UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C.20549

FORM 10-Q

x Quarterly report pursuant to Section 13 or 15(d) of the Securities

Exchange Act of 1934

For the quarterly period ended September 30, 2013

o Transition report pursuant to Section 13 or 15(d) of the Securities

Exchange Act of 1934

For the transition period from ____________ to _____________

COMMISSION FILE NUMBER 0-49767

MLM INDEX™ FUND

(Exact name of registrant as specified in its charter)

DELAWARE		Unleveraged Series: 22-2897229
		Leveraged Series: 22-3722683
		Commodity L/N Unleveraged Series: 27-1198002
		Commodity L/S Unleveraged Series: 20-8806944

(State or other jurisdiction of incorporation or organization)		(IRS Employer Identification Number)

405 South State Street, Newtown, PA

(Address of principal executive offices)

18940

(Zip Code)

(267) 759-3500

(Registrant's telephone number including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

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, and (2) has been subject to such filing requirements for the past 90 days.

Yes x

No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x

No o

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

Large Accelerated Filer o

AcceleratedFiler o

Non-Accelerated Filer x

Smaller Reporting Company o

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

PART I – FINANCIAL INFORMATION
		Page Number
Item 1	Unaudited Condensed Financial Statements:
MLM Index™ Unleveraged Series		4-10
MLM Index™ Leveraged Series		11-17
MLM Commodity L/N Unleveraged Series		18-24
MLM Commodity L/S Unleveraged Series		25-31
Total Trust		32-38
Notes to Unaudited Condensed Financial Statements		39-51
Item 2	Management’s Discussion and Analysis of Financial Condition and Results of Operations	52-56
Item 3	Quantitative and Qualitative Disclosures of Market Risk	56-58
Item 4	Controls and Procedures	58-59

PART II – OTHER INFORMATION
Item 1	Legal Proceedings	60
Item 1A	Risk Factors	60
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	60
Item 3	Defaults Upon Senior Securities	60
Item 4	Mine Safety Disclosures	60
Item 5	Other Information	60
Item 6	Exhibits	61

ASSETS	September 30, 2013		December 31, 2012

Cash and cash equivalents	$	41,160,101	$	36,597,519
Due from broker		3,391,718		4,393,610
Interest receivable		77,640		13

Total assets	$	44,629,459	$	40,991,142

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	353,916	$	411,125
Net unrealized loss on open futures contracts, at fair value		128,261		175,591
Brokerage commissions payable		15,523		14,282
Management fee payable		20,161		18,615
Subscriptions received in advance		30,000		1,950,000
Accrued expenses		16,961		7,252

Total liabilities		564,822		2,576,865

Investors’ interest		44,064,637		38,414,277

Total liabilities and investors’ interest	$	44,629,459	$	40,991,142

Description	Number of Contracts			Unrealized gain (loss)			Percentage of investors’ interest

Futures*

Long futures contracts
Financial		59		$	209,806			0.48	%
Commodity		42			(144,273	)		(0.33	)
		101			65,533			0.15
Short futures contracts
Financial		(173	)		(331,419	)		(0.75	)
Commodity		(193	)		137,625			0.31
		(366	)		(193,794	)		(0.44	)

Net unrealized loss on open futures contracts, at fair value				$	(128,261	)		(0.29	)%

	For the three months ended September 30, 2013			For the three months ended September 30, 2012			For the nine months ended September 30, 2013			For the nine months ended September 30, 2012
Investment income
Interest	$	3,693		$	8,095		$	17,966		$	16,754

Expenses
Brokerage commissions		48,774			49,076			144,975			142,667
Management fee		61,593			58,707			180,347			170,174
Operating expenses		50,665			49,531			148,035			140,488

Total expenses		161,032			157,314			473,357			453,329

Net investment loss		(157,339	)		(149,219	)		(455,391	)		(436,575	)

Realized and unrealized gain (loss) on investments
Net realized gain (loss) on investments		357,848			(1,667,720	)		(998,403	)		(2,053,970	)
Net change in unrealized depreciation and appreciation on investments		(400,021	)		229,855			52,648			36,704
Net realized and unrealized loss on investments		(42,173	)		(1,437,865	)		(945,755	)		(2,017,266	)

Net loss	$	(199,512	)	$	(1,587,084	)	$	(1,401,146	)	$	(2,453,841	)

	Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Total Unleveraged Series
Investors’ interest at December 31, 2012	$	2,677,401		$	3,111,377		$	53,171		$	32,572,328		$	38,414,277
Subscriptions		─			─			─			16,995,000			16,995,000
Redemptions		(1,001,617	)		(2,193,199	)		(50,416	)		(6,698,262	)		(9,943,494	)
Net loss		(87,500	)		(73,680	)		(1,590	)		(1,238,376	)		(1,401,146	)
Investors’ interest at September 30, 2013	$	1,588,284		$	844,498		$	1,165		$	41,630,690		$	44,064,637

Shares at December 31, 2012		25,400			25,686			500			295,650
Subscriptions		─			─			─			156,624
Redemptions		(9,669	)		(18,461	)		(489	)		(62,058	)
Shares at September 30, 2013		15,731			7,225			11			390,216
Net asset value per share: September 30, 2013	$	100.97		$	116.91		$	102.52		$	106.69

	September 30, 2013			September 30, 2012

Cash flows from operating activities
Net loss	$	(1,401,146	)	$	(2,453,841	)
Adjustments to reconcile net loss to net cash and cash equivalents used in operating activities
Net change in operating assets and liabilities
Due from broker		1,001,892			2,068,361
Net unrealized gain on open futures contracts		(47,330	)		(38,112	)
Interest receivable		(77,627	)		(48	)
Brokerage commissions payable		1,241			(194	)
Management fee payable		1,546			2,363
Accrued expenses		9,709			762

Net cash and cash equivalents used in operating activities		(511,715	)		(420,709	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		15,075,000			8,940,453
Redemptions paid		(10,000,703	)		(3,495,305	)

Net cash and cash equivalents provided by financing activities		5,074,297			5,445,148

Net increase in cash and cash equivalents		4,562,582			5,024,439

Cash and cash equivalents at beginning of period		36,597,519			30,453,037

Cash and cash equivalents at end of period	$	41,160,101		$	35,477,476
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	353,916		$	249,110
Subscriptions recorded which were received in advance	$	1,950,000		$	245,000

Description	Number of contracts			Unrealized gain (loss)			Percentage of investors’ interest

Futures*

Long futures contracts
Financial		29		$	98,254			1.34	%
Commodity		22			(70,746	)		(0.96	)
		51			27,508			0.38

Short futures contracts
Financial		(87	)		(164,329	)		(2.24	)
Commodity		(98	)		75,026			1.02
		(185	)		(89,303	)		(1.22	)

Net unrealized loss on open futures contracts, at fair value				$	(61,795	)		(0.84	)%

	Class D Shares			Class E Shares			Total Commodity L/N Unleveraged Series
Investors’ interest at December 31, 2012	$	71,782,634		$	37,485,428		$	109,268,062
Subscriptions		5,523,122			20,015,348			25,538,470
Net loss		(3,440,809	)		(2,119,165	)		(5,559,974	)
Investors’ interest at September 30, 2013	$	73,864,947		$	55,381,611		$	129,246,558

Shares at December 31, 2012		740,605			400,000
Subscriptions		58,790			218,735
Shares at September 30, 2013		799,395			618,735
Net asset value per share: September 30, 2013	$	92.40		$	89.51

	Total Commodity L/N Unleveraged Series Class D
Investors’ interest at December 31, 2011	$	78,033,330
Subscriptions		400,000
Net loss		(2,807,126	)
Investors’ interest at September 30, 2012	$	75,626,204

Shares at December 31, 2011		727,111
Subscriptions		3,632
Shares at September 30, 2012		730,743
Net asset value per share: September 30, 2012	$	103.49

Description	Number of contracts			Unrealized (loss) gain			Percentage of investors’ interest

Futures*

Long futures contracts
Commodity		145		$	(478,260	)		(1.27	)%

Short futures contracts
Commodity		(666	)		544,084			1.44

Net unrealized gain on open futures contracts, at fair value				$	65,824			0.17	%

Description	Number of contracts			Unrealized (loss)			Percentage of investors’ interest

Futures*
Long futures contracts
Commodity		396		$	(833,289	)		(1.78	)%

Short futures contracts
Commodity		(501	)		(90,611	)		(0.19	)

Net unrealized loss on open futures contracts, at fair value				$	(923,900	)		(1.97	)%

	Total Commodity L/S Unleveraged Series
Investors’ interest at December 31, 2012	$	46,937,636
Subscriptions		11,500,000
Redemptions		(19,038,470	)
Net loss		(1,687,321	)
Investors’ interest at September 30, 2013	$	37,711,845

Shares at December 31, 2012		530,192
Subscriptions		133,049
Redemptions		(223,267	)
Shares at September 30, 2013		439,974
Net asset value per share: September 30, 2013	$	85.71

	Total Commodity L/S Unleveraged Series
Investors’ interest at December 31, 2011	$	45,873,081
Subscriptions		15,300,000
Redemptions		(511,710	)
Net loss		(10,160,934	)
Investors’ interest at September 30, 2012	$	50,500,437

Shares at December 31, 2011		401,233
Subscriptions		133,406
Redemptions		(4,447	)
Shares at September 30, 2012		530,192
Net asset value per share: September 30, 2012	$	95.25

	Total investor interest ($100 par value per share)
Investors’ interest at December 31, 2012	$	214,658,080
Subscriptions		54,123,470
Redemptions		(40,417,844	)
Net loss		(10,001,943	)
Investors’ interest at September 30, 2013	$	218,361,763

	Total investor interest ($100 par value per share)
Investors’ interest at December 31, 2011	$	192,619,647
Subscriptions		24,646,443
Redemptions		(5,508,481	)
Net loss		(20,474,268	)
Investors’ interest at September 30, 2012	$	191,283,341

September 30, 2013	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Institutional Treasury Money Market Fund	$	1,756,000	$	4,000	$	736,000	$	3,000	$	2,499,000
U.S. Government Agency Securities		39,329,399		1,049,983		123,878,438		32,729,326		196,987,146
Cash		73,424		18,045		156,417		64,310		312,196
Cash in Checking Account		1,278		1,895		1,167		1,177		5,517
Total	$	41,160,101	$	1,073,923	$	124,772,022	$	32,797,813	$	199,803,859

December 31, 2012	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Institutional Treasury Money Market Fund	$	2,131,000	$	106,000	$	5,854,000	$	2,810,000	$	10,901,000
U.S. Government Agency Securities		34,448,123		13,909,442		95,046,037		40,898,280		184,301,882
Cash		16,612		21,661		34,297		30,459		103,029
Cash in Checking Account		1,784		1,115		1,934		1,878		6,711
Total	$	36,597,519	$	14,038,218	$	100,936,268	$	43,740,617	$	195,312,622

	Unleveraged, Commodity L/N Unleveraged Series, and Commodity L/S Unleveraged Series
	Brokerage fee	Management fee	Organizational fee	Operating expense	Selling expense	Total fees and commissions

Class A	N/A**	2.70%	N/A*	N/A**	4.00%	6.70%
Class B	N/A**	1.70%	N/A*	N/A**	N/A	1.70%
Class C	N/A**	1.75%	N/A	N/A**	4.00%	5.75%
Class D	N/A**	1.25%	N/A	N/A**	N/A	1.25%
Class E	N/A**	1.00%	N/A	N/A**	N/A	1.00%

	Leveraged, Commodity L/N Leveraged and Commodity L/S Leveraged Series
	Brokerage fee	Management fee	Organizational fee	Operating expense	Selling expense	Total fees and commissions

Class A	N/A**	4.90%	N/A*	N/A**	4.00%	8.90%
Class B	N/A**	3.40%	N/A*	N/A**	N/A	3.40%
Class C	N/A**	3.30%	N/A	N/A**	4.00%	7.30%
Class D	N/A**	2.55%	N/A	N/A**	N/A	2.55%
Class E	N/A**	2.00%	N/A	N/A**	N/A	2.00%

	September 30, 2013					December 31, 2012
Leveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	108,717	$	(174,792	)	$	198,609	$	(163,539	)
Commodity futures		129,675		(125,395	)		132,411		(429,210	)
Total	$	238,392	$	(300,187	)	$	331,020	$	(592,749	)

	September 30, 2013					December 31, 2012
Commodity L/N Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	─	$	(1,642,257	)	$	332,947	$	(2,283,216	)
Total	$	─	$	(1,642,257	)	$	332,947	$	(2,283,216	)

	September 30, 2013					December 31, 2012
Commodity L/S Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	886,499	$	(820,675	)	$	427,747	$	(1,351,647	)
Total	$	886,499	$	(820,675	)	$	427,747	$	(1,351,647	)

	Three months ended September 30, 2013								Three months ended September 30, 2012
Unleveraged	Realized		Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	177,709	$	(301,242	)	$	(123,533	)	$	(232,712	)	$	53,826	$	(178,886	)
Commodity futures		180,139		(98,332	)		81,807			(1,435,008	)		165,664		(1,269,344	)
Total	$	357,848	$	(399,574	)	$	(41,726	)	$	(1,667,720	)	$	219,490	$	(1,448,230	)

	Three months ended September 30, 2013								Three months ended September 30, 2012
Leveraged	Realized		Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	105,806	$	(169,569	)	$	(63,763	)	$	(425,663	)	$	105,305	$	(320,358	)
Commodity futures		109,116		(42,115	)		67,001			(3,022,378	)		395,301		(2,627,077	)
Total	$	214,922	$	(211,684	)	$	3,238		$	(3,448,041	)	$	500,606	$	(2,947,435	)

	Three months ended September 30, 2013						Three months ended September 30, 2012
Commodity L/N	Realized		Unrealized		Total		Realized			Unrealized			Total
Commodity futures	$	1,348,420	$	543,354	$	1,891,774	$	(561,637	)	$	(107,967	)	$	(669,604	)
Total	$	1,348,420	$	543,354	$	1,891,774	$	(561,637	)	$	(107,967	)	$	(669,604	)

	Three months ended September 30, 2013							Three months ended September 30, 2012
Commodity L/S	Realized		Unrealized			Total		Realized			Unrealized		Total
Commodity futures	$	476,242	$	(232,884	)	$	243,358	$	(7,988,048	)	$	1,029,087	$	(6,958,961	)
Total	$	476,242	$	(232,884	)	$	243,358	$	(7,988,048	)	$	1,029,087	$	(6,958,961	)

	Nine months ended September 30, 2013									Nine months ended September 30, 2012
Unleveraged	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	(681,784	)	$	(143,248	)	$	(825,032	)	$	(336,789	)	$	20,962	$	(315,827	)
Commodity futures		(316,619	)		190,578			(126,041	)		(1,717,181	)		17,150		(1,700,031	)
Total	$	(998,403	)	$	47,330		$	(951,073	)	$	(2,053,970	)	$	38,112	$	(2,015,858	)

	Number of Contracts Opened	Number of Contracts Closed	Number of Contracts Opened	Number of Contracts Closed
	Three months ended September 30, 2013	Three months ended September 30, 2013	Three months ended September 30, 2012	Three months ended September 30, 2012
Unleveraged	517	513	598	642
Leveraged	278	311	1,167	1,396
Commodity L/N	414	628	1,223	321
Commodity L/S	695	648	1,451	1,814
Trust Total	1,904	2,100	4,439	4,173

	Unleveraged Series												Leveraged Series												Commodity L/N Unleveraged Series						Commodity L/S Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class D Shares			Class E Shares			Class D Shares

Per share operating performance:
Net asset value per share at December 31, 2012	$	105.41		$	121.13		$	106.27		$	110.17		$	79.88		$	97.21		$	79.67		$	101.31		$	96.92		$	93.71		$	88.53
Loss from investment operations:
Net investment expense		(1.46	)		(0.80	)		(1.09	)		(0.73	)		(1.84	)		(1.21	)		(1.42	)		(1.26	)		(0.61	)		(0.59	)		(0.56	)
Net realized and unrealized loss on investment transactions		(2.98	)		(3.42	)		(2.66	)		(2.75	)		(6.17	)		(7.53	)		(5.69	)		(7.26	)		(3.91	)		(3.61	)		(2.26	)
Total from investment operations		(4.44	)		(4.22	)		(3.75	)		(3.48	)		(8.01	)		(8.74	)		(7.11	)		(8.52	)		(4.52	)		(4.20	)		(2.82	)
Net asset value per share at September 30, 2013	$	100.97		$	116.91		$	102.52		$	106.69		$	71.87		$	88.47		$	72.56		$	92.79		$	92.40		$	89.51		$	85.71

Total Return:		(4.21	)%		(3.48	)%		(3.53	)%		(3.16	)%		(10.03	)%		(8.99	)%		(8.92	)%		(8.41	)%		(4.66	)%		(4.48	)%		(3.19	)%

MLM INDEX FUND 10-Q