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 June 30, 2014

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).

Yesx

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 oAcceleratedFiler 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

MLM Index™ Fund

Index to FORM 10-Q

June 30, 2014

PART I – FINANCIAL INFORMATION

		Page
Item 1	Unaudited Condensed Financial Statements:	Number
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		39-52
Item 2	Management’s Discussion and Analysis of Financial Condition and Results of Operations	53-57
Item 3	Quantitative and Qualitative Disclosures of Market Risk	57-59
Item 4	Controls and Procedures	59-60

PART II – OTHER INFORMATION
Item 1	Legal Proceedings	61
Item 1A	Risk Factors	61
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	61
Item 3	Defaults Upon Senior Securities	61
Item 4	Mine Safety Disclosures	61
Item 5	Other Information	61
Item 6	Exhibits	62

Index

Item 1.

Financial Statements.

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Index^TM Unleveraged Series

As of June 30, 2014 (Unaudited) and December 31, 2013

ASSETS	June 30, 2014		December 31, 2013

Cash and cash equivalents	$	52,476,819	$	38,783,078
Due from broker		4,304,595		4,228,397
Net unrealized gain on open futures contracts, at fair value		184,150		581,248
Interest receivable		6		7

Total assets	$	56,965,570	$	43,592,730

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	607,818	$	4,728,284
Brokerage commissions payable		11,699		14,594
Management fee payable		15,679		19,388
Accrued expenses		9,647		8,652
Subscriptions received in advance		20,469,448		-

Total liabilities		21,114,291		4,770,918

Investors’ interest		35,851,279		38,821,812

Total liabilities and investors’ interest	$	56,965,570	$	43,592,730

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Unleveraged Series

June 30, 2014 (Unaudited)

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

Futures*

Long futures contracts
Financial		203		$	134,202			0.37	%
Commodity		105			106,095			0.30
		308			240,297			0.67

Short futures contracts
Financial		(77	)		(64,530	)		(0.18	)
Commodity		(193	)		8,383			0.02
		(270	)		(56,147	)		(0.16	)

Net unrealized gain on open futures contracts, at fair value				$	184,150			0.51	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Unleveraged Series

December 31, 2013

						Percentage of
	Number of			Unrealized		investors’
Description	contracts			gain		interest

Futures*
Long futures contracts
Financial		50		$	164,220		0.42	%
Commodity		50			5,205		0.01
		100			169,425		0.43

Short futures contracts
Financial		(152	)		392,430		1.01
Commodity		(160	)		19,393		0.05
		(312	)		411,823		1.06

Net unrealized gain on open futures contracts, at fair value				$	581,248		1.49	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Index^TM Unleveraged Series

For the three and six months ended June 30, 2014 and 2013 (Unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2014			2013			2014			2013
Investment income
Interest	$	3,580		$	6,036		$	8,360		$	14,273

Expenses
Brokerage commissions		38,242			50,595			78,576			96,201
Management fee		47,395			63,095			97,852			118,754
Operating expenses		40,593			51,001			84,162			97,370

Total expenses		126,230			164,691			260,590			312,325

Net investment loss		(122,650	)		(158,655	)		(252,230	)		(298,052	)

Realized and unrealized gain (loss) on investments
Net realized (loss) gain on investments		(49,114	)		(398,005	)		77,553			(1,356,251	)
Net change in unrealized appreciation and depreciation on investments		300,760			18,835			(392,744	)		452,669
Net realized and unrealized gain (loss) on investments		251,646			(379,170	)		(315,191	)		(903,582	)

Net gain (loss)	$	128,996		$	(537,825	)	$	(567,421	)	$	(1,201,634	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Unleveraged Series

For the six months ended June 30, 2014 (Unaudited)

	Unleveraged Series

	Class A			Class B			Class C			Class D			Total
	Shares			Shares			Shares			Shares			Unleveraged
													Series
Investors’ interest at December 31, 2013	$	1,133,968		$	786,759		$	1,175		$	36,899,910		$	38,821,812
Subscriptions	─			─			─				600,000			600,000
Redemptions		(741,914	)		(51,139	)	─				(2,210,059	)		(3,003,112	)
Net loss		(21,092	)		(13,293	)		(20	)		(533,016	)		(567,421	)
Investors’ interest at June 30, 2014	$	370,962		$	722,327		$	1,155		$	34,756,835		$	35,851,279

Shares at December 31, 2013		11,165			6,674			11			342,573
Subscriptions	─			─			─				5,637
Redemptions		(7,431	)		(441	)	─				(20,738	)
Shares at June 30, 2014		3,734			6,233			11			327,472
Net asset value per share:
June 30, 2014	$	99.35		$	115.89		$	101.61		$	106.14

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Unleveraged Series

For the six months ended June 30, 2013 (Unaudited)

	Unleveraged Series

	Class A			Class B			Class C			Class D			Total
	Shares			Shares			Shares			Shares			Unleveraged
													Series
Investors’ interest at December 31, 2012	$	2,677,401		$	3,111,377		$	53,171		$	32,572,328		$	38,414,277
Subscriptions	─			─			─				14,840,000			14,840,000
Redemptions		(767,420	)		(1,995,337	)		(50,416	)		(3,725,855	)		(6,539,028	)
Net loss		(73,139	)		(68,854	)		(1,583	)		(1,058,058	)		(1,201,634	)
Investors’ interest at June 30, 2013	$	1,836,842		$	1,047,186		$	1,172		$	42,628,415		$	45,513,615

Shares at December 31, 2012		25,400			25,686			500			295,650
Subscriptions	─			─			─				136,532
Redemptions		(7,353	)		(16,777	)		(489	)		(34,384	)
Shares at June 30, 2013		18,047			8,909			11			397,798
Net asset value per share:
June 30, 2013	$	101.79		$	117.56		$	103.10		$	107.16

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Index^TM Unleveraged Series

For the six months ended June 30, 2014 and 2013 (Unaudited)

	June 30,			June 30,
	2014			2013

Cash flows from operating activities
Net loss	$	(567,421	)	$	(1,201,634	)
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		(76,198	)		1,356,955
Net unrealized loss (gain) on open futures contracts		397,098			(446,904	)
Interest receivable		1			(50	)
Brokerage commissions payable		(2,895	)		367
Management fee payable		(3,709	)		2,003
Accrued expenses		995			8,377

Net cash and cash equivalents used in operating activities		(252,129	)		(280,886	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		21,069,448			12,890,000
Redemptions paid		(7,123,578	)		(6,667,496	)

Net cash and cash equivalents provided by financing activities		13,945,870			6,222,504

Net increase in cash and cash equivalents		13,693,741			5,941,618

Cash and cash equivalents at beginning of period		38,783,078			36,597,519

Cash and cash equivalents at end of period	$	52,476,819		$	42,539,137
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	607,818		$	282,657
Subscriptions recorded which were received in advance				$	1,950,000

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Index^TM Leveraged Series

As of June 30, 2014 (Unaudited) and December 31, 2013

ASSETS	June 30, 2014		December 31, 2013

Cash and cash equivalents	$	8,132	$	354,768
Due from broker		3,931,805		5,751,321
Net unrealized gain on open futures contracts, at fair value		63,715		191,379

Total assets	$	4,003,652	$	6,297,468

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	153,698	$	1,818,018
Brokerage commissions payable		3,476		6,411
Management fee payable		4,671		8,401
Accrued expenses		1,542		1,398

Total liabilities		163,387		1,834,228

Investors’ interest		3,840,265		4,463,240

Total liabilities and investors’ interest	$	4,003,652	$	6,297,468

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Leveraged Series

June 30, 2014 (Unaudited)

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

Futures*

Long futures contracts
Financial		44		$	46,476			1.21	%
Commodity		21			33,111			0.86
		65			79,587			2.07

Short futures contracts
Financial		(16	)		(20,952	)		(0.55	)
Commodity		(38	)		5,080			0.13
		(54	)		(15,872	)		(0.42	)

Net unrealized gain on open futures contracts, at fair value				$	63,715			1.65	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Leveraged Series

December 31, 2013

						Percentage of
	Number of			Unrealized		investors’
Description	contracts			gain		interest

Futures*
Long futures contracts
Financial		17		$	52,113		1.17	%
Commodity		18			2,638		0.06
		35			54,751		1.23

Short futures contracts
Financial		(52	)		134,146		3.01
Commodity		(55	)		2,482		0.06
		(107	)		136,628		3.07


Net unrealized gain on open futures contracts, at fair value				$	191,379		4.30	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Index^TM Leveraged Series

For the three and six months ended June 30, 2014 and 2013 (Unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2014			2013			2014			2013
Investment income
Interest	$	7		$	222		$	14		$	2,698

Expenses
Brokerage commissions		11,786			35,339			24,591			91,114
Management fee		14,397			43,514			29,848			110,894
Operating expenses		4,759			13,920			10,170			35,357

Total expenses		30,942			92,773			64,609			237,365

Net investment loss		(30,935	)		(92,551	)		(64,595	)		(234,667	)

Realized and unrealized gain (loss) on investments
Net realized (loss) gain on investments		(18,169	)		(174,831	)		39,257			(1,470,627	)
Net change in unrealized appreciation and depreciation on investments		102,597			(129,732	)		(124,883	)		417,376

Net realized and unrealized gain (loss) on investments		84,428			(304,563	)		(85,626	)		(1,053,251	)

Net gain (loss)	$	53,493		$	(397,114	)	$	(150,221	)	$	(1,287,918	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Leveraged Series

For the six months ended June 30, 2014 (Unaudited)



	Class A			Class B			Class C			Class D			Total
	Shares			Shares			Shares			Shares			Leveraged
													Series
Investors’ interest at December 31, 2013	$	369,018		$	1,118,984		$	1,010		$	2,974,228		$	4,463,240
Subscriptions	─			─			─			─			─
Redemptions		(220,915	)		(203,015	)	─				(48,824	)		(472,754	)
Net loss		(15,644	)		(38,277	)		(37	)		(96,263	)		(150,221	)
Investors’ interest at June 30, 2014	$	132,459		$	877,692		$	973		$	2,829,141		$	3,840,265

Shares at December 31, 2013		4,998			12,268			14			31,023
Subscriptions	─			─			─			─
Redemptions		(3,121	)		(2,277	)	─				(513	)
Shares at June 30, 2014		1,877			9,991			14			30,510
Net asset value per share:
June 30, 2014	$	70.57		$	87.85		$	72.11		$	92.73

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Leveraged Series

For the six months ended June 30, 2013 (Unaudited)



	Class A			Class B			Class C			Class D			Total
	Shares			Shares			Shares			Shares			Leveraged
													Series
Investors’ interest at December 31, 2012	$	1,823,994		$	5,070,580		$	1,075		$	13,142,456		$	20,038,105
Subscriptions	─				90,000		─			─				90,000
Redemptions		(231,182	)		(2,777,566	)	─				(6,833,536	)		(9,842,284	)
Net loss		(151,079	)		(320,504	)		(85	)		(816,250	)		(1,287,918	)
Investors’ interest at June 30, 2013	$	1,441,733		$	2,062,510		$	990		$	5,492,670		$	8,997,903

Shares at December 31, 2012		22,834			52,162			14			129,732
Subscriptions	─				926		─			─
Redemptions		(3,071	)		(30,030	)	─				(71,064	)
Shares at June 30, 2013		19,763			23,058			14			58,668
Net asset value per share:
June 30, 2013	$	72.95		$	89.45		$	73.35		$	93.62

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Index^TM Leveraged Series

For the six months ended June 30, 2014 and 2013 (Unaudited)

	June 30, 2014			June 30, 2013

Cash flows from operating activities
Net loss	$	(150,221	)	$	(1,287,918	)
Adjustments to reconcile net loss to net cash and cash equivalents provided by (used in) operating activities
Net change in operating assets and liabilities
Due from broker		1,819,516			1,473,713
Net unrealized loss (gain) on open futures contracts		127,664			(411,618	)
Interest receivable	─				4
Other assets	─				1,073
Brokerage commissions payable		(2,935	)		(11,531	)
Management fee payable		(3,730	)		(14,019	)
Accrued expenses		144			2,528

Net cash and cash equivalents provided by (used in) operating activities		1,790,438			(247,768	)

Cash flows from financing activities
Redemptions paid		(2,137,074	)		(10,813,829	)

Net cash and cash equivalents used in financing activities		(2,137,074	)		(10,813,829	)

Net decrease in cash and cash equivalents		(346,636	)		(11,061,597	)

Cash and cash equivalents at beginning of period		354,768			14,038,218

Cash and cash equivalents at end of period	$	8,132			2,976,621
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	153,698		$	260,825
Subscriptions recorded which were received in advance	$	─		$	90,000

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Commodity L/N Index Unleveraged Series

As of June 30, 2014 (Unaudited) and December 31, 2013

ASSETS	June 30, 2014		December 31, 2013

Cash and cash equivalents	$	126,714,573	$	123,776,520
Due from broker		7,583,601		5,734,958
Net unrealized gain on open futures contracts, at fair value		1,575,019		78,333
Interest receivable		42		19

Total assets	$	135,873,235	$	129,589,830

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Brokerage commissions payable		29,613		31,849
Management fee payable		56,534		54,163
Accrued expenses		24,699		24,721

Total liabilities		110,846		110,733

Investors’ interest		135,762,389		129,479,097

Total liabilities and investors’ interest	$	135,873,235	$	129,589,830

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/N Index Unleveraged Series

June 30, 2014 (Unaudited)

					Percentage of
	Number of		Unrealized		investors’
Description	contracts		gain		interest

Futures*

Long futures contracts
Commodity		1,001	$	1,575,019		1.16	%

Net unrealized gain on open futures contracts, at fair value			$	1,575,019		1.16	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/N Index Unleveraged Series

December 31, 2013

					Percentage of
	Number of		Unrealized		investors’
Description	contracts		gain		interest

Futures*
Long futures contracts
Commodity		676	$	78,333		0.06	%

Net unrealized gain on open futures contracts, at fair value			$	78,333		0.06	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

Commodity L/N Unleveraged Series

For the three and six months ended June 30, 2014 and 2013 (Unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2014			2013			2014			2013
Investment income
Interest	$	15,357		$	17,249		$	34,111		$	40,649

Expenses
Brokerage commissions		101,266			94,685			198,482			180,267
Management fee		170,668			162,088			335,676			298,268
Operating expenses		144,177			132,840			284,286			249,207

Total expenses		416,111			389,613			818,444			727,742

Net investment loss		(400,754	)		(372,364	)		(784,333	)		(687,093	)

Realized and unrealized gain (loss) on investments
Net realized (loss) gain on investments		(2,352,072	)		(2,222,575	)		1,872,247			(6,140,600	)
Net change in unrealized appreciation and depreciation on investments		1,766,891			(1,854,411	)		1,495,378			(240,594	)

Net realized and unrealized (loss) gain on investments		(585,181	)		(4,076,986	)		3,367,625			(6,381,194	)

Net (loss) income	$	(985,935	)	$	(4,449,350	)	$	2,583,292		$	(7,068,287	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/N Index Unleveraged Series

For the six months ended June 30, 2014 (Unaudited)


	Class D		Class E		Total
	Shares		Shares		Commodity L/N
					Unleveraged Series
Investors’ interest at December 31, 2013	$	74,744,967	$	54,734,130	$	129,479,097
Subscriptions		3,700,000	─			3,700,000
Net gain		1,445,149		1,138,143		2,583,292
Investors’ interest at June 30, 2014	$	79,890,116	$	55,872,273	$	135,762,389

Shares at December 31, 2013		819,002		618,735
Subscriptions		39,614	─
Shares at June 30, 2014		858,616		618,735

Net asset value per share:
June 30, 2014	$	93.05	$	90.30

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/N Index Unleveraged Series

For the six months ended June 30, 2013 (Unaudited)


	Class D			Class E			Total
	Shares			Shares			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
Redemptions	─			─			─
Net loss		(4,283,340	)		(2,784,947	)		(7,068,287	)
Investors’ interest at June 30, 2013	$	73,022,416		$	54,715,829		$	127,738,245

Shares at December 31, 2012		740,605			400,000
Subscriptions		58,790			218,735
Redemptions	─			─
Shares at June 30, 2013		799,395			618,735

Net asset value per share:
June 30, 2013	$	91.35		$	88.43

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Commodity L/N Index Unleveraged Series

For the six months ended June 30, 2014 and 2013 (Unaudited)

	June 30, 2014			June 30, 2013

Cash flows from operating activities
Net income (loss)	$	2,583,292		$	(7,068,287	)
Adjustments to reconcile net income (loss) to net cash and cash equivalents used in operating activities
Net change in operating assets and liabilities
Due from broker		(1,848,643	)		5,556,475
Net unrealized (gain) loss on open futures contracts		(1,496,686	)		235,342
Interest receivable		(23	)		(171	)
Other assets	─				(998	)
Brokerage commissions payable		(2,236	)		2,828
Management fee payable		2,371			7,103
Accrued expenses		(22	)		27,470

Net cash and cash equivalents used in operating activities		(761,947	)		(1,240,238	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		3,700,000			25,538,470

Net cash and cash equivalents provided by financing activities		3,700,000			25,538,470

Net increase in cash and cash equivalents		2,938,053			24,298,232

Cash and cash equivalents at beginning of period		123,776,520			100,936,268

Cash and cash equivalents at end of period	$	126,714,573		$	125,234,500

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Commodity L/S Index Unleveraged Series

As of June 30, 2014 (Unaudited) and December 31, 2013

ASSETS	June 30, 2014		December 31, 2013

Cash and cash equivalents	$	32,725,468	$	32,852,364
Due from broker		3,771,021		4,620,026
Net unrealized gain on open futures contracts, at fair value		463,368		134,376
Interest receivable	─			1

Total assets	$	36,959,857	$	37,606,767

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Brokerage commissions payable		8,806		12,046
Management fee payable		15,282		15,812
Accrued expenses		6,916		6,833
Subscriptions received in advance		100,000	─

Total liabilities		131,004		34,691

Investors’ interest		36,828,853		37,572,076

Total liabilities and investors’ interest	$	36,959,857	$	37,606,767

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/S Index Unleveraged Series

June 30, 2014 (Unaudited)

						Percentage of
	Number of			Unrealized		investors’
Description	contracts			gain		interest

Futures*

Long futures contracts
Commodity		272		$	422,123		1.15	%

Short futures contracts
Commodity		(498	)		41,245		0.11

Net unrealized gain on open futures contracts, at fair value				$	463,368		1.26	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/S Index Unleveraged Series

December 31, 2013

						Percentage of
	Number of			Unrealized		investors’
Description	contracts			gain		interest

Futures*
Long futures contracts
Commodity		197		$	21,828		0.06	%

Short futures contracts
Commodity		(625	)		112,548		0.30

Net unrealized gain on open futures contracts, at fair value				$	134,376		0.36	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Commodity L/S Index Unleveraged Series

For the three and six months ended June 30, 2014 and 2013 (Unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2014			2013			2014			2013
Investment income
Interest	$	3,786		$	5,733		$	8,485		$	15,867

Expenses
Brokerage commissions		36,941			37,296			75,025			87,631
Management fee		46,176			46,622			93,781			109,541
Operating expenses		39,215			40,185			79,473			93,403

Total expenses		122,332			124,103			248,279			290,575

Net investment loss		(118,546	)		(118,370	)		(239,794	)		(274,708	)

Realized and unrealized gain (loss) on investments
Net realized (loss) gain on investments		(684,445	)		6,484			(831,933	)		(2,752,737	)
Net change in unrealized appreciation on investments		903,779			186,076			328,504			1,220,080

Net realized and unrealized gain (loss) on investments		219,334			192,560			(503,429	)		(1,532,657	)

Net gain (loss)	$	100,788		$	74,190		$	(743,223	)	$	(1,807,365	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/S Index Unleveraged Series

For the six months ended June 30, 2014 (Unaudited)

	Total
	Commodity L/S
	Unleveraged Series
Investors’ interest at December 31, 2013	$	37,572,076
Net loss		(743,223	)
Investors’ interest at June 30, 2014	$	36,828,853

Shares at December 31, 2013		441,627
Shares at June 30, 2014		441,627
Net asset value per share:
June 30, 2014	$	83.39

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/S Index Unleveraged Series

For the six months ended June 30, 2013 (Unaudited)

	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		(1,807,365	)
Investors’ interest at June 30, 2013	$	37,591,801

Shares at December 31, 2012		530,192
Subscriptions		133,049
Redemptions		(223,267	)
Shares at June 30, 2013		439,974
Net asset value per share:
June 30, 2013	$	85.44

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Commodity L/S Index Unleveraged Series

For the six months ended June 30, 2014 and 2013 (Unaudited)

	June 30, 2014			June 30, 2013

Cash flows from operating activities
Net loss	$	(743,223	)	$	(1,807,365	)
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		849,005			(226,311	)
Net unrealized gain on open futures contracts		(328,992	)		(1,222,608	)
Interest receivable		1			24
Brokerage commissions payable		(3,240	)		(5,848	)
Management fee payable		(530	)		(4,729	)
Accrued expenses		83			11,211

Net cash and cash equivalents used in operating activities		(226,896	)		(3,255,626	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		100,000			11,500,000
Redemptions paid	─				(19,038,470	)

Net cash and cash equivalents provided by (used in) financing activities		100,000			(7,538,470	)

Net decrease in cash and cash equivalents		(126,896	)		(10,794,096	)

Cash and cash equivalents at beginning of period		32,852,364			43,740,617

Cash and cash equivalents at end of period	$	32,725,468		$	32,946,521

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

Trust Total

As of June 30, 2014 (Unaudited) and December 31, 2013

ASSETS	June 30, 2014		December 31, 2013

Cash and cash equivalents	$	211,924,992	$	195,766,730
Due from broker		19,591,022		20,334,702
Net unrealized gain on open futures contracts, at fair value		2,286,252		985,336
Interest receivable		48		27

Total assets	$	233,802,314	$	217,086,795

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	761,516	$	6,546,302
Brokerage commissions payable		53,594		64,900
Management fee payable		92,166		97,764
Subscriptions received in advance		20,569,448	─
Accrued expenses		42,804		41,604

Total liabilities		21,519,528		6,750,570

Investors’ interest		212,282,786		210,336,225

Total liabilities and investors’ interest	$	233,802,314	$	217,086,795

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

June 30, 2014 (Unaudited)

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

Futures*

Long futures contracts
Financial		247		$	180,678			0.09	%
Commodity		1,399			2,136,348			1.01
		1,646			2,317,026			1.10

Short futures contracts
Financial		(93	)		(85,482	)		(0.04	)
Commodity		(729	)		54,708			0.03
		(822	)		(30,774	)		(0.01	)
Net unrealized gain on open futures contracts, at fair value				$	2,286,252			1.09	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

December 31, 2013

						Percentage of
	Number of			Unrealized		investors’
Description	contracts			gain		interest

Futures*
Long futures contracts
Financial		67		$	216,333		0.10	%
Commodity		941			108,004		0.05
		1,008			324,337		0.15

Short futures contracts
Financial		(204	)		526,576		0.25
Commodity		(840	)		134,423		0.06
		(1,044	)		660,999		0.31

Net unrealized gain on open futures contracts, at fair value				$	985,336		0.46	%

*	Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

Trust Total

For the three and six months ended June 30, 2014 and 2013 (Unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2014			2013			2014			2013
Investment income
Interest	$	22,730		$	29,240		$	50,970		$	73,487

Expenses
Brokerage commissions		188,235			217,915			376,674			455,213
Management fee		278,636			315,319			557,157			637,457
Operating expenses		228,744			237,946			458,091			475,337

Total expenses		695,615			771,180			1,391,922			1,568,007

Net investment loss		(672,885	)		(741,940	)		(1,340,952	)		(1,494,520	)

Realized and unrealized gain (loss) gain on investments
Net realized (loss) gain on investments		(3,103,800	)		(2,788,927	)		1,157,124			(11,720,215	)
Net change in unrealized appreciation and depreciation on investments		3,074,027			(1,779,232	)		1,306,255			1,849,531
Net realized and unrealized (loss) gain on investments		(29,773	)		(4,568,159	)		2,463,379			(9,870,684	)

Net (loss) income	$	(702,658	)	$	(5,310,099	)	$	1,122,427		$	(11,365,204	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS INTEREST

Trust Total

For the six months ended June 30, 2014 (Unaudited)

	Total
	investor interest

Investors’ interest at December 31, 2013	$	210,336,225
Subscriptions		4,300,000
Redemptions		(3,475,866	)
Net income		1,122,427
Investors’ interest at June 30, 2014	$	212,282,786

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS INTEREST

Trust Total

For the six months ended June 30, 2013 (Unaudited)

	Total
	investor interest

Investors’ interest at December 31, 2012	$	214,658,080
Subscriptions		51,968,470
Redemptions		(35,419,782	)
Net loss		(11,365,204	)
Investors’ interest at June 30, 2013	$	219,841,564

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

Trust Total

For the six months ended June 30, 2014 and 2013 (Unaudited)

	June 30, 2014			June 30, 2013

Cash flows from operating activities
Net income (loss)	$	1,122,427		$	(11,365,204	)
Adjustments to reconcile net income (loss) to net cash and cash equivalents provided by (used in) operating activities
Net change in operating assets and liabilities
Due from broker		743,680			8,160,832
Net unrealized gain on open futures contracts		(1,300,916	)		(1,845,788	)
Interest receivable		(21	)		(193	)
Other assets	─				75
Brokerage commissions payable		(11,306	)		(14,184	)
Management fee payable		(5,598	)		(9,642	)
Accrued expenses		1,200			49,586

Net cash and cash equivalents provided by (used in) operating activities		549,466			(5,024,518	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		24,869,448			49,928,470
Redemptions paid		(9,260,652	)		(36,519,795	)

Net cash and cash equivalents provided by financing activities		15,608,796			13,408,675

Net increase in cash and cash equivalents		16,158,262			8,384,157

Cash and cash equivalents at beginning of period		195,766,730			195,312,622

Cash and cash equivalents at end of period	$	211,924,992		$	203,696,779
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	761,516		$	543,482
Subscriptions recorded which were received in advance	$	─		$	2,040,000

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements

June 30, 2014

The following discussion of the notes to financial statements is applicable to both the MLM Index Fund and each of its Series (the MLM Index Unleveraged Series, the MLM Index Leveraged Series, the MLM Commodity L/N Index Unleveraged Series and the MLM Commodity L/S Index Unleveraged Series).

1.	Organization

MLM Index™ Fund was formed under the Business Trust Statute of the State of Delaware as a business trust in December 1997 and commenced operations on January 4, 1999. The MLM Index™ Fund was organized for the primary purpose of seeking capital appreciation through the speculative trading of a diversified portfolio of futures contracts using the MLM Index™ Trading Program, which is based upon the MLM Index™ (the “Index”). The Index is a benchmark of the hypothetical returns available to a futures investor. The Index is comprised of a diverse portfolio of futures markets, including both financial and tangible markets.

At June 30, 2014, the MLM Index™ Fund is comprised of four series: the MLM Index™ Unleveraged Series (“Unleveraged Series”), the MLM Index™ Leveraged Series (“Leveraged Series”), the MLM Commodity L/N Index Unleveraged Series (“Commodity L/N” or “Commodity L/N Unleveraged Series”) and the MLM Commodity L/S Index Unleveraged Series (“Commodity L/S” or “Commodity L/S Unleveraged Series”). MLM Index™ Fund and its series are collectively referred to herein as the “Trust”.

Mount Lucas Management LP (the “Manager”) is the Manager for the Trust and its Series. The Manager is a registered investment advisor under the Investment Advisers Act of 1940, is registered as a Commodity Pool Operator and a Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association.

2.	Summary of Significant Accounting Policies

Basis of Presentation

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with US GAAP have been omitted. In the opinion of the Manager, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial positions of the Trust and each Series as of June 30, 2014 and the results of its operations for the three and six months ended June 30, 2014 and 2013. The operating results for these interim periods may not be indicative of the results expected for a full year. These financial statements should be read in conjunction with the audited financial statements and accompanying notes included in the Annual Report on Form 10-K for the year ended December 31, 2013.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

June 30, 2014

2.	Summary of Significant Accounting Policies (continued)

Use of Estimates

The preparation of the accompanying financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Cash and Cash Equivalents

Cash and cash equivalents consist of highly liquid financial instruments with maturities of three months or less, when purchased. Certain of each Series' cash at broker is restricted to meet margin requirements (see Note 5).

Due from Broker

Each Series' trading activities utilize one broker located in the United States. Due from broker represents cash balances held, and amounts receivable or payable for transactions not settled at June 30, 2014 and December 31, 2013.

Fair Value Measurements

Each Series has categorized its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument.

Financial assets and liabilities recorded on the statement of assets and liabilities are categorized based on the inputs to the valuation techniques as follows:

Level 1:

Financial assets and liabilities whose values are based on unadjusted quoted prices for identical assets or liabilities in an active market (examples include active exchange-traded equity securities, listed derivatives, most U.S. government and agency securities, and certain other sovereign government obligations).

Level 2:

Financial assets and liabilities whose values are based on the following:

Quoted prices for similar assets or liabilities in active markets (for example, restricted stock);

Quoted prices for identical or similar assets or liabilities in non-active markets (examples include corporate and municipal bonds, which trade infrequently);

Pricing models whose inputs are observable for substantially the full term of the asset or liability (examples include most over-the-counter derivatives, including interest rate and currency swaps); and

Pricing models whose inputs are derived principally from or corroborated by observable market data through correlation or other means for substantially the full term of the asset or liability (for example, certain mortgage loans).

Index

2.	Summary of Significant Accounting Policies (continued)

Fair Value Measurements (continued)

Level 3:

Financial assets and liabilities whose values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management's own assumptions about the assumptions a market participant would use in pricing the asset or liability (examples include private equity investments, certain commercial mortgage whole loans and long-dated or complex derivatives, including certain foreign exchange options and long-dated options on gas and power).

As required by US GAAP, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. As of June 30, 2014 and December 31, 2013, all of the derivative instruments held by the Trust are fair valued based on quoted prices in active markets (Level 1).

Each Series' trading positions are valued at fair value and cash equivalents are carried at their net asset value per share including accrued interest, as applicable. All positions including the net unrealized appreciation or depreciation are included under the caption “net unrealized gain/(loss) on open futures contracts” on the statements of financial condition. Fair value is principally based on quoted market prices or broker or dealer price quotations. The resulting change in unrealized profit or loss is reflected in net gain (loss) on change in unrealized appreciation (depreciation) on investments on the statements of operations.

Investment Transactions and Investment Income

All securities transactions are recorded on a trade-date basis. Realized gain and loss are recorded using specific identification method. Interest income is recorded using the accrual basis of accounting.

Income Taxes

Each of the Series of the Trust is classified for Federal income tax purposes as a separate partnership. Investors in each Series will reflect their proportionate share of realized profit or loss on their separate tax returns. Accordingly, no provisions for income taxes are required for the Trust or any Series.

All of the Series of the Trust recognize tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions were “more likely than not” to be sustained assuming examination by tax authorities. The Manager has reviewed all of the Series of the Trust’s tax positions for all open years (after December 31, 2008) and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements. The Trust has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2010 through 2013 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

Redemptions Payable

For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value of each Series by the number of outstanding investors’ interests for that Series.

Index

3.	Cash and Cash Equivalents

The Trust’s cash and cash equivalents consisted of:

June 30, 2014	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Institutional Treasury Money Market Fund	$	20,473,000	$	2,000	$	5,033,000	$	104,000	$	25,612,000
U.S. Government Agency Securities		31,849,183	─			121,546,924		32,499,480		185,895,587
Cash		153,195		4,903		133,412		120,729		412,239
Cash in Checking Account		1,441		1,229		1,237		1,259		5,166
Total	$	52,476,819	$	8,132	$	126,714,573	$	32,725,468	$	211,924,992

December 31, 2013	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Institutional Treasury Money Market Fund	$	293,000	$	4,000	$	2,127,000	$	66,000	$	2,490,000
U.S. Government Agency Securities		38,439,414		299,995		121,557,716		32,694,535		192,991,660
Cash		48,922		48,951		89,866		90,574		278,313
Cash in Checking Account		1,742		1,822		1,938		1,255		6,757
Total	$	38,783,078	$	354,768	$	123,776,520	$	32,852,364	$	195,766,730

Index

4.	Investors’ Interest

The Trust is comprised of four series: the Unleveraged Series, which attempts to replicate the Index without leverage, the Leveraged Series, which attempts to replicate the Index at three times leverage, the Commodity L/N Unleveraged Series which attempts to replicate the MLM Commodity Long/Neutral Index without leverage and the Commodity L/S Unleveraged Series which attempts to replicate the MLM Commodity Long/Short Index without leverage (collectively, the “Series”). The MLM Commodity L/S Index is a subset of the MLM Index and contains only the commodity futures contracts of the entire MLM Index. The MLM Commodity L/N Index contains the same commodity futures contracts, but does not have short positions when the MLM Index algorithm indicates a short position in a particular contract. Class A, Class B, Class C, Class D and Class E shares are sold by authorized selling agents appointed by the Manager to accredited investors at a price equal to each Class’s net asset value. Shares may be redeemed at net asset value as of the last day of any month upon at least ten business days’ written notice to the Manager. As of June 30, 2014, the Commodity L/N Leveraged Series and the Commodity L/S Leveraged Series have not commenced trading and have no assets. In addition, as of June 30, 2014, the Commodity L/N Unleveraged Series and the Commodity L/S Unleveraged Series have never had any investors in classes A, B or C. Furthermore, as of June 30, 2014, the Unleveraged Series, Leveraged Series and the Commodity L/S Unleveraged Series have never had any investors in class E.

The Manager allocates profits and losses among the investors of a Series based on the balance in each investor’s capital account.

The Class A and Class C shares are subject to a sales commission of 0% to 4% of the subscription amount, payable to the selling agent from the investor’s investment for each series. The amount of the sales commission will be determined by the selling agent.

5.	Margin Requirements

The Trust had margin requirements as follows at June 30, 2014 and December 31, 2013:

	June 30, 2014		December 31, 2013
Unleveraged Series	$	1,004,714	$	788,023
Leveraged Series		207,269		266,992
Commodity L/N Unleveraged Series		2,820,840		1,530,033
Commodity L/S Unleveraged Series		1,437,590		1,615,519
Total	$	5,470,413	$	4,200,567

Each Series' margin requirements were satisfied by net unrealized profits and cash at the broker.

Index

6.	Management Fee and Other Fees and Expenses

Each Series pays the Manager a management fee as a percentage of net assets, as of the first day of each month at the annualized rates as follows:

Prior to May 1, 2013:

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

Class A		0.85	%		1.50	%		N/	A		0.35	%		4.00	%		6.70	%
Class B		0.85	%		0.50	%		N/	A		0.35	%		N/	A		1.70	%
Class C		0.40	%		1.00	%		N/	A		0.35	%		4.00	%		5.75	%
Class D		0.40	%		0.50	%		N/	A		0.35	%		N/	A		1.25	%
Class E		0.15	%		0.50	%		N/	A		0.35	%		N/	A		1.00	%

	Leveraged Series
																Total fees
	Brokerage			Management			Organizational			Operating			Selling			and
	fee			fee			fee			expense			expense			commissions

Class A		1.75	%		2.80	%		N/	A		0.35	%		4.00	%		8.90	%
Class B		1.75	%		1.30	%		N/	A		0.35	%		N/	A		3.40	%
Class C		0.90	%		2.05	%		N/	A		0.35	%		4.00	%		7.30	%
Class D		0.90	%		1.30	%		N/	A		0.35	%		N/	A		2.55	%
Class E		0.35	%		1.30	%		N/	A		0.35	%		N/	A		2.00	%

Index

6.	Management Fee and Other Fees and Expenses (continued)

Effective May 1, 2013:

Unleveraged, Commodity L/N Unleveraged Series, and Commodity L/S Unleveraged Series

Total fees

Brokerage

Management

Organizational

Operating

Selling

and

fee

expense

commissions

Class A

N/A

2.70

N/A

4.00

6.70

Class B

N/A

1.70

N/A

1.70

Class C

N/A

1.75

N/A

4.00

5.75

Class D

N/A

1.25

N/A

1.25

Class E

N/A

1.00

N/A

1.00

Leveraged Series

Total fees

Brokerage

Management

Organizational

Operating

Selling

And

fee

expense

commissions

Class A

N/A

4.90

N/A

4.00

8.90

Class B

N/A

3.40

N/A

3.40

Class C

N/A

3.30

N/A

4.00

7.30

Class D

N/A

2.55

N/A

2.55

Class E

N/A

2.00

N/A

2.00

* Effective May 1, 2013, brokerage fee and operating expenses are included in the management fee charged by the Manager. The total of Brokerage fee, Management fee and Operating expense fee is unchanged and presented separately in the statement of operations.

Each Series pays the cash manager and banking fees directly.

Index

7.	Derivative Financial Instruments

Derivatives are subject to various risks similar to non-derivative financial instruments including market, credit, liquidity and operational risk. The risks of derivatives should not be viewed in isolation but rather should be considered on an aggregate basis along with the Trust’s other trading-related activities.

Each Series purchases and sells futures in financial instruments and commodities. Each Series records its derivative activities on a mark-to-market basis with realized and unrealized gains (losses) recognized currently in the statements of operations and in due from brokers on the statements of financial condition.

The following tables reflect the fair value of each Series derivative financial instruments at June 30, 2014 and December 31, 2013:

	June 30, 2014					December 31, 2013
Unleveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	136,101	$	(66,429	)	$	572,412	$	(15,762	)
Commodity futures		212,976		(98,498	)		238,206		(213,608	)
Total	$	349,077	$	(164,927	)	$	810,618	$	(229,370	)

	June 30, 2014					December 31, 2013
Leveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	46,476	$	(20,952	)	$	194,140	$	(7,881	)
Commodity futures		65,671		(27,480	)		78,556		(73,436	)
Total	$	112,147	$	(48,432	)	$	272,696	$	(81,317	)

	June 30, 2014					December 31, 2013
Commodity L/N Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	2,142,182	$	(567,163	)	$	275,213	$	(196,880	)
Total	$	2,142,182	$	(567,163	)	$	275,213	$	(196,880	)

	June 30, 2014					December 31, 2013
Commodity L/S Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	855,068	$	(391,700	)	$	946,194	$	(811,818	)
Total	$	855,068	$	(391,700	)	$	946,194	$	(811,818	)

	June 30, 2014					December 31, 2013
Trust Total	Asset		Liability			Asset		Liability
Financial futures	$	182,577	$	(87,381	)	$	766,552	$	(23,643	)
Commodity futures		3,275,897		(1,084,841	)		1,538,169		(1,295,742	)
Total	$	3,458,474	$	(1,172,222	)	$	2,304,721	$	(1,319,385	)

Index

7.	Derivative Financial Instruments (continued)

The following tables reflect the realized and unrealized gains (losses) from derivative financial instruments for the three and six months ended June 30, 2014 and 2013. (Included in the unrealized gain (loss) amounts on the Condensed Statement of Operations for June 30, 2014 and 2013, are unrealized gains (losses) from U.S. Government Agency Securities and unrealized gains (losses) from currency positions.):

	Three months ended June 30, 2014							Three months ended June 30, 2013
Unleveraged	Realized			Unrealized		Total		Realized			Unrealized			Total
Financial futures	$	123,818		$	69,337	$	193,155	$	(448,137	)	$	(58,218	)	$	(506,355	)
Commodity futures		(172,932	)		232,352		59,420		50,132			77,206			127,338
Total	$	(49,114	)	$	301,689	$	252,575	$	(398,005	)	$	18,988		$	(379,017	)

	Three months ended June 30, 2014							Three months ended June 30, 2013
Leveraged	Realized			Unrealized		Total		Realized			Unrealized			Total
Financial futures	$	44,087		$	26,539	$	70,626	$	(197,411	)	$	(147,409	)	$	(344,820	)
Commodity futures		(62,256	)		75,962		13,706		22,580			20,145			42,725
Total	$	(18,169	)	$	102,501	$	84,332	$	(174,831	)	$	(127,264	)	$	(302,095	)

	Three months ended June 30, 2014								Three months ended June 30, 2013
Commodity L/N	Realized			Unrealized		Total			Realized			Unrealized			Total
Commodity futures	$	(2,352,072	)	$	1,768,230	$	(583,842	)	$	(2,222,575	)	$	(1,854,015	)	$	(4,076,590	)
Total	$	(2,352,072	)	$	1,768,230	$	(583,842	)	$	(2,222,575	)	$	(1,854,015	)	$	(4,076,590	)

	Three months ended June 30, 2014							Three months ended June 30, 2013
Commodity L/S	Realized			Unrealized		Total		Realized		Unrealized		Total
Commodity futures	$	(684,445	)	$	904,014	$	219,569	$	6,484	$	186,405	$	192,889
Total	$	(684,445	)	$	904,014	$	219,569	$	6,484	$	186,405	$	192,889

	Three months ended June 30, 2014								Three months ended June 30, 2013
Trust Total	Realized			Unrealized		Total			Realized			Unrealized			Total
Financial futures	$	167,905		$	95,876	$	263,781		$	(645,548	)	$	(205,627	)	$	(851,175	)
Commodity futures		(3,271,705	)		2,980,558		(291,147	)		(2,143,379	)		(1,570,259	)		(3,713,638	)
Total	$	(3,103,800	)	$	3,076,434	$	(27,366	)	$	(2,788,927	)	$	(1,775,886	)	$	(4,564,813	)

Index

7.	Derivative Financial Instruments (continued)

	Six months ended June 30, 2014									Six months ended June 30, 2013
Unleveraged	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	275,614		$	(486,978	)	$	(211,364	)	$	(859,493	)	$	157,994	$	(701,499	)
Commodity futures		(198,061	)		89,880			(108,181	)		(496,758	)		288,910		(207,848	)
Total	$	77,553		$	(397,098	)	$	(319,545	)	$	(1,356,251	)	$	446,904	$	(909,347	)

	Six months ended June 30, 2014									Six months ended June 30, 2013
Leveraged	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	101,263		$	(160,735	)	$	(59,472	)	$	(705,402	)	$	68,424	$	(636,978	)
Commodity futures		(62,006	)		33,071			(28,935	)		(765,225	)		343,194		(422,031	)
Total	$

MLM INDEX FUND 10-Q