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, 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).

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

MLM Index™ Fund

Index to FORM 10-Q

September 30, 2014

PART I – FINANCIAL INFORMATION
Item 1	Unaudited Condensed Financial Statements:	Page 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 September 30, 2014 (Unaudited) and December 31, 2013

ASSETS	September 30, 2014		December 31, 2013

Cash and cash equivalents	$	53,455,368	$	38,783,078
Due from broker		4,232,472		4,228,397
Net unrealized gain on open futures contracts, at fair value		1,913,688		581,248
Interest receivable		177		7

Total assets	$	59,601,705	$	43,592,730

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	613,438	$	4,728,284
Brokerage commissions payable		14,710		14,594
Management fee payable		24,602		19,388
Accrued expenses		8,865		8,652

Total liabilities		661,615		4,770,918

Investors’ interest		58,940,090		38,821,812

Total liabilities and investors’ interest	$	59,601,705	$	43,592,730

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Unleveraged Series

September 30, 2014 (Unaudited)

Description	Number of Contracts			Unrealized gain		Percentage of investors’ interest

Futures*

Long futures contracts
Financial		137		$	12,115		0.02	%
Commodity		21			76,710		0.13
		158			88,825		0.15

Short futures contracts
Financial		(171	)		748,231		1.27
Commodity		(327	)		1,076,632		1.83
		(498	)		1,824,863		3.10

Net unrealized gain on open futures contracts, at fair value				$	1,913,688		3.25	%

* 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

Description	Number of contracts			Unrealized gain		Percentage of investors’ 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 nine months ended September 30, 2014 and 2013 (Unaudited)

	For the three months ended September 30, 2014			For the three months ended September 30, 2013			For the nine months ended September 30, 2014			For the nine months ended September 30, 2013
Investment income
Interest	$	5,209		$	3,693		$	13,569		$	17,966

Expenses
Brokerage commissions		47,006			48,774			125,582			144,975
Management fee		73,474			61,593			171,326			180,347
Operating expenses		59,136			50,665			143,298			148,035

Total expenses		179,616			161,032			440,206			473,357

Net investment loss		(174,407	)		(157,339	)		(426,637	)		(455,391	)

Realized and unrealized gain (loss) on investments
Net realized (loss) gain on investments		(52,692	)		357,848			24,861			(998,403	)
Net change in unrealized appreciation and depreciation on investments		1,714,662			(400,021	)		1,321,918			52,648
Net realized and unrealized gain (loss) on investments		1,661,970			(42,173	)		1,346,779			(945,755	)

Net gain (loss)	$	1,487,563		$	(199,512	)	$	920,142		$	(1,401,146	)

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 nine months ended September 30, 2014 (Unaudited)

	Unleveraged Series

	Class A Shares			Class B Shares			Class C Shares		Class D Shares			Class E Shares		Total Unleveraged Series
Investors’ interest at December 31, 2013	$	1,133,968		$	786,759		$	1,175	$	36,899,910		$	─	$	38,821,812
Subscriptions		─			─			─		3,275,000			19,599,401		22,874,401
Redemptions		(741,914	)		(64,093	)		─		(2,870,258	)		─		(3,676,265	)
Net (loss) income		(13,022	)		4,254			8		417,912			510,990		920,142
Investors’ interest at September 30, 2014	$	379,032		$	726,920		$	1,183	$	37,722,564		$	20,110,391	$	58,940,090

Shares at December 31, 2013		11,165			6,674			11		342,573			─
Subscriptions		─			─			─		30,845			195,994
Redemptions		(7,431	)		(551	)		─		(26,819	)		─
Shares at September 30, 2014		3,734			6,123			11		346,599			195,994
Net asset value per share:
September 30, 2014	$	101.52		$	118.73		$	104.06	$	108.84			102.61

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 nine months ended September 30, 2013 (Unaudited)

	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

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Index^TM Unleveraged Series

For the nine months ended September 30, 2014 and 2013 (Unaudited)

	September 30, 2014			September 30, 2013

Cash flows from operating activities
Net income (loss)	$	920,142		$	(1,401,146	)
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		(4,075	)		1,001,892
Net unrealized gain on open futures contracts		(1,332,440	)		(47,330	)
Interest receivable		(170	)		(77,627	)
Brokerage commissions payable		116			1,241
Management fee payable		5,214			1,546
Accrued expenses		213			9,709

Net cash and cash equivalents used in operating activities		(411,000	)		(511,715	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		22,874,401			15,075,000
Redemptions paid		(7,791,111	)		(10,000,703	)

Net cash and cash equivalents provided by financing activities		15,083,290			5,074,297

Net increase in cash and cash equivalents		14,672,290			4,562,582

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

Cash and cash equivalents at end of period	$	53,455,368		$	41,160,101

Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	613,438		$	353,916

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 September 30, 2014 (Unaudited) and December 31, 2013

ASSETS	September 30, 2014		December 31, 2013

Cash and cash equivalents	$	9,672	$	354,768
Due from broker		3,732,197		5,751,321
Net unrealized gain on open futures contracts, at fair value		381,124		191,379

Total assets	$	4,122,993	$	6,297,468

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	39,334	$	1,818,018
Brokerage commissions payable		3,404		6,411
Management fee payable		4,355		8,401
Accrued expenses		1,650		1,398

Total liabilities		48,743		1,834,228

Investors’ interest		4,074,250		4,463,240

Total liabilities and investors’ interest	$	4,122,993	$	6,297,468

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Leveraged Series

September 30, 2014 (Unaudited)

Description	Number of contracts			Unrealized gain		Percentage of investors’ interest

Futures*

Long futures contracts
Financial		27		$	240		0.01	%
Commodity		4			14,410		0.35
		31			14,650		0.36

Short futures contracts
Financial		(34	)		145,782		3.58
Commodity		(66	)		220,692		5.42
		(100	)		366,474		9.00

Net unrealized gain on open futures contracts, at fair value				$	381,124		9.36	%

* 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

Description	Number of contracts			Unrealized gain		Percentage of investors’ 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 nine months ended September 30, 2014 and 2013 (Unaudited)

	For the three months ended September 30, 2014			For the three months ended September 30, 2013			For the nine months ended September 30, 2014			For the nine months ended September 30, 2013
Investment income
Interest	$	17		$	─		$	31		$	2,561

Expenses
Interest		─			137			─			─
Brokerage commissions		10,783			25,810			35,374			116,924
Management fee		12,991			32,082			42,839			142,976
Operating expenses		4,451			9,182			14,621			44,539

Total expenses		28,225			67,211			92,834			304,439

Net investment loss		(28,208	)		(67,211	)		(92,803	)		(301,878	)

Realized and unrealized gain (loss) on investments
Net realized gain (loss) on investments		11,946			214,922			51,203			(1,255,705	)
Net change in unrealized appreciation and depreciation on investments		313,549			(213,295	)		188,666			204,081

Net realized and unrealized gain (loss) on investments		325,495			1,627			239,869			(1,051,624	)

Net gain (loss)	$	297,287		$	(65,584	)	$	147,066		$	(1,353,502	)

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 nine months ended September 30, 2014 (Unaudited)

	Class A Shares			Class B Shares			Class C Shares		Class D Shares			Total Leveraged Series
Investors’ interest at December 31, 2013	$	369,018		$	1,118,984		$	1,010	$	2,974,228		$	4,463,240
Subscriptions		─			─			─		─			─
Redemptions		(260,250	)		(226,982	)		─		(48,824	)		(536,056	)
Net (loss) income		(6,058	)		27,160			38		125,926			147,066
Investors’ interest at September 30, 2014	$	102,710		$	919,162		$	1,048	$	3,051,330		$	4,074,250

Shares at December 31, 2013		4,998			12,268			14		31,023
Subscriptions		─			─			─		─
Redemptions		(3,641	)		(2,546	)		─		(513	)
Shares at September 30, 2014		1,357			9,722			14		30,510
Net asset value per share:
September 30, 2014	$	75.68		$	94.55		$	77.63	$	100.02

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 nine months ended September 30, 2013 (Unaudited)

	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Total 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		(329,170	)		(2,921,997	)		─			(8,184,713	)		(11,435,880	)
Net loss		(170,290	)		(341,140	)		(96	)		(841,976	)		(1,353,502	)
Investors’ interest at September 30, 2013	$	1,324,534		$	1,897,443		$	979		$	4,115,767		$	7,338,723

Shares at December 31, 2012		22,834			52,162			14			129,732
Subscriptions		─			926			─			─
Redemptions		(4,405	)		(31,639	)		─			(85,375	)
Shares at September 30, 2013		18,429			21,449			14			44,357
Net asset value per share:
September 30, 2013	$	71.87		$	88.47		$	72.56		$	92.79

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Index^TM Leveraged Series

For the nine months ended September 30, 2014 and 2013 (Unaudited)

	September 30, 2014			September 30, 2013

Cash flows from operating activities
Net income (loss)	$	147,066		$	(1,353,502	)
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		2,019,124			1,262,225
Net unrealized gain on open futures contracts		(189,745	)		(199,934	)
Interest receivable		─			5
Other assets		─			1,073
Brokerage commissions payable		(3,007	)		(12,080	)
Management fee payable		(4,046	)		(16,040	)
Accrued expenses		252			699

Net cash and cash equivalents provided by (used in) operating activities		1,969,644			(317,554	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		─			─
Redemptions paid		(2,314,740	)		(12,646,741	)

Net cash and cash equivalents used in financing activities		(2,314,740	)		(12,646,741	)

Net decrease in cash and cash equivalents		(345,096	)		(12,964,295	)

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

Cash and cash equivalents at end of period	$	9,672		$	1,073,923

Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	39,334		$	21,509

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 September 30, 2014 (Unaudited) and December 31, 2013

ASSETS	September 30, 2014		December 31, 2013

Cash and cash equivalents	$	126,587,694	$	123,776,520
Due from broker		2,817,802		5,734,958
Net unrealized gain on open futures contracts, at fair value		666,770		78,333
Interest receivable		39		19

Total assets	$	130,072,305	$	129,589,830

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Brokerage commissions payable		31,474		31,849
Management fee payable		53,993		54,163
Accrued expenses		24,708		24,721
Subscriptions received in advance		250,000		─

Total liabilities		360,175		110,733

Investors’ interest		129,712,130		129,479,097

Total liabilities and investors’ interest	$	130,072,305	$	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

September 30, 2014 (Unaudited)

Description	Number of contracts		Unrealized gain		Percentage of investors’ interest

Futures*

Long futures contracts
Commodity		184	$	666,770		0.51	%

Net unrealized gain on open futures contracts, at fair value			$	666,770		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 Commodity L/N Index Unleveraged Series

December 31, 2013

Description	Number of contracts		Unrealized gain		Percentage of investors’ 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 nine months ended September 30, 2014 and 2013 (Unaudited)

	For the three months ended September 30, 2014			For the three months ended September 30, 2013			For the nine months ended September 30, 2014			For the nine months ended September 30, 2013
Investment income
Interest	$	18,842		$	14,736		$	52,953		$	55,385

Expenses
Brokerage commissions		98,229			95,152			296,711			275,419
Management fee		165,312			162,427			500,988			460,695
Operating expenses		140,389			138,949			424,675			388,156

Total expenses		403,930			396,528			1,222,374			1,124,270

Net investment loss		(385,088	)		(381,792	)		(1,169,421	)		(1,068,885	)

Realized and unrealized (loss) gain on investments
Net realized (loss) gain on investments		(4,757,657	)		1,348,420			(2,885,410	)		(4,792,180	)
Net change in unrealized depreciation and appreciation on investments		(907,514	)		541,685			587,864			301,091

Net realized and unrealized (loss) gain on investments		(5,665,171	)		1,890,105			(2,297,546	)		(4,491,089	)

Net (loss) income	$	(6,050,259	)	$	1,508,313		$	(3,466,967	)	$	(5,559,974	)

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 nine months ended September 30, 2014 (Unaudited)

	Class D Shares			Class E Shares			Total 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 loss		(2,135,095	)		(1,331,872	)		(3,466,967	)
Investors’ interest at September 30, 2014	$	76,309,872		$	53,402,258		$	129,712,130

Shares at December 31, 2013		819,002			618,735
Subscriptions		39,614			─
Shares at September 30, 2014		858,616			618,735
Net asset value per share:
September 30, 2014	$	88.88		$	86.31

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 nine months ended September 30, 2013 (Unaudited)

	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

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 nine months ended September 30, 2014 and 2013 (Unaudited)

	September 30, 2014			September 30, 2013

Cash flows from operating activities
Net loss	$	(3,466,967	)	$	(5,559,974	)
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		2,917,156			4,211,776
Net unrealized gain on open futures contracts		(588,437	)		(308,012	)
Interest receivable		(20	)		(93,161	)
Brokerage commissions payable		(375	)		4,621
Management fee payable		(170	)		8,327
Accrued expenses		(13	)		33,707

Net cash and cash equivalents used in operating activities		(1,138,826	)		(1,702,716	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		3,950,000			25,538,470

Net cash and cash equivalents provided by financing activities		3,950,000			25,538,470

Net increase in cash and cash equivalents		2,811,174			23,835,754

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

Cash and cash equivalents at end of period	$	126,587,694		$	124,772,022

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 September 30, 2014 (Unaudited) and December 31, 2013

ASSETS	September 30, 2014		December 31, 2013

Cash and cash equivalents	$	37,738,322	$	32,852,364
Due from broker		3,224,374		4,620,026
Net unrealized gain on open futures contracts, at fair value		3,385,079		134,376
Interest receivable		42		1

Total assets	$	44,347,817	$	37,606,767

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Brokerage commissions payable		12,207		12,046
Management fee payable		17,255		15,812
Accrued expenses		6,940		6,833

Total liabilities		36,402		34,691

Investors’ interest		44,311,415		37,572,076

Total liabilities and investors’ interest	$	44,347,817	$	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

September 30, 2014 (Unaudited)

Description	Number of contracts			Unrealized gain		Percentage of investors’ interest

Futures*

Long futures contracts
Commodity		61		$	222,020		0.50	%

Short futures contracts
Commodity		(971	)		3,163,059		7.14

Net unrealized gain on open futures contracts, at fair value				$	3,385,079		7.64	%

* 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

Description	Number of contracts			Unrealized gain		Percentage of investors’ 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 nine months ended September 30, 2014 and 2013 (Unaudited)

	For the three months ended September 30, 2014			For the three months ended September 30, 2013			For the nine months ended September 30, 2014			For the nine months ended September 30, 2013
Investment income
Interest	$	5,071		$	3,550		$	13,556		$	19,417

Expenses
Brokerage commissions		38,373			38,085			113,398			125,716
Management fee		47,966			47,604			141,747			157,145
Operating expenses		40,439			40,289			119,912			133,692

Total expenses		126,778			125,978			375,057			416,553

Net investment loss		(121,707	)		(122,428	)		(361,501	)		(397,136	)

Realized and unrealized gain (loss) on investments
Net realized (loss) gain on investments		(542,367	)		476,242			(1,374,300	)		(2,276,495	)
Net change in unrealized appreciation on investments		2,921,636			(233,770	)		3,250,140			986,310

Net realized and unrealized gain (loss) on investments		2,379,269			242,472			1,875,840			(1,290,185	)

Net gain (loss)	$	2,257,562		$	120,044		$	1,514,339		$	(1,687,321	)

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 nine months ended September 30, 2014 (Unaudited)

	Total Commodity L/S Unleveraged Series
Investors’ interest at December 31, 2013	$	37,572,076
Subscriptions		5,225,000
Net income		1,514,339

Investors’ interest at September 30, 2014	$	44,311,415

Shares at December 31, 2013		441,627
Subscriptions		63,740

Shares at September 30, 2014		505,367
Net asset value per share:
September 30, 2014	$	87.68

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 nine months ended September 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		(1,687,321	)

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

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 nine months ended September 30, 2014 and 2013 (Unaudited)

	September 30, 2014			September 30, 2013

Cash flows from operating activities
Net income (loss)	$	1,514,339		$	(1,687,321	)
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		1,395,652			(698,528	)
Net unrealized gain on open futures contracts		(3,250,703	)		(989,724	)
Interest receivable		(41	)		(30,908	)
Brokerage commissions payable		161			(3,402	)
Management fee payable		1,443			(4,100	)
Accrued expenses		107			9,649

Net cash and cash equivalents used in operating activities		(339,042	)		(3,404,334	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		5,225,000			11,500,000
Redemptions paid		─			(19,038,470	)

Net cash and cash equivalents provided by (used in) financing activities		5,225,000			(7,538,470	)

Net increase (decrease) in cash and cash equivalents		4,885,958			(10,942,804	)

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

Cash and cash equivalents at end of period	$	37,738,322		$	32,797,813

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

Trust Total

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

ASSETS	September 30, 2014		December 31, 2013

Cash and cash equivalents	$	217,791,056	$	195,766,730
Due from broker		14,006,845		20,334,702
Net unrealized gain on open futures contracts, at fair value		6,346,661		985,336
Interest receivable		258		27

Total assets	$	238,144,820	$	217,086,795

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	652,772	$	6,546,302
Brokerage commissions payable		61,795		64,900
Management fee payable		100,205		97,764
Subscriptions received in advance		250,000		─
Accrued expenses		42,163		41,604

Total liabilities		1,106,935		6,750,570

Investors’ interest		237,037,885		210,336,225

Total liabilities and investors’ interest	$	238,144,820	$	217,086,795

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

September 30, 2014 (Unaudited)

Description	Number of contracts			Unrealized gain		Percentage of investors’ interest

Futures*

Long futures contracts
Financial		164		$	12,355		0.01	%
Commodity		270			979,910		0.41
		434			992,265		0.42

Short futures contracts
Financial		(205	)		894,013		0.38
Commodity		(1,364	)		4,460,383		1.88
		(1,569	)		5,354,396		2.26
Net unrealized gain on open futures contracts, at fair value				$	6,346,661		2.68	%

* 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

Description	Number of contracts			Unrealized gain		Percentage of investors’ 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 nine months ended September 30, 2014 and 2013 (Unaudited)

	For the three months ended September 30, 2014			For the three months ended September 30, 2013			For the nine months ended September 30, 2014			For the nine months ended September 30, 2013
Investment income
Interest	$	29,139		$	21,979		$	80,109		$	95,329

Expenses
Interest		─			137			─			─
Brokerage commissions		194,391			207,821			571,065			663,034
Management fee		299,743			303,706			856,900			941,163
Operating expenses		244,415			239,085			702,506			714,422

Total expenses		738,549			750,749			2,130,471			2,318,619

Net investment loss		(709,410	)		(728,770	)		(2,050,362	)		(2,223,290	)

Realized and unrealized (loss) gain on investments
Net realized (loss) gain on investments		(5,340,770	)		2,397,432			(4,183,646	)		(9,322,783	)
Net change in unrealized appreciation and depreciation on investments		4,042,333			(305,401	)		5,348,588			1,544,130

Net realized and unrealized (loss) gain on investments		(1,298,437	)		2,092,031			1,164,942			(7,778,653	)

Net (loss) income	$	(2,007,847	)	$	1,363,261		$	(885,420	)	$	(10,001,943	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS INTEREST

Trust Total

For the nine months ended September 30, 2014 (Unaudited)

	Total investor interest
Investors’ interest at December 31, 2013	$	210,336,225
Subscriptions		31,799,401
Redemptions		(4,212,321	)
Net loss		(885,420	)

Investors’ interest at September 30, 2014	$	237,037,885

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS INTEREST

Trust Total

For the nine months ended September 30, 2013 (Unaudited)

	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

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

Trust Total

For the nine months ended September 30, 2014 and 2013 (Unaudited)

	September 30, 2014			September 30, 2013

Cash flows from operating activities
Net loss	$	(885,420	)	$	(10,001,943	)
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		6,327,857			5,777,365
Net unrealized gain on open futures contracts		(5,361,325	)		(1,545,000	)
Interest receivable		(231	)		(201,691	)
Other assets		─			1,073
Brokerage commissions payable		(3,105	)		(9,620	)
Management fee payable		2,441			(10,267	)
Accrued expenses		559			53,764

Net cash and cash equivalents provided by (used in) operating activities		80,776			(5,936,319	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		32,049,401			52,113,470
Redemptions paid		(10,105,851	)		(41,685,914	)

Net cash and cash equivalents provided by financing activities		21,943,550			10,427,556

Net increase in cash and cash equivalents		22,024,326			4,491,237

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

Cash and cash equivalents at end of period	$	217,791,056		$	199,803,859

Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	652,772		$	375,425

Subscriptions recorded which were received in advance	$	0		$	2,040,000

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements

September 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 September 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 September 30, 2014 and the results of its operations for the three and nine months ended September 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)

September 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 September 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

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

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 September 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, 2010) 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 2011 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

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

3. Cash and Cash Equivalents

The Trust’s cash and cash equivalents consisted of:

September 30, 2014	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Institutional Treasury Money Market Fund	$	21,447,000	$	3,000	$	4,886,000	$	5,112,000	$	31,448,000
U.S. Government Agency Securities		31,898,873		─		121,591,310		32,529,125		186,019,308
Cash		108,051		4,903		108,486		96,068		317,508
Cash in Checking Account		1,444		1,769		1,898		1,129		6,240
Total	$	53,455,368	$	9,672	$	126,587,694	$	37,738,322	$	217,791,056

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

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

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 September 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 September 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 September 30, 2014, the 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 September 30, 2014 and December 31, 2013:

	September 30, 2014		December 31, 2013
Unleveraged Series	$	1,217,968	$	788,023
Leveraged Series		241,144		266,992
Commodity L/N Unleveraged Series		242,880		1,530,033
Commodity L/S Unleveraged Series		1,888,040		1,615,519
Total	$	3,590,032	$	4,200,567

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

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

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
	Brokerage fee			Management fee			Organizational fee			Operating expense			Selling expense			Total fees and 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
	Brokerage fee			Management fee			Organizational fee			Operating expense			Selling expense			Total fees and 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

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

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

Brokerage

fee

Management

fee

Organizational

fee

Operating

expense

Selling

expense

Total fees

and

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

Brokerage

fee

Management

fee

Organizational

fee

Operating

expense

Selling

expense

Total fees

And

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

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

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 September 30, 2014 and December 31, 2013:

	September 30, 2014					December 31, 2013
Unleveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	830,104	$	(69,758	)	$	572,412	$	(15,762	)
Commodity futures		1,228,395		(75,053	)		238,206		(213,608	)
Total	$	2,058,499	$	(144,811	)	$	810,618	$	(229,370	)

	September 30, 2014					December 31, 2013
Leveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	160,956	$	(14,934	)	$	194,140	$	(7,881	)
Commodity futures		249,463		(14,361	)		78,556		(73,436	)
Total	$	410,419	$	(29,295	)	$	272,696	$	(81,317	)

	September 30, 2014				December 31, 2013
Commodity L/N Unleveraged Series	Asset		Liability		Asset		Liability
Commodity futures	$	666,770	$	─	$	275,213	$	(196,880	)
Total	$	666,770	$	─	$	275,213	$	(196,880	)

	September 30, 2014					December 31, 2013
Commodity L/S Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	3,582,607	$	(197,528	)	$	946,194	$	(811,818	)
Total	$	3,582,607	$	(197,528	)	$	946,194	$	(811,818	)

	September 30, 2014					December 31, 2013
Trust Total	Asset		Liability			Asset		Liability
Financial futures	$	991,060	$	(84,692	)	$	766,552	$	(23,643	)
Commodity futures		5,727,235		(286,942	)		1,538,169		(1,295,742	)
Total	$	6,718,295	$	(371,634	)	$	2,304,721	$	(1,319,385	)

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

7. Derivative Financial Instruments (continued)

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

	Three months ended September 30, 2014							Three months ended September 30, 2013
Unleveraged	Realized			Unrealized		Total		Realized		Unrealized			Total
Financial futures	$	190,537		$	690,674	$	881,211	$	177,709	$	(301,242	)	$	(123,533	)
Commodity futures		(243,229	)		1,038,864		795,635		180,139		(98,332	)		81,807
Total	$	(52,692	)	$	1,729,538	$	1,676,846	$	357,848	$	(399,574	)	$	(41,726	)

	Three months ended September 30, 2014							Three months ended September 30, 2013
Leveraged	Realized			Unrealized		Total		Realized		Unrealized			Total
Financial futures	$	58,326		$	120,498	$	178,824	$	105,806	$	(169,569	)	$	(63,763	)
Commodity futures		(46,380	)		196,911		150,531		109,116		(42,115	)		67,001
Total	$	11,946		$	317,409	$	329,355	$	214,922	$	(211,684	)	$	3,238

	Three months ended September 30, 2014									Three months ended September 30, 2013
Commodity L/N	Realized			Unrealized			Total			Realized		Unrealized		Total
Commodity futures	$	(4,757,657	)	$	(908,249	)	$	(5,665,906	)	$	1,348,420	$	543,354	$	1,891,774
Total	$	(4,757,657	)	$	(908,249	)	$	(5,665,906	)	$	1,348,420	$	543,354	$	1,891,774

	Three months ended September 30, 2014							Three months ended September 30, 2013
Commodity L/S	Realized			Unrealized		Total		Realized		Unrealized			Total
Commodity futures	$	(542,367	)	$	2,921,711	$	2,379,344	$	476,242	$	(232,884	)	$	243,358
Total	$	(542,367	)	$	2,921,711	$	2,379,344	$	476,242	$	(232,884	)	$	243,358

	Three months ended September 30, 2014								Three months ended September 30, 2013
Trust Total	Realized			Unrealized		Total			Realized		Unrealized			Total
Financial futures	$	248,863		$	811,172	$	1,060,035		$	283,515	$	(470,811	)	$	(187,296	)
Commodity futures		(5,589,633	)		3,249,237		(2,340,396	)		2,113,917		170,023			2,283,940
Total	$	(5,340,770	)	$	4,060,409	$	(1,280,361	)	$	2,397,432	$	(300,788	)	$	2,096,644

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2014

7. Derivative Financial Instruments (continued)

	Nine months ended September 30, 2014							Nine months ended September 30, 2013
Unleveraged	Realized			Unrealized		Total		Realized			Unrealized			Total
Financial futures	$	466,151		$	203,696	$	669,847	$	(681,784	)	$	(143,248	)	$	(825,032	)
Commodity futures		(441,290	)		1,128,744		687,454		(316,619	)		190,578			(126,041	)
Total	$	24,861		$	1,332,440	$	1,357,301	$	(998,403	)	$	47,330		$	(951,073	)

	Nine months ended September 30, 2014								Nine months ended September 30, 2013
Leveraged	Realized			Unrealized			Total		Realized			Unrealized			Total
Financial futures	$	159,589		$	(40,237	)	$	119,352	$	(599,596	)	$	(101,145	)	$	(700,741	)
Commodity futures		(108,386	)		229,982			121,596		(656,109	)		301,079			(355,030	)
Total	$	51,203		$	189,745		$	240,948	$	(1,255,705	)	$	199,934		$	(1,055,771	)

	Nine months ended September 30, 2014								Nine months ended September 30, 2013
Commodity L/N	Realized			Unrealized		Total			Realized			Unrealized		Total
Commodity futures	$	(2,885,410	)	$	588,437	$	(2,296,973	)	$	(4,792,180	)	$	308,012	$	(4,484,168	)
Total	$	(2,885,410	)	$	588,437	$	(2,296,973	)	$	(4,792,180	)	$	308,012	$	(4,484,168	)

	Nine months ended September 30, 2014							Nine months ended September 30, 2013
Commodity L/S	Realized			Unrealized		Total		Realized			Unrealized		Total
Commodity futures	$	(1,374,300	)	$	3,250,703	$	1,876,403	$	(2,276,495	)	$	989,724	$	(1,286,771	)
Total	$	(1,374,300	)	$	3,250,703	$	1,876,403	$	(2,276,495	)	$	989,724	$	(1,286,771	)

	Nine months ended September 30, 2014							Nine months ended September 30, 2013
Trust Total	Realized			Unrealized		Total		Realized			Unrealized			Total
Financial futures	$	625,740		$	163,459	$	789,199	$	(1,281,380	)	$	(244,393	)	$	(1,525,773	)
Commodity futures		(4,809,386	)		5,197,866		388,480		(8,041,403	)		1,789,393			(6,252,010	)
Total	$	(4,183,646	)	$	5,361,325	$	1,177,679	$	(9,322,783	)	$	1,545,000		$	(7,777,783	)

The following tables reflect the trading activity for derivative financial instruments for the three months and six months ended September 30, 2014 and 2013:

Number of

Contracts Opened

Number of

Contracts Closed

Number of

Contracts Opened

Number of

Contracts Closed

Three months ended

September 30, 2014

Three months ended

September 30, 2014

Three months ended

September 30, 2013

Three months ended

September 30, 2013

Unleveraged

738

660

517

513

MLM INDEX FUND 10-Q