.S. dollar versus emerging market currencies saw mixed performance in October, however, there were relatively straightforward gains versus G10 currencies. Despite a lack of action on duration of QE by the European Central Bank, the Euro lost versus the U.S. dollar and Brexit uncertainty sparked further weakening in the British pound. The Trading Program was positioned net long U.S. dollar versus G-10 currencies and benefited from the risk off sentiment witnessed towards the end of the month. The FX sector was a positive contributor to performance. The short Swedish krona and British pound contracts posted the largest gains in the sector. Losses were posted to the Fund in the middle of the fourth quarter. The U.S. dollar outperformed throughout November. In G10 pairs the Japanese yen took the biggest hit. In emerging market currencies Turkey and Poland performed the worst vs the U.S. dollar. The Trading Program started and finished November net long U.S. dollar. Performance was strong in G10 pairs but suffered from a series of losses in emerging market pairs. Overall FX was modestly positive to relatively flat in November. Profits were posted to the Fund at the end of the fourth quarter. The Trading Program had strong performance almost across the board versus G10 currency crosses other than for the Swedish krona. The U.S. dollar showed varying performances against emerging market currencies while rallying versus most Asian emerging market currencies, but could not muster the same strength versus Latin American crosses with the Brazilian real gaining in December. Top performers included the Brazilian real and Japanese yen, while the Swedish krona and Canadian dollar were top detractors.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to a large squeeze in corn and wheat owing to a bullish crop report showing higher levels of exports. Profits were posted to the Fund in the middle of the quarter. The Trading Program short positions benefited the strategy and positive returns were generated from a sell-off in corn and wheat due to a strong supply environment. Losses were posted to the Fund at the end of the quarter. The Trading Program began with net short positions exposure that was considerably reduced by the end of March. Large trend reversals were seen as traders looked to position ahead of quarterly reports. The Trading Program’s short positioning in wheat and soybean contracts posted the largest losses in agricultures for March. Losses were posted to the Fund at the beginning of the second quarter. The Trading Program started April net short but a sharp reversal in major markets due to the U.S. dollar weakness and a short squeeze resulted in difficult conditions for the sector. The Trading Program started April with a small net short delta in the meats space and this increased slightly throughout the month to see a small positive return. Profits were posted to the Fund in the middle of the quarter. The Trading Program started May moderately net short positions and flipped modestly to long positions in the agriculture sector by the end of May. The change can partially be attributed to a sharp rally in soybean meal due to a squeeze in supplies. The long soybean meal contract was the top contributor in the sector. Lean hog prices rallied which resulted in losses to short lean hog contracts. Profits were posted to the Fund at the end of the second quarter. The Trading Program started June with a small net long position, but this transitioned aggressively to net short positions by the end of the month as corn and wheat both plummeted after the quarterly U.S. Department of Agriculture report showed an uptick in planting. The Trading Program posted profits to the Fund due to long positions in soybean, sugar and corn. Profits were posted to the Fund at the beginning of the third quarter. The Trading

Program started July with a small net short exposure after poor crop reports coming out of June. In the meats space, the Trading Program’s losses on long positions in lean hogs were overshadowed by gains in feeder and live cattle. Profits were posted to the Fund in the middle of the second quarter. The agriculture space was mixed in August with whipsaw trading in corn along with a more straightforward trend lower in wheat due to over-supply concerns. Losses were posted to the Fund at the end of the third quarter. Profits in the Trading Program’s short positions in lean hogs and long positions in sugar contracts were not enough to offset losses in the Trading Program’s short positions in corn and wheat contracts. Losses were posted to the Fund at the beginning of the fourth quarter. There was a strong rally in crops throughout October with a strong demand from China. Corn traded from lows to highs in October and wheat also gained. The Trading Program started October net short but reduced short exposure to almost flat by month end. The Trading Program was hurt by the crops rally with the short corn contract as the top detractor. Meat contracts also saw a rally in October which hurt the Trading Program’s small short positioning. Profits were posted to the Fund in the middle of the fourth quarter. Some concerns around ample supply and conversely lower demand saw cocoa sell off sharply at the start of November, never to recover. A similar story in wheat, where oversupply concerns sent wheat tumbling. Overall, agricultures contributed positively to performance, with the short wheat contract contributing the most. Losses were posted to the Fund at the end of the fourth quarter. An aggressive trend reversal in the soya complex, following reports of prospects of a good crop in South America, hurt the long delta held on this asset. Despite varying positions, overall delta in agricultures transitioned from short to long throughout December. The Trading Program lost in this space with gains in cocoa eclipsed by losses in the soya complex. In the meats sector, a rally in live cattle and leanhogs squeezed the small short positioning.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter which reversed in the middle of the quarter. Metal prices squeezed higher off lows which hurt the Trading Program’s performance due to aggregate short positioning in metals contracts. Despite flipping from short to long positioning over February, silver and platinum were the top detractors in the metals sector. Losses were posted to the Fund at the end of the quarter. Metals were subject to profit taking and some locking-in of low prices at the beginning of March, followed by a drift back to flat performance towards the end of the month. Short palladium was the top detractor in the metals space. Losses were posted to the Fund at the beginning of the second quarter with a small short exposure in metals and transitioned into net long exposure by the end of April. Strong performance from silver was countered by choppy conditions in palladium and copper. Losses were posted to the Fund in the middle of the quarter as gold and silver gave back some gains seen in previous months as a combination of a slightly stronger U.S. dollar and a general dissipation of “risk off” settled in the market which eased the buying pressure on gold. The Trading Program’s long gold and silver positions were the top detractors for May, with both positions flipping short by the end of May. Losses were posted to the Fund at the end of the quarter. The Trading Program’s long positions in precious metals were overshadowed by its short positions in base metals hampering performance in this space. Profits were posted to the Fund at the beginning of the third quarter as gold and silver extended their year’s gains. Losses were posted to the Fund in the middle of the quarter. Base metals trended higher for most of August while precious metals generally did not gain any upwards momentum. Losses were posted to the Fund at the end of the third quarter. The metals sector detracted from performance in September with profits in the Trading Program’s long positions in lead and palladium contracts negated by losses across the rest of the sector. Losses were posted to the Fund at the beginning of the fourth quarter. The Trading Program transitioned from net long to net short delta throughout October in the metals space which resulted in a negative return from the sector. The long palladium contract was the top detractor. Profits were posted to the Fund in the middle of the fourth quarter. November saw a very strong rally across the base metals space. The long copper contract led the way in terms of positive performance. In precious metals it was the inverse story, with a strong U.S. dollar and removal of a major risk event of the U.S. presidential elections leading to profits in gold and silver as the Trading Program’s short gold position benefited from this. Losses were posted to the Fund at the end of the fourth quarter. The strong performance of base metals in recent months did not continue throughout December. Base metals, and copper in particular, saw some reversion. Precious metals also suffered another mark down after the rate rise, but looked more constructive towards the end of December.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning through the middle of the first quarter. The Trading Program’s short positioning in natural gas and West Texas Intermediate were the top contributors in February. Losses were posted to the Fund at the end of the quarter. The Trading Program’s short positions in energies resulted in negative performance for the Fund, with natural gas and West Texas Intermediate finishing March as the top detractors. Losses were posted to the Fund at the beginning of the second quarter. The energy sector detracted from performance with the top detractor being West Texas Intermediate. Losses were posted to the Fund in the middle of the second quarter. May saw a slight break in terms of volatility in oil prices. Fires in Canada, strikes in Nigeria, and tensions in Libya all contributed to the impression that supply is lower. Long gas oil was the top performer in energies in May. The Fund started May with modest long exposure and with various levels week over week, ending the month with an even more modest long exposure. The top detractor in the sector was RBOB gasoline with varying positioning throughout May. Losses were posted to the Fund at the end of quarter due to the Trading Program’s short positions in natural gas. Profits were posted to the Fund at the beginning of the third quarter. Oil fell in July as inventory was stacking up. The Trading Program’s net short

exposure benefited from the trend lower, contributing to positive performance. Losses were posted to the Fund in the middle of the quarter. The Trading Program had a net short exposure which was reduced throughout August, but finished net short overall. The energy sector was a detractor in August with short Brent Crude, RBOB gasoline and heating oil contracts as the top detractors. Losses were posted to the Fund at the end of the third quarter. The Trading Program’s short positions in Brent Crude and heating oil contracts were the top detractors in the energy sector. Losses were posted to the Fund at the beginning of the fourth quarter. The energy space was, for the most part, weak in October. The energy sector started and ended October with net short exposure, however transitioned to net long exposure throughout the middle of October. The Trading Program saw gains from short positions in West Texas Intermediate and Brent Crude oil, however, they were nullified by losses, including from the short natural gas contract which saw a sharp reversion of its rally in September. Losses were posted to the Fund in the middle of the fourth quarter. The OPEC meeting and rumors regarding a production cut resulted in volatility in the energy space especially towards the end of November. Profits were posted to the Fund at the end of the fourth quarter. December saw some follow-through in the energy space after OPEC came to a production agreement. Energies rallied for the most part throughout December as speculators hoped for some follow-through and an end to the “supply” story that has been so abundant over the last two years. The Trading Program transitioned from a short to long delta across the majority of the energy space throughout December.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Top contributors to performance within equities included the Bovespa (Brazil) and Russell 2000 Index. Profits were posted to the Fund in the middle of the quarter. The Trading Program entered February with an aggregate net short exposure and maintained bearish positioning throughout the month to varying degrees. The top contributions came from long VIX and short NSE Nifty positions. Losses were posted to the Fund at the end of the quarter. The Trading Program entered March with a moderate net short position exposure, but as volatility came in and the month progressed, the aggregate exposure transitioned to a moderate net long delta. A large move lower in volatility indices resulted in the VIX Index trading back to lows not seen since last year. Losses were posted to the Fund at the beginning of the second quarter. The equity sector detracted from performance, despite small gains from the U.S. The top detractor in the sector was the Swiss Market Index and the CAC. Losses were posted to the Fund in the middle of the second quarter as equity prices fell sharply at the start of April, primarily led by the decrease in financial stocks along with the resources sector taking a break from its impressive rebound off the lows since the start of the year. Losses were posted to the Fund at the end of quarter. The worst performing market in June was the DAX wherein the Trading Program started the month with short positions and ended with long positions by the end of June. Profits were posted to the Fund at the beginning of the third quarter due to the Trading Program’s short positions in VIX contracts. Profits were posted to the Fund in the middle of the quarter. Long exposure increased gradually throughout August and the Trading Program posted profits to the Fund with all regions trading by the Fund in positive territory. The top performers within the sector were the Trading Program’s short positions in the VIX and long positions in the DAX. Losses were posted to the Fund at the end of the quarter. There was volatility in September as the European Central Bank did not lengthen their QE program. Losses were posted to the Fund at the beginning of the fourth quarter. Despite some positive global economic data in October, notably in Europe, equities did not manage to gain any upside momentum. The Trading Program started and finished October with a similar net long exposure, but moves in both directions resulted in changes to delta levels throughout the month. The equities sector was a detractor to performance overall, with the short VIX contract leading the way in terms of negative performance. Losses were posted to the Fund in the middle of the fourth quarter. Mid-cap stocks were strongly bid in the U.S. during the month of November. Large-cap names also gained, to a lesser degree. Equities in Europe had a frustrating November with mostly sideways trading activity. Investors, still skeptical on growth prospects in Europe, would not commit to risk assets in the face of a pending Italian referendum, a December European Central Bank meeting and political risks to the status quo in both France and Germany in the foreseeable future.

Year ended December 31, 2015

	Total Trading
	Profit (Loss)
Stock Indices	$	633,810
Metals	1,056,715
Agricultural	(906,012		)
Currencies	(724,417		)
Energy	2,724,413
Interest Rates	3,717,299
Subtotal	6,501,808
Brokerage Commissions	(366,457		)
Total	$	6,135,351

The Fund experienced a net trading profit of $6,501,808 before brokerage commissions and related fees for the year ended December 31, 2015. The Fund’s profits were primarily attributable to interest rates, energy, metals, and stock indices sectors. The currency and agriculture sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Price action resulted from monetary policy actions by major central banks that led to a strong rally in bonds. The bond sector contained the majority of the best performing individual markets, with the U.S. 5 year note posting the strongest gains. Losses were posted to the Fund in the middle of the first quarter. February was difficult for fixed income, which experienced weak performance at the start of the month. However, after the Greek crisis found some resolution, European bonds traded lower in yield terms, particularly the German Bund and Italian BTPs. Elsewhere the U.S. and UK saw weakness in fixed income throughout February with yields rallying back to where they were at the start of the year. After the strong gains in fixed income in January, the Trading Program suffered a small relative loss on its fixed income positioning in February. Profits were posted to the Fund at the end of the first quarter. It was a tough start to March for fixed income which saw yields initially go higher. However with the European Central Bank ratcheting up bond purchases and a commitment to buying bonds even with negative yields, European bonds traded lower. In the U.S., treasuries found a buyer in the medium to long term part of the curve. Accordingly, the Fund benefited from its continued long bias to the sector. Losses were posted to the Fund at the beginning of the second quarter. In April, the fixed income sector saw a positive start as yields fell in major developed bond markets. However, a reversal towards the end of April erased performance, with yields in Germany rallying off the lows to end April. Losses were posted to the Fund in the middle of the second quarter. Losses were led by the bond sector as bond markets experienced volatility and price declines. Losses were posted to the Fund at the end of the second quarter. Long positioning across fixed income markets continued through June. German bonds continued to sell off in June. Investor concerns over liquidity and inventory levels played out in volatile short term moves. Long positioning in the Japanese 10 YR accounted for the biggest losses in the bond sector. Eurodollar was the largest detractor in the rates sector with varied exposure throughout June, ending June with long exposure. Profits were posted to the Fund at the beginning of the third quarter. In July, the Fund benefited from a long bias in bonds as bonds rallied towards the end of July. The largest positive contributor in the sector was the long EURO-BTP, with positive contributions from significant long positions in the U.S. 5 year and Japan 10 year bonds. The risk steadily increased throughout July. Profits were posted to the Fund in the middle of the third quarter. The Fund managed a positive return from fixed income in August, with the Eurodollar and the U.K. gilts amongst the best performers. Profits were posted to the Fund at the end of the third quarter. Short term interest rates were mainly seen in the Eurodollar and Brazilian contracts where both had large moves and resulted in strong positive performance. The Eurodollar moved higher after the Federal Open Market Committee meeting and continued to trend higher in September. Brazilian short term rates moved aggressively higher as the currency sold off to lows versus the U.S. dollar. Losses were posted to the Fund at the beginning of the fourth quarter. The market was in a general slump starting October ensuing from the Federal Reserve not raising rates in September. Losses were posted to the Fund in the middle of the fourth quarter. The Fund continued with its net long bond (short yields) positioning throughout November. The start of the month saw a strong rally in yields, however, this was short lived and the rest of the month saw a reverting move back in yields. This was especially apparent in Europe with German and Italian government bonds reverting to the lows of the year (in yield terms). The U.S. 10 year bond was slower to return to lower yield levels and closed November slightly higher. European bonds rallied and U.S. and Asian bonds ended the month in negative performance territory causing the fixed income space to post a negative return for the month. Long positioning in the EURO-BTP was the largest contributor. The Australian 10 year bond started the month with long exposure where it negatively contributed to performance, ending the month as the top detractor in the sector. Losses were posted to the Fund at the end of the fourth quarter. The Fund continued with its long

bonds (short yields) delta throughout December. The majority of the losses in the fixed income sector came from long exposure to European bonds in early December.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter as OPEC-induced over supply led to further declines in energy prices. Losses were posted to the Fund in the middle of the first quarter. Energy markets continued the rally which started in late January hurting the Fund’s short positioning in the sector. Profits were posted to the Fund at the end of the first quarter. Short Brent crude position was the significant source of profits. Losses were posted to the Fund at the beginning of the second quarter. In the energy sector, U.S. dollar weakness and tensions in the Middle East led to a positive environment for energy prices. Higher prices for West Texas Intermediate continued to put pressure on short positions. Losses were posted to the Fund in the middle of the second quarter. Losses were posted to the Fund at the end of the second quarter. Short positioning in energies proved difficult with short natural gas positions causing a drag on performance after prices came off their lows from early in June Profits were posted to the Fund at the beginning of the third quarter as the Fund saw significant contributions to performance from short positions in West Texas Intermediate and Brent crude. Negotiations between the U.S. and Iran resulted in implicit ramifications for oil markets, as traders anticipated an increase in supply if Iran is no longer subjected to an embargo. Profits resulted from this as the Fund was positioned to take advantage of the oil sell-off. Profits were posted to the Fund in the middle of the third quarter. Despite the strong price action, the Fund saw positive returns in a number of energy markets. Specifically, short positions in heating oil, West Texas Intermediate and Brent crude were amongst the top performing contracts. Profits were posted to the Fund at the end of the third quarter as West Texas Intermediate and Brent crude traded lower throughout September resulting in positive returns in energies that allowed the commodities complex to contribute positively to performance. Profits were posted to the Fund at the beginning of the fourth quarter. Due to intraday swings West Texas Intermediate and Brent crude were both detractors during October, with natural gas compensating for the losses resulting in a position return for the energy sector during October. Profits were posted to the Fund in the middle of the fourth quarter. The Fund’s short positions in crude and gas-related products traded lower in a straight-forward trend during November. Ongoing oversupply issues have contributed in driving prices of oil and related products lower. Profits were posted to the Fund at the end of the fourth quarter. The Fund benefited from short exposure, mainly in West Texas Intermediate and Brent crude oil as these contracts continued to trade lower. While the Trading Program reduced its energy exposure throughout December, it maintained a short bias and continued to benefit from weaker pricing environments.

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Profits were posted to the Fund in the middle of the first quarter. The commodities space suffered reversals in most sectors with only metals avoiding losses. Losses were posted to the Fund at the end of the first quarter. Although the metals sector contribution was essentially flat, this sector did produce losses. Losses were posted to the Fund at the beginning of the second quarter due to gold and silver being down in the face of U.S. dollar weakness. Losses were posted to the Fund in the middle of the second quarter due to the Fund’s short positioning in metals. Profits were posted to the Fund at the end of the second quarter. Metals were the lone positive performing sector, with copper and palladium among the top performing markets for the Fund in June. Profits were posted to the Fund at the beginning of the third quarter due the Fund’s short positions in copper. The Fund also took advantage of the often aggressive markdowns seen in gold. Profits were posted to the Fund in the middle of the third quarter due to the Fund’s short positioning in base metals, which provided small positive returns. Losses were posted to the Fund at the end of the quarter. The Fund saw slightly negative returns in metals in September, despite general weakness in the space. There was a strong bid mid-month that made it difficult to reap the benefits of lower prices. Platinum contributed positively to performance, but not enough to offset losses from copper, palladium, and gold. Losses were posted to the Fund at the beginning of the fourth quarter. The Fund started October net short and experiencing a short squeeze mainly prompted by Glencore reducing capacity in some mines and the strong showing from gold and silver at the start of the month, when the U.S. dollar was weak. The metals sector overall flipped from short to long positioning by the end of the month. Short positioning in platinum was the largest detractor in the sector. Profits were posted to the Fund in the middle of the fourth quarter. Base metals posted strong positive performance due to oversupply issues in connection with lower demand from China, especially in copper. Precious metals and silver both traded lower throughout November due to a strong U.S. dollar. A short platinum position benefited from this and was a top contributor for the month. Losses were posted to the Fund at the end of the fourth quarter. In metals, the short delta reduced in the first week of December and remained constant thereafter. A strong bid in the precious metals space was seen early in December, but this faded and gold and silver finished the month largely where they started. Industrial metals traded predominantly sideways during December after a long downward trend seen throughout the year.

The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter while profits were posted to the Fund in the middle of the quarter. European equities led the way, especially after a short term solution was found for Greece. However, all regions contributed to performance, with Europe and Asia strongest while U.S. equities made a comeback towards the end of February. Losses were posted to the Fund at the end of the first quarter as the Fund suffered modest losses from long positioning in a number of markets including the S&P as well as the

FTSE Index. Profits were posted to the Fund at the beginning of the second quarter. In April, the Fund maintained long exposure to the equities sector, favoring Asian and U.S. equities over EU equities for the majority of April. This regional diversification benefited performance, and despite an aggressive sell off towards the end of April, equities posted a positive return. Profits were posted to the Fund in the middle of the second quarter. Exposure remained fairly balanced across the three major regions, the United States, Europe and Asia, with U.S. equities posting positive performance. Losses were posted to the Fund at the end of the second quarter. The Fund maintained mixed exposures to equities throughout June but ended June with an overall aggregate short exposure. General weakness throughout June was apparent. The close of June brought about a downturn in European and U.S. equities resulting from concerns over Greece. The Shanghai Composite saw large daily swings in both directions. Short positioning in the VIX was among the worst performing positions in June. Losses were posted to the Fund at the beginning of the third quarter. In July, U.S. dollar strength, political instability and weakness in commodities led to poor performance from emerging market equities. Losses were posted to the Fund in the middle of the third quarter. The equities sector was the largest detractor from performance for August. Equities started August with net long exposure, however transitioned to net short by month-end. Despite a quiet start to August, global equities on aggregate plunged. This negative contribution was mainly due to a short position in the VIX, which was the largest detractor in the Fund for August. Losses were posted to the Fund at the end of the third quarter. September was generally a difficult month for short equity positions in all regions due to the short term squeeze that occurred after the Federal Open Market Committee meeting. Major indices did re-test the August lows towards the end of September, as news flow became very bearish on individual sectors like autos and commodities. Losses were posted to the Fund at the beginning of the fourth quarter. Throughout October equity volatility declined as central bankers talked up their respective stimulus packages which contributed to investors chasing equities higher. Despite the sector exposure flip to long positions losses were incurred on the short side. The largest detractor for the month was the long VIX position. Losses were posted to the Fund in the middle of the fourth quarter. The Fund made small positive returns in Asian and European equities, but this was overshadowed by losses in the U.S. and volatility futures. Short positioning in the VIX detracted most from performance. Losses were posted to the Fund at the end of the fourth quarter. The Fund approached the European Central Bank meeting in early December with net long equity exposure accumulated during a considerable risk rally in Europe ahead of the meeting. The shedding of risk seen in the market reaction after the European Central Bank did not expand quantitative easing transpired into the Fund cutting the net long exposure and building a net short delta throughout December. The net short exposure peaked mid-month and ended December with modest short exposure. U.S. equities did not fare much better after the U.S. Federal Reserve raised rates and U.S. equities reacted with volatility and finished the year on the defensive. European sector swaps followed by the VIX were the largest detractors from performance in the equity sector.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The currency sector also contributed positively to performance in January, though it contained some of the top and bottom performing individual markets for the Trading Program. The dollar staged a rally, with the Fund benefitting from a short Euro position. The Trading Program had largely removed the Swiss franc from its core strategies avoiding the negative impact from the decision by the Swiss National Bank to remove the currency cap against the Euro. Profits were posted to the Fund in the middle of the first quarter. The currencies sector contributed positively to returns with the U.S. dollar index finishing February higher albeit in a relatively tight range over the month. The Fund generated gains from both a short Japanese yen position as well as a long New Zealand dollar position. Profits were posted to the Fund at the end of the first quarter. The currency sector was a source of gains for the Fund as the U.S. dollar index continued to rally against a number of currencies, which led to an element of profit taking as March drew to a close. The Fund made positive returns from the currency space despite this profit taking into March month end and, in particular, short exposure to the Euro and Swedish krone were a source of gains. Losses were posted to the Fund at the beginning of the second quarter. The currency sector saw negative performance in April. Large volatility due to over positioning in short Euro and long U.S. dollar against many other currencies contributed to negative performance. Profits were posted to the Fund in the middle of the second quarter. The currency sector contributed positively in May. U.S. dollar strength against other currencies resulted in positive contribution from the sector. The short Japanese yen and Swedish krona forward positions were top contributors for the Fund. Losses were posted to the Fund at the end of the second quarter. Currencies were one of the worst performing sectors in June. For the most part, the U.S. dollar traded sideways throughout June. This was largely due to Euro/U.S. dollar appearing stuck in a small range for much of June despite equities and bonds both moving aggressively on Greek headlines. The short Swedish krona forward position was the largest detractor in the sector. Profits were posted to the Fund at the beginning of the third quarter. Currencies were one of the top positive contributors throughout July as short Swedish krona, followed by short Canadian dollar positions were the top contributors in the currencies space. Losses were posted to the Fund in the middle of the third quarter as slightly larger negative returns seen in developed currencies, specifically short Euro and Swedish krona positions, offset the positive gains and resulted in the sector’s negative performance. Losses were posted to the Fund at the end of the third quarter. Currencies overall detracted from performance in September. For the most part the U.S. dollar was flat in September, whereas some emerging market currencies saw declines as a result of political turmoil. The U.S. dollar finished September close to where it started, despite a mid-month dip, after the Federal Open Market Committee failed to raise rates which caused some profit-taking by longs. Losses were posted to the Fund at the beginning of the fourth quarter. The long

U.S. dollar versus a host of other pairs decreased slightly by the end of October with mixed moves. The U.S. dollar proved a very challenging trade in October with a sharp sell off at the beginning of the month being countered and showing some strength into the end of the month. Profits were posted to the Fund in the middle of the quarter. A major theme throughout November was a persistent and strong bid for the U.S. dollar. This fared well for the Fund as the Trading Program has generally been long the U.S. dollar against a variety of currencies. Throughout the month the aggregate exposure of the long U.S. dollar versus a number of currencies increased. The Fund ended November with a solid return which was contributed by both G-10 and emerging markets FX crosses. Losses were posted to the Fund at the end of the fourth quarter. The currency sector was a detractor to performance in December. The Fund maintained long exposure to the U.S. dollar versus a number of foreign currencies; however, this exposure decreased significantly throughout the month. A large squeeze was seen in Euro/U.S. dollar after the European Central Bank meeting, as investors rushed to take off short exposure to the Euro. Most of the U.S. dollar losses occurred all in one day on this aggressive move, and spent the rest of the month consolidating. Despite a change in monetary policy and the delivery of an anticipated rate rise, the U.S. dollar could only reclaim approximately half of the losses experienced on that day. The majority of the losses in December were from short exposure to Swedish krona and Euro versus U.S. dollar.

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter primarily from short exposure to wheat during January. Losses were posted to the Fund in the middle of the first quarter because of the Fund’s short positioning in crops which was to the detriment of Fund performance. Losses were posted to the Fund at the end of the first quarter. The Fund experienced modest losses in crops from a short bias to the sector. Profits were posted to the Fund at the beginning of the second quarter. In April agriculture was strong with gains in short corn and wheat positions, where both trended lower in the face of good supply and higher yields due to better weather. Losses were posted to the Fund in the middle of the second quarter as the crops sector was a detractor for May. Losses were posted to the Fund at the end of the second quarter. Short positioning in crops in the beginning of June largely contributed to the negative performance as adverse weather conditions fuelled a large rally towards the end of June. Short wheat and corn positions were large contributors to the negative performance in the crop sector. Losses were posted to the Fund at the beginning of the third quarter. Crops were a slight detractor on performance, mainly due to long soybean positions that flipped short at the end of July. Losses were posted to the Fund in the middle of the third quarter as crops detracted from performance in August mainly due to a short position in soybeans. Losses were posted to the Fund at the end of the third quarter. Crops detracted from performance, mainly due to short positioning in corn and wheat which experienced large short squeezes. Losses were posted to the Fund at the beginning of the fourth quarter. The Fund maintained net short positioning in agricultures. Short exposure in crops increased mainly by adding to the short positions in wheat and corn, while reducing longs in soymeal and soybean. Short live cattle was the top detractor in the sector due to the choppy trading environment. Profits were posted to the Fund in the middle of the fourth quarter. Profits were posted to the Fund at the end of the fourth quarter with crops ending December relatively flat and meats modestly down.

Year ended December 31, 2014

	Total Trading
	Profit (Loss)
Stock Indices	$	(3,739,088	)
Metals	(1,212,825		)
Agricultural	928,675
Currencies	1,517,178
Energy	(3,827,961		)
Interest Rates	16,399,286
Subtotal	10,065,265
Brokerage Commissions	(530,630		)
Total	$	9,534,635

The Fund experienced a net profit of $10,065,265 before brokerage commissions and related fees for the year ended December 31, 2014. Profits were primarily attributable to the Fund trading in the interest rate, currency and agriculture sectors posting profits. The metal, stock indices and energy sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The top performing individual markets fell in January within the fixed income sectors. The Fund’s strategy entered January with a small net long bias to the sector and added to this over the course of January, benefitting from the

flight out of risk assets into the safe haven of fixed income. Profits were posted to the Fund in the middle of the first quarter. The Fund’s small net long bias was maintained steadily through February. Losses were posted to the Fund at the end of the first quarter. Profits were posted to the Fund at the beginning of the second quarter. In April the U.S. Federal Reserve, European Central Bank, Bank of England and Bank of Japan all kept key interest rates unchanged. Peripheral yields in Europe continued to fall, and economic data improved modestly, but inflation remained low and medium-term inflation expectations also looked to have drifted lower. Profits were posted to the Fund in the middle of the second quarter as the short term interest rates sector benefitted from the general strength of fixed income markets. Profits were posted to the Fund at the end of the second quarter. In June the short term interest rate sector detracted slightly from performance, however this was more than offset by the positive contribution from the bond sector. Losses were posted to the Fund at the beginning of the third quarter as yields generally fell in Europe. Performance in the short term interest rate sector was influenced by changes in expectations of future rate changes, and detracted from performance. Profits were posted to the Fund in the middle of the third quarter. The Fund maintained its long positioning across many fixed income markets during August and benefitted as yields fell (prices rose), particularly in the developed markets where many benchmark yields fell, such as the German 10Y yield and the German 2Y yield. Losses were posted to the Fund at the end of the third quarter. The Trading Program reduced its long positioning across many fixed income markets during September, but the initial positions led to modest losses at the start of September as yields rose (prices fell), particularly in the U.S. Profits were posted to the Fund at the beginning of the fourth quarter. Positive performance in the fixed income sector was driven by long positioning across both bonds and short interest rates, and resulted in the sector producing each of the top three performing individual markets for the strategy. Positioning benefitted as prices rose in the first half October, and a gradual reduction in exposure then helped protect these gains as bond prices fell during the second half of October. Profits were posted to the Fund in the middle of the fourth quarter. Long positioning was moderately increased across fixed income markets during November, across both the bonds and short interest rates sectors, which benefitted strongly as yields declined in many markets. Profits were posted to the Fund at the end of the fourth quarter. Long positioning across fixed income markets was maintained during December, across both the bonds and short interest rates sectors. While bonds provided a positive contribution, the performance across individual markets was mixed and the sector contained some of the best and worst performing individual markets, with the Japanese government bonds and Italian BTP amongst the strongest and U.S. Treasuries amongst the weakest.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter as the U.S. dollar, as measured by the Dollar Index, rose in January. Looking across individual currency pairs, the Australian dollar and the Euro both weakened versus U.S. dollar while the Japanese yen strengthened. The sector detracted from performance in January with many moves representing a reversal of recent trends. Losses were posted to the Fund in the middle of the first quarter as the U.S. dollar, as measured by the Dollar Index, fell in February as most developed market currencies, Euro, British pound, Australian dollar and the Japanese yen rose against the U.S. dollar. The Fund held a net long bias to the U.S. dollar and although performance varied across currency pairs, the FX sector detracted from performance. Profits were posted to the Fund at the end of the first quarter. In currency markets the U.S. dollar was modestly stronger, as the Dollar index increased in March. In developed markets the Euro weakened against the U.S. dollar, as did the British pound. The Japanese yen also weakened while the Australian dollar strengthened. In emerging markets the Brazilian real and Russian ruble both strengthened, respectively. The FX sector was the largest positive contributor to performance, as persistent trends were identified and captured. Losses were posted to the Fund at the beginning of the second quarter due to the U.S. dollar being weaker, as several developed market currencies appreciated versus the dollar. In April the currency sector saw mixed returns, with prices of some major markets moving sideways or reversing the existing trends. The more difficult individual markets, detracting from performance, included NZD-USD and USD-JPY which both represented reversals of existing trends. The switch to overall net short positioning in U.S. dollar indicated a flexible response to broader market movements as the U.S. Dollar index (DXY) fell toward the end of April. Profits were posted to the Fund in the middle of the second quarter. In May the U.S. dollar strengthened. Profits were posted to the Fund at the end of the second quarter due to a strong individual contributor, NZD-USD, which having fallen in May rallied in June. Losses were posted to the Fund at the beginning of the third quarter due to weakening of several emerging market currencies. The EUR-USD and NZD-USD both experienced declines in July. Profits were posted to the Fund in the middle of the third quarter. The currency sector contributed positively to performance. The U.S. dollar generally strengthened against many major currencies, including the Euro, Japanese yen and New Zealand dollar but weakened slightly against the Australian dollar. Losses were posted to the Fund at the end of the third quarter. The currency sector contributed negatively to performance, as the accelerating movement in U.S. dollar strength led to losses in some currency pairs, including both Australian dollar and New Zealand dollar versus U.S. dollar. Profits were posted to the Fund at the beginning of the fourth quarter. The currencies sector contributed positively to performance overall, through a number of smaller contributions from individual markets. Short positioning in Euro and Japanese yen benefitted from a modest continuation of existing trends in both markets, with actions by the Bank of Japan, causing Japanese yen to notably weaken at the end of October. Profits were posted to the Fund in the middle of the fourth quarter. The currency sector provided one of the best performing individual markets through short positioning in JPY, which benefitted as the yen continued to weaken in response to actions by the Bank of Japan. Profits were posted to the Fund in the end of the fourth quarter. The U.S. dollar continued to strengthen, with the dollar index finishing December at its high for the

year, and the Euro continued to weaken, with EUR-USD finishing at its low for the year. The Fund switched its net U.S. dollar bias from a small short to long early in December and consequently benefitted from the moves.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter as wheat continued its decline falling during January. Profits were posted to the Fund in the middle of the first quarter as drought conditions in Brazil helped push the agricultural sector higher, including soybeans which were one of the top performing markets for the strategy. Profits were posted to the Fund at the end of the first quarter. The crops sector reacted to a bullish report from the U.S.D.A., particularly for soybeans and corn, while risks in Ukraine also impacted wheat, pushing prices higher. Profits were posted to the Fund at the beginning of the second quarter. In April the agricultural sector was active as prices of the benchmark contracts rose on higher than expected demand figures, adding to gains for corn, wheat and soybeans. Profits were posted to the Fund in the middle of the second quarter. Losses were posted to the Fund at the end of the second quarter. The crop sector detracted from returns as several markets, such as soybeans, saw sharp price movements. Soybean prices largely held in the same range for most of the second quarter, but then broke lower after data from the USDA showed high levels of planting and stockpiles. Profits were posted to the Fund at the beginning of the third quarter. The crops sector was a positive contributor as, having switched to a short bias, it was correctly positioned to benefit from the continued declines in prices, such as falling corn and wheat prices. Profits were posted to the Fund in the middle of the third quarter. Profits were posted to the Fund at the end of the third quarter. The crops sector contributed strongly as short positioning benefitted from a resumption of the downward trend that had developed in benchmark markets in the summer. Losses were posted to the Fund at the beginning of the fourth quarter. Previously established downward trends in the crops sector generally reversed course during October, and ran counter to the short positioning held by the strategy. This was exemplified by corn, which rose and was one of the bottom returning markets for the strategy during October. Losses were posted to the Fund in the middle of the fourth quarter. The crops sector detracted from the Fund, as most markets experienced choppy price during November. Losses were posted to the Fund in the end of the fourth quarter as rallies early in December tended to reverse by month end.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter as gold regained some of its safe haven status, up in January, while industrial metals tended to fall on weaker growth and demand expectations. Losses were posted to the Fund in the middle of the first quarter. Precious metals continued the trend from January with prices rising, while industrial metals were more subdued and registered small price gains as a group. Profits were posted to the Fund at the end of the first quarter. Fears of a slowdown in Chinese growth caused a sell-off in the copper market. Gold prices fell in March on reduced demand for the safe haven asset. Losses were posted to the Fund at the beginning of the second quarter. In April the metals sector was relatively range-bound. Metal prices generally recovered from the losses of March. Losses were posted to the Fund in the middle of the second quarter as gold was particularly weak as it lost ground in connection with a stronger dollar and rising risk appetites in general. Losses were posted to the Fund at the end of the second quarter. Profits were posted to the Fund at the beginning of the third quarter. In July the metals sector contributed small positive gains as base metal prices modestly extended recent gains. Losses were posted to the Fund in the middle of the third quarter. The metals sector detracted slightly with varied price movements across markets. Profits were posted to the Fund at the end of the third quarter. Losses were posted to the Fund at the beginning of the fourth quarter. Profits were posted to the Fund in the middle of the fourth quarter as the metal complex provided a modest positive contribution to the Fund. Losses were posted to the Fund at the end of the fourth quarter as markets experienced large ranges but small net moves in December.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The equity sector detracted from performance as markets retreated. In response to these market moves the Fund cut risk exposure to the sector. While the most significant price moves were seen in the Nikkei, other major indices such as the S&P 500, EuroStoxx and FTSE also experienced falls. Profits were posted to the Fund in the middle of the first quarter. The equity sector provided the largest contribution to performance in February. Long positioning of the Fund’s strategy benefitted from the strong equity markets, as investor risk appetite returned and the recent focus on emerging market concerns faded. Losses were posted to the Fund at the end of the first quarter as equity sector returns were mixed and demonstrated few persistent trends. Losses were posted to the Fund at the beginning of the second quarter due to price drops in stocks linked to the technology area. Long positioning was maintained in the equity sector during April, though with a reduced delta. Benchmark indices saw diverse returns, with muted performance in the S&P500 and NASDAQ; the Nikkei recorded loss; and the FTSE 100 recorded gain. Profits were posted to the Fund in the middle of the second quarter. In May the equities sector was a strong contributor to performance, with long positions benefitting from a widespread rally across benchmark contracts. Profits were posted to the Fund at the end of the second quarter. In June equity indices around the globe showed diverse performance, for example the S&P 500 and the Nikkei indices rose, while the FTSE and EuroStoxx indices fell. The Fund maintained a long bias to the equity sector through June. Profits were posted to the Fund at the beginning of the third quarter. The Fund saw a small gain coming from the equity sector, where it maintained a long bias through July. The exposure was trimmed towards July month end as many developed market indices lost ground in moves triggered by poor economic data

and flaring of geopolitical concerns. Profits were posted to the Fund in the middle of the third quarter as a long bias in the equity sector was maintained, and slightly increased through August. This benefitted the Trading Program as many equity markets recovered ground lost in July, and some such as the S&P 500, which broke through the 2000 level, reached new highs; though differentiation was still observed as a number of markets, notably in Asia, did not participate in the broader move. Losses were posted to the Fund at the end of the third quarter. A long bias in the equity sector was significantly reduced over September, and implemented broadly across geographies, helping to protect against the price falls that occurred across a number of markets. Losses were posted to the Fund at the beginning of the fourth quarter. A long bias in the equities sector was quickly reduced during October as a number of global markets initially fell. The strategy briefly reached a small net short positioning in equities, though this was not sustained as equity markets then generally rallied during the second half of October. The equities sector was the largest detractor from returns. Profits were posted to the Fund in the middle of the fourth quarter as the Trading Program increased its long bias in the equities sector during November, adding exposure to a number of markets globally and consequently benefitted from an extension of the rally that had taken hold during the latter half of October, particularly in major developed countries. Losses were posted to the Fund at the end of the fourth quarter. Political events influenced markets during December as Prime Minister Abe’s coalition was re-elected in Japan, while deadlock occurred in Greece’s presidential election. Economic data were mixed during December; with further improvement in U.S. labor markets highlighted by strong monthly payroll numbers, while growth momentum slowed in the Euro area and fuelled speculation that quantitative easing may still be necessary.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The energy complex was generally lower in January, with the exception of natural gas where the cold winter weather resulted in higher demand in the U.S. With the Fund’s strategy holding net long exposure to the sector, the general price fall in the sector resulted in it detracting from performance. Profits were posted to the Fund in the middle of the first quarter. In February, cold weather conditions in the U.S. lifted natural gas and heating oil prices. Crude oil prices resumed an upward move in February after recent price consolidation, with West Texas Intermediate rising. Losses were posted to the Fund at the end of the first quarter. An overall long bias was maintained in the energy sector in March, though reduced physical demand for crude oil and a modest sale of stocks by the U.S. limited any price reaction to the geopolitical risks linked to Russia. Natural gas prices fell back in March as forecasts predicted warming weather trends. Profits were posted to the Fund at the beginning of the second quarter. In April the energy sector was relatively range-bound, while natural gas was lifted by production issues arising in key supply areas. Profits were posted to the Fund in the middle of the second quarter due to oil prices moving higher. Profits were posted to the Fund at the end of the second quarter due to a strong contribution in performance from RBOB gasoline. Losses were posted to the Fund at the beginning of the third quarter. This was driven by two of the worst performing individual markets in July: WTI Crude and Gasoline RBOB. The crude oil and distillate markets reversed the previously established positive trend on improved supply estimates, despite the ongoing geopolitical tensions; this prompted a marked reduction in the Trading Program’s risk allocated to the sector. Losses were posted to the Fund in the middle of the third quarter. Long positioning in energies, particularly gasoline and crude oil, caused losses as price falls were extended through August on renewed supply availability and fears of economic weakness inducing lower demand. Losses were posted to the Fund at the end of the third quarter. Losses were posted to the Fund at the beginning of the fourth quarter. Mixed results occurred in the energy sector, as individual markets provided both winning and losing positions, to result in a net loss. Losses were posted to the Fund in the middle of the fourth quarter. The energy sector detracted as large price movements and volatility were seen in many markets. During November crude oil declined, following OPEC’s decision to maintain production levels. Profits were posted to the Fund at the end of the fourth quarter as most energy markets continued to build on the moves witnessed in December, with WTI and Brent crude down.

Variables Affecting Performance

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

The Fund generally earns interest based on BofA Corp.’s “Interest Earning Program.” The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%, except for the currencies designated by MLPF&S as “negative interest rate currencies,” see Item 1(c) “Narrative Description of Business—Cash Management and Interest.” 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 management fees and Sponsor fees are a constant percentage of Fund’s assets. Brokerage commissions, which are not based on a percentage of the Fund’s assets, are based on actual round turns. The performance fees payable to the Trading Advisor are based on increase in the aggregate Net Asset Value of Classes of Units subject to the same rate of performance fees in excess of the High Water Mark, excluding interest and prior to reduction for Sponsor fees.

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 Fund are highly liquid and can be closed out at any time.

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

Liquidity; Capital Resources

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

Substantially all of the Fund’s assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit or loss potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow. The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

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

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

Recent Accounting Developments

Recent accounting developments, if any, are discussed in the notes to the financial statements, which are included in Exhibit 13.01.

Item 7A: Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

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

The Fund, under the direction of the Trading Advisor, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.

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

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal periods. During the years ended December 31, 2016 and 2015, the Fund’s average month-end Net Asset Value was approximately $26,601,118 and $60,251,788, respectively.

December 31, 2016

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

Agriculture	$	462,796	1.74	%	$	635,249	$	237,064
Currencies	647,704		2.43	%	1,556,554		222,693
Energy	219,635		0.83	%	694,553		27,659
Interest Rates	960,276		3.61	%	1,998,400		267,829
Metals	93,426		0.35	%	177,809		42,819
Stock Indices	294,644		1.11	%	887,080		59,708

Total	$	2,678,481	10.07	%	$	5,949,645	$	857,772

December 31, 2015

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

Agriculture	$	172,028	0.29	%	$	570,512	$	41,374
Currencies	709,862		1.18	%	1,566,819		204,561
Energy	469,715		0.78	%	773,828		188,453
Interest Rates	3,347,087		5.56	%	6,155,945		1,164,038
Metals	500,090		0.83	%	1,151,277		70,754
Stock Indices	665,788		1.11	%	1,344,426		199,252

Total	$	5,864,570	9.75	%	$	11,562,807	$	1,868,432

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

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

Non-Trading Risk

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

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by

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

The following were the primary trading risk exposures of the Fund as of December 31, 2016, by market sector.

Interest Rates

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

Currencies

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

Stock Indices

The Fund’s primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

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

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, corn, and grains accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of December 31, 2016.

Energy

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of December 31, 2016.

Foreign Currency Balances

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

U.S. Dollar Cash Balance

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.

Risk Management

The management of risk is an integral part of the Trading Program. The Trading Advisor’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 the Trading Advisor’s expectation of the risk that the positions will provide, rather than the amount of capital required to fund the positions.

Non-Trading Risk

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

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

Item 8: Financial Statements and Supplementary Data

The following quarterly information is unaudited.

	Fourth			Third			Second			First		Fourth			Third		Second			First
	Quarter			Quarter			Quarter			Quarter		Quarter			Quarter		Quarter			Quarter
	2016			2016			2016			2016		2015			2015		2015			2015
Total Income (Loss)	$	(439,974	)	$	(1,845,830	)	$	(2,543,550	)	$	3,123,546	$	(1,142,951	)	$	3,694,647	$	(7,393,578	)	$	10,979,237
Total Expenses	229,481			$	329,018		$	(137,506	)	993,111		305,911			683,855		(708,638		)	2,553,172
Net Income (Loss)	$	(669,456	)	$	(2,174,848	)	$	(2,406,044	)	$	2,130,435	$	(1,448,862	)	$	3,010,792	$	(6,684,940	)	$	8,426,065
Net Income (Loss) per weighted average Unit (1)	$	(0.0289	)	$	(0.0842	)	$	(0.0859	)	$	0.0665	$	(0.0322	)	$	0.0654	$	(0.1220	)	$	0.1141

(1) 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 Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the year which ended December 31, 2016, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Management’s Annual Report on Internal Control over Financial Reporting:

The Fund’s management is responsible for establishing and maintaining adequate internal control over financial reporting. The Fund’s internal control over financial reporting is a process designed under the supervision of MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund and is effected by management, other personnel and service providers to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles and included those policy and procedures that:

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

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

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

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

The Fund’s management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2016. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control — Integrated Framework (2013).

Based on its assessment the Fund’s management concluded that at December 31, 2016, 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 (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended December 31, 2016 that has materially affected, or is reasonably 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:

The Fund has no officers or directors and is managed by MLAI. Trading decisions are made by the Trading Advisor on behalf of the Fund.

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

Nancy Fahmy	Chief Executive Officer, President and Manager

Barbra E. Kocsis	Chief Financial Officer and Vice President

Dominick A. Carlino	Vice President and Manager

Ninon Marapachi	Vice President and Manager

Jeff McGoey	Vice President and Manager

Greg Parets	Vice President and Manager

John V. Leale	Vice President and Manager

Nancy Fahmy, age 42, has been the Chief Executive Officer and President of MLAI since October 2015 and is also head of Alternative Investments for the Global Wealth and Retirement Solutions group (“GWRS”), which is a business unit within the BofA Corp. Global Wealth & Investment Management group (“GWIM”), a division within BofA Corp. The Alternative Investments group is responsible for providing advisors and clients with access to a range of platforms and investments solutions including hedge funds, private equity, managed futures and precious metals. Since January 2014, she has been a member of MLAI’s Board of Managers. Prior to her appointment as the head of the Alternative Investment group in July 2015, Ms. Fahmy was a Managing Director within GWIM, and responsible for private equity and real assets origination and distribution within MLAI since December 2012. She joined MLAI as a Director in April 2006 and was head of private equity and real assets origination and distribution from that date to December 2012. In these capacities, Ms. Fahmy was responsible for a team of private equity and real assets specialists that worked with financial advisors, portfolio managers and clients to educate and raise capital. Ms. Fahmy holds a B.S. degree in Business Administration and Finance with a minor in Economics from the University of Delaware.

Ms. Fahmy has been registered with the CFTC as an associated person of MLAI since October 22, 2015, and she has been listed as a principal of MLAI since January 9, 2014. Ms. Fahmy has been a NFA associate member and registered as an associated person of MLPF&S since October 2015.

Barbra E. Kocsis, age 50, is the Chief Financial Officer for MLAI and is a Director within BofA Corp.’s Global Technology and Operations group, positions she has held since October 2006. Ms. Kocsis’ responsibilities include providing a full range of specialized financial and tax accounting services for the Alternative Investment products offered through the Selling Agent. She graduated cum laude from Monmouth College with a Bachelor of Science in Business Administration — Accounting.

Ms. Kocsis has been listed with the CFTC as a principal of MLAI since May 21, 2007.

Dominick A. Carlino, age 44, has been a Managing Director of MLAI since April 2016, and the head of heading Relationship Management and Business Development Distribution for MLAI, since May 2013. In his role, he is responsible for enhancing and driving relationships between MLAI and key asset management partners. Mr. Carlino was on a garden leave from July 2012 through May 2013. Prior to joining Merrill Lynch, Mr. Carlino was Senior Managing Director and Head of Business Development at AlphaOne Capital Partners LLC, an equity-focused alternative asset management firm, from March 2011 through July 2012. From April 2005 through March 2011, he served as an Executive Director within

Morgan Stanley Alternative Investment Partners LP, a registered commodity pool operator, focused on business development and distribution. Mr. Carlino holds an M.B.A. and a B.S. degree in Finance from Villanova University.

Mr. Carlino has been listed as a principal of MLAI since January 2, 2014.

Ninon Marapachi, age 39, has been the head of the Hedge Fund Origination and Product Management team within the BofA Corp. Alternative Investments Group, a division within BofA Corp. that provides investment professionals and their clients with access to investment products and other services, since September 2008. Her team is responsible for sourcing, structuring, negotiating and managing hedge funds and managed futures products on GWRS’ hedge fund platform. Ms. Marapachi graduated magna cum laude with a B.A. degree in Economics from Mount Holyoke College.

Ms. Marapachi has been listed as a principal of MLAI since January 3, 2014. She has been an NFA associate member since February 2011 and registered as an associated person of MLPF&S since March 2011.

Jeff McGoey, age 40, has been a Director within GWRS responsible for Alternative Investment Platform Oversight for BofA Corp. since December 2010. Mr. McGoey had portfolio oversight of ten derivative based closed end funds from March 2009 through December 2010. Within GWRS Alternative Investments, from May 2008 through December 2010, Mr. McGoey was a Vice President holding various roles including hedge fund and private equity origination, exchange fund and customized fund oversight, and managing various strategic initiatives across the organization. Mr. McGoey is a CFA Charter holder, maintains the CAIA designation and holds a B.A. degree in Economics from Rutgers College in New Jersey.

Mr. McGoey has been listed as a principal of MLAI since January 13, 2014.

Greg Parets, age 40, has been Head of Cross Platform Initiatives for the Alternative Investments Group of GWIM since June 2013. Mr. Parets joined BofA Corp. in September 2010 as Head of Strategic Initiatives in the Alternative Investments Group’s Origination & Product Management team and remained in this role until June 2013. In this role, he led creation and implementation of an industry-leading platform to offer hedge funds, managed futures, and select private equity funds to advisory accounts. Mr. Parets graduated summa cum laude from The George Washington University with a B.B.A. degree in International Business and cum laude from Harvard Law School with a J.D.

Mr. Parets has been listed as a principal of MLAI since January 2, 2014.

John V. Leale, age 55, is a Director and serves as the Head of the Private Equity and Real Assets Product Origination within BofA Corp. Mr. Leale joined the Alternative Investments group within GWIM in May 2014 and along with his team is responsible for identifying and developing illiquid fund offerings which include private equity, real assets, credit and special situations. Prior to joining Merrill Lynch, Mr. Leale was the head of Private Equity Product Development for Morgan Stanley Wealth Management since 2009. Mr. Leale is a graduate of St. Peter’s University.

Mr. Leale has been listed as a principal of MLAI since March 1, 2017.

MLAI acts as the sponsor and manager to three public futures funds whose units of limited liability company interests are registered under the Securities Exchange Act: Aspect FuturesAccess LLC, ML BlueTrend FuturesAccess LLC, and ML Winton FuturesAccess LLC. Because MLAI serves as the sole sponsor and manager of each of these funds, the officers and managers of MLAI effectively manage them as officers and directors of such funds.

None.

(d) Family Relationships:

None.

(e) Business Experience:

See Items 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:

To the Fund’s knowledge, all required Section 16(a) filings during the fiscal year ended December 31, 2016 were timely and correctly made.

Code of Ethics:

MLAI and BofA Corp. 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 a 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 Fund does not have any officers or employees. The managers and officers of MLAI are remunerated by BofA Corp. in their respective positions. The managers and officers do not receive compensation from the Fund. The Fund pays Sponsor fees to MLAI and brokerage commissions to MLPF&S, which is a BofA Corp. affiliate. MLAI also receives a portion of the management fees. MLAI or BofA Corp. affiliates may also receive certain economic benefits from possession of the Fund’s U.S. dollar assets. See Item 1(c) “Narrative Description of Business—Description of Current Charges.”

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 represent limited liability company interests. The Fund is managed by its Manager, MLAI.)

(b) Security Ownership of Management:

MLAI owns 100 Class D Units which represent less than 1% of the Fund’s Net Asset Value. The managers and executive officers of MLAI do not own any Units.

None.

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

Not applicable.

Item 13: Certain Relationships and Related Transactions and Director Independence

See Item 1(c) “Narrative Description of Business—Description of Current Charges” regarding certain fee arrangements with respect to the Fund and MLAI or other BofA Corp. affiliates.

Director Independence:

No person who served as a manager of MLAI during 2016 could 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 directly to the Fund 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, 2016 and 2015 were $182,400 and $182,400, respectively.

(b) Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, 2016 and 2015 related to the Fund.

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2016 and 2015 for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning.

(d) All Other Fees

No other fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2016 and 2015 for professional services rendered to the Fund, other than as set forth in the preceding paragraph (a).

(e) 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 services prior to the commencement of services.

PART IV

Item 15: Exhibits, Financial Statement Schedules

		Page

1.	Financial Statements (found in Exhibit 13.01):

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM		1

FINANCIAL STATEMENTS:

Statements of Financial Condition as of December 31, 2016 and 2015		2

Statements of Operations for the years ended December 31, 2016, 2015 and 2014		3

Statements of Changes in Members’ Capital for the years ended December 31, 2016, 2015 and 2014		4

Financial Data Highlights for the years ended December 31, 2016, 2015 and 2014		6

Notes to Financial Statements		9

2.	Financial Statement Schedules:

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

3.	Exhibits:

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

Designation		Description

3.01		Certificate of Formation of ML BlueTrend FuturesAccess LLC.

Exhibit 3.01:		Is incorporated by reference from Exhibit 3.01 contained in the registrant’s Registration Statement on Form 10 filed on September 29, 2009 (“Registration Statement”).

3.02		Third Amended and Restated Limited Liability Company Operating Agreement of ML BlueTrend 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 December 6, 2012.

3.03		Amendment to the Third Amended and Restated Limited Liability Company Operating Agreement of ML BlueTrend FuturesAccess LLC.

Exhibit 3.03:		Is incorporated by reference from Exhibit 3.02(i) contained in the registrant’s Report on Form 8-K filed on November 13, 2013.

3.04		Amendment to the Third Amended and Restated Limited Liability Company Operating Agreement of ML BlueTrend FuturesAccess LLC.

Exhibit 3.04:		Is incorporated by reference from Exhibit 3.02(i) contained in the registrant’s Report on Form 8-K filed on April 9, 2015.

10.01		Customer Agreement between ML BlueTrend FuturesAccess LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated.

Exhibit 10.01:		Is incorporated by reference from Exhibit 10.1 contained in the Registration Statement.

10.02		Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and BlueCrest Capital Management LLP.

Exhibit 10.02:		Is incorporated by reference from Exhibit 10.02 contained in the registrant’s Report on Form 10-K for the year-ended December 31, 2010, filed on March 15, 2011.

10.03		Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and BlueCrest Capital Management LLP.

Exhibit 10.03:		Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Report on Form 8-K filed on May 9, 2011.

10.04		Novation and Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC, BlueCrest Capital Management LLP and BlueCrest Capital Management Limited.

Exhibit 10.04:		Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Report on Form 8-K filed on August 6, 2014.

10.05		Novation and Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC, BlueCrest Capital Management Limited and Systematica Investments Limited.

Exhibit 10.05:		Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Report on Form 8-K filed on January 7, 2015.

10.06		Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and Systematica Investments Limited.

Exhibit 10.06:		Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Report on Form 8-K filed on February 5, 2015.

10.07		Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and Systematica Investments Limited.

Exhibit 10.07:		Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Report on Form 8-K filed on June 8, 2015.

13.01		2016 Annual Report and Report of Independent Registered Public Accounting Firm.

Exhibit 13.01:		Is filed herewith.

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

Exhibit 31.01 and 31.02:		Are filed herewith.

32.01 and 32.02		Section 1350 Certifications.

Exhibit 32.01 and 32.02:		Are filed herewith.

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.

101		The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016 formatted in XBRL (Extensible Business Reporting Language): ( i )Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

Exhibit 101		Is filed herewith.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized on March 17, 2017.

ML BLUETREND FUTURESACCESS LLC
By:	MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, MANAGER
By:	/s/Nancy Fahmy
Nancy Fahmy
Chief Executive Officer and President
(Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Signature	Title	Date

/s/Nancy Fahmy	Chief Executive Officer, President and Manager	March 17, 2017
Nancy Fahmy	(Principal Executive Officer)

/s/ Barbra E. Kocsis	Chief Financial Officer and Vice President	March 17 2017
Barbra E. Kocsis	(Principal Financial Officer)

/s/Dominick A. Carlino	Vice President and Manager	March 17, 2017
Dominick A. Carlino

/s/Ninon Marapachi	Vice President and Manager	March 17, 2017
Ninon Marapachi

/s/Jeff McGoey	Vice President and Manager	March 17, 2017
Jeff McGoey

/s/ Greg Parets	Vice President and Manager	March 17, 2017
Greg Parets

/s/ John V. Leale	Vice President and Manager	March 17, 2017
John V. Leale

ML BLUETREND FUTURESACCESS LLC

2016 FORM 10-K

INDEX TO EXHIBITS

		Exhibit

Exhibit 13.01		2016 Annual Report 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

Exhibit 101		The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

ML BlueTrend FuturesAccess LLC 10-K