UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C.20549

FORM 10-Q

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

Exchange Act of 1934

For the quarterly period ended ~~March~~June 3130, 2015

☐ 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)

(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)

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

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)

(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 ☒ No ☐

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 ☒ No ☐

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 ☐ Accelerated Filer ☐ Non-Accelerated Filer ☒ Smaller Reporting Company ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12-b-2 of the Exchange Act).

Yes ☐ No ☒

MLM Index™ Fund

Index to FORM 10-Q

~~March~~June 3130, 2015

PART I – FINANCIAL INFORMATION
Item 1 Unaudited Condensed Financial Statements:	Page Number
		Page
MLM Index™ Unleveraged Series	4-10
Item 1	Unaudited Condensed Financial Statements:	Number
MLM Index™ Leveraged Series	11-17
MLM Index™ Unleveraged Series		3-9
MLM Commodity L/N Unleveraged Series	18-24
MLM Index™ Leveraged Series		10-16
MLM Commodity L/S Unleveraged Series	25-31
MLM Commodity L/N Unleveraged Series		17-23
Total Trust	32-38
MLM Commodity L/S Unleveraged Series		24-30
Notes to Unaudited Condensed Financial Statements	39-50
Total Trust		31-37
Item 2 Management’s Discussion and Analysis of Financial Condition and Results of Operations	51-55
Notes to Unaudited Condensed Financial Statements		38-51
Item 3 Quantitative and Qualitative Disclosures of Market Risk	55-57
Item 2	Management’s Discussion and Analysis of Financial Condition and Results of Operations	52-56
Item 4 Controls and Procedures	57-58
Item 3	Quantitative and Qualitative Disclosures of Market Risk	56-58
PART II – OTHER INFORMATION
Item 4	Controls and Procedures	58-59
Item 1 Legal Proceedings	59
PART II – OTHER INFORMATION
Item 1A Risk Factors	59
Item 1	Legal Proceedings	60
Item 2 Unregistered Sales of Equity Securities and Use of Proceeds	59
Item 1A	Risk Factors	60
Item 3 Defaults Upon Senior Securities	59
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	60
Item 4 Mine Safety Disclosures	59
Item 3	Defaults Upon Senior Securities	60
Item 5 Other Information	59
Item 4	Mine Safety Disclosures	60
Item 6 Exhibits and Reports on Form 8-K	60
Item 5	Other Information	60
Item 6	Exhibits and Reports on Form 8-K	61

Index

Item 1.

Financial Statements.

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Index^TM Unleveraged Series

As of ~~March~~June 3130, 2015 (Unaudited) and December 31, 2014

ASSETS	~~March~~June 3130, 2015		December 31, 2014
Cash and cash equivalents	$	3123,~~493~~542,~~042~~477	$	32,065,884
Due from broker		8,~~467~~359,~~820~~108		7,050,518
Net unrealized gain on open futures contracts, at fair value		~~1,125,368~~‒		1,696,733
Interest receivable	‒	‒		12
Total assets	$	4131,~~086~~901,~~230~~585	$	40,813,147
LIABILITIES AND INVESTORS’ INTEREST
Liabilities
Redemptions payable	$	153,840	$	‒
Net unrealized loss on open futures contracts, at fair value	$	238,191	$	‒
Brokerage commissions payable		1310,~~697~~081		13,429
Management fee payable		1713,~~102~~831		16,921
Accrued expenses		87,~~845~~917		8,320
Total liabilities		~~193~~270,~~484~~020		38,670
Investors’ interest		4031,~~892~~631,~~746~~565		40,774,477
Total liabilities and investors’ interest	$	4131,~~086~~901,~~230~~585	$	40,813,147

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Unleveraged Series

~~March~~June 3130, 2015 (Unaudited)

Description	Number of Contracts			Unrealized gain/(loss)			Percentage of investors’ interest
Futures*
Long futures contracts
Financial		~~102~~93		$	~~165~~(34,~~154~~311	)		(0.4011	)%
Commodity		1612			13(12,~~990~~550	)		(0.0304	)
		118			179,144			0.43
		105			(46,861	)		(0.15	)
Short futures contracts
Financial		(~~137~~88	)		~~368~~146,~~438~~138			0.9046
Commodity		(~~271~~211	)		~~577~~(337,~~786~~468	)		(1.4107	)
		(408	)		946,224			2.31
		(299	)		(191,330	)		(0.61	)
Net unrealized gain on open futures contracts, at fair value				$	1,125,368			2.74	%
Net unrealized loss on open futures contracts, at fair value				$	(238,191	)		(0.76	)%

* 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, 2014

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

Futures*
Long futures contracts
Financial		95		$	266,272			0.65	%
Commodity		43			(84,220	)		(0.21	)
		138			182,052			0.44

Short futures contracts
Financial		(125	)		400,687			0.98
Commodity		(207	)		1,113,994			2.73
		(332	)		1,514,681			3.71

Net unrealized gain on open futures contracts, at fair value				$	1,696,733			4.15	%

* 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 ~~March~~June 3130, 2015 and 2014 (Unaudited)

	For the three months ended March 31, 2015			For the three months ended March 31, 2014
	For the three months ended June 30, 2015			For the three months ended June 30, 2014			For the six months ended June 30, 2015			For the six months ended June 30, 2014
Investment income
Interest	$	53,~~623~~867		$	43,~~780~~580		$	9,490		$	8,360
Expenses
Brokerage commissions		4236,~~063~~759			4038,~~334~~242			78,822			78,576
Management fee		5145,~~964~~377			5047,~~457~~395			97,341			97,852
Operating expenses		4338,~~589~~840			4340,~~569~~593			82,429			84,162
Total expenses		~~137~~120,~~616~~976			~~134~~126,~~360~~230			258,592			260,590
Net investment loss		(~~131~~117,~~993~~109	)		(~~129~~122,~~580~~650	)		(249,102	)		(252,230	)
Realized and unrealized gain (loss) on investments
Realized and unrealized (loss) gain on investments
Net realized gain on investments		1,431,631			126,667
Net realized (loss) gain on investments		(114,456	)		(49,114	)		1,317,175			77,553
Net change in unrealized appreciation and depreciation on investments		(583,899	)		(693,504	)
Net change in unrealized depreciation and appreciation on investments		(1,352,534	)		300,760			(1,936,433	)		(392,744	)
Net realized and unrealized gain (loss) on investments		847,732			(566,837	)
Net realized and unrealized (loss) gain on investments		(1,466,990	)		251,646			(619,258	)		(315,191	)
Net income (loss)	$	715,739		$	(696,417	)
Net (loss) income	$	(1,584,099	)	$	128,996		$	(868,360	)	$	(567,421	)

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 ~~three~~six months ended ~~March~~June 3130, 2015 (Unaudited)

	~~Unleveraged Series~~	Unleveraged Series
	~~Class A Shares~~	Class A Shares			~~Class B Shares~~	Class B Shares			~~Class C Shares~~	Class C Shares			~~Class D Shares~~	Class D Shares			~~Class E Shares~~	Class E Shares			Total Unleveraged Series
Investors’ interest at December 31, 2014		$	398,029			$	746,869			$	1,245			$	39,627,310			$	1,024		$	40,774,477
Subscriptions	─				─				─				─				─				─
Redemptions			‒				(27,761	)			‒				(8,246,791	)			‒			(8,274,552	)
Redemptions	─						(27,761	)	─						(569,709	)	─					(597,470	)
Net loss			(12,389	)			(18,430	)			(33	)			(837,485	)			(23	)		(868,360	)
Net income			5,618				12,429				21				697,652				19			715,739
Investors’ interest at June 30, 2015		$	385,640			$	700,678			$	1,212			$	30,543,034			$	1,001		$	31,631,565
Investors’ interest at March 31, 2015		$	403,647			$	731,537			$	1,266			$	39,755,253			$	1,043		$	40,892,746
Shares at December 31, 2014			3,734				5,977				11				345,489				9
Subscriptions	─				─				─				─				─
Redemptions			‒				(218	)			‒				(72,641	)			‒
Redemptions		─					(218	)	─						(4,939	)		─
Shares at June 30, 2015			3,734				5,759				11				272,848				9
Shares at March 31, 2015			3,734				5,759				11				340,550				9
Net asset value per share:
March 31, 2015		$	108.11			$	127.06			$	111.35			$	116.74			$	110.19
June 30, 2015		$	103.29			$	121.70			$	106.64			$	111.94			$	105.73

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 ~~three~~six months ended ~~March~~June 3130, 2014 (Unaudited)

	Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Total 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		(~~513~~741,~~972~~914	)	─	(51,139	)	─	─			(~~500~~2,~~000~~210,059	)		(13,~~013~~003,~~972~~112	)
Net loss		(21,~~020~~092	)		(1513,~~102~~293	)		(2320	)		(~~660~~533,~~272~~016	)		(~~696~~567,~~417~~421	)
Investors’ interest at March 31, 2014	$	598,976		$	771,657		$	1,152		$	35,739,638		$	37,111,423
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		(57,~~137~~431	)	─	(441	)	─	─			(420,~~661~~738	)
Shares at March 31, 2014		6,028			6,674			11			337,912
Shares at June 30, 2014		3,734			6,233			11			327,472
Net asset value per share:
March 31, 2014	$	99.37		$	115.64		$	101.38		$	105.77
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 CASH FLOWS

MLM Index^TM Unleveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	March 31, 2015			March 31, 2014
	June 30, 2015			June 30, 2014
Cash flows from operating activities
Net income (loss)	$	715,739		$	(696,417	)
Net loss	$	(868,360	)	$	(567,421	)
Adjustments to reconcile net income (loss) to net cash and cash equivalents used in operating activities
Adjustments to reconcile net loss to net cash and cash equivalents used in operating activities
Net change in operating assets and liabilities
Due from broker		(1,~~417~~308,~~302~~590	)		(~~128~~76,~~101~~198	)
Net unrealized gain on open futures contracts		571,365			698,787
Net unrealized loss on open futures contracts		1,934,924			397,098
Interest receivable		12			71
Brokerage commissions payable		~~268~~(3,348	)		(12,~~836~~895	)
Management fee payable		~~181~~(3,090	)		(23,~~883~~709	)
Accrued expenses		~~525~~(403	)		~~(796~~995	)
Net cash and cash equivalents used in operating activities		(~~129~~248,~~212~~855	)		(~~131~~252,~~239~~129	)
Cash flows from financing activities
Redemptions paid		(443,630	)		(5,484,111	)
Subscriptions received, net of selling commissions		‒			21,069,448
Net cash and cash equivalents used in financing activities		(443,630	)		(5,484,111	)
Redemptions paid		(8,274,552	)		(7,123,578	)
Net decrease in cash and cash equivalents		(572,842	)		(5,615,350	)
Net cash and cash equivalents (used in) provided by financing activities		(8,274,552	)		13,945,870
Net (decrease) increase in cash and cash equivalents		(8,523,407	)		13,693,741
Cash and cash equivalents at beginning of period		32,065,884			38,783,078
Cash and cash equivalents at end of period	$	3123,~~493~~542,~~042~~477		$	3352,~~167~~476,~~728~~819
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	~~153,840~~‒		$	~~258~~607,~~145~~818

See Notes to Unaudited Condensed Financial Statements.

109

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Index^TM Leveraged Series

As of ~~March~~June 3130, 2015 (Unaudited) and December 31, 2014

ASSETS	~~March~~June 3130, 2015		December 31, 2014
Cash and cash equivalents	$	65,~~828~~710	$	13,333
Due from broker		43,~~662~~036,~~180~~836		4,171,516
Net unrealized gain on open futures contracts, at fair value		~~315,683~~‒		570,754
Other assets		37,~~428~~459		10,301
Total assets	$	43,~~988~~050,~~119~~005	$	4,765,904
LIABILITIES AND INVESTORS’ INTEREST
Liabilities
Redemptions payable	$	~~790~~74,~~665~~422	$	-‒
Brokerage commissions payable		4,098		4,007
Net unrealized loss on open futures contracts, at fair value		61,168		‒
Management fee payable		5,191		4,926
Brokerage commissions payable		2,846		4,007
Accrued expenses		2,715		1,591
Management fee payable		3,569		4,926
Total liabilities		802,669		10,524
Accrued expenses		1,778		1,591
Investors’ interest		4,185,450		4,755,380
Total liabilities		143,783		10,524
Total liabilities and investors’ interest	$	4,988,119	$	4,765,904
Investors’ interest		2,906,222		4,755,380
Total liabilities and investors’ interest	$	3,050,005	$	4,765,904

See Notes to Unaudited Condensed Financial Statements.

1110

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Leveraged Series

~~March~~June 3130, 2015 (Unaudited)

Description	Number of contracts			Unrealized gain/(loss)			Percentage of investors’ interest
Futures*
Long futures contracts
Financial		3127		$	43(9,~~571~~673	)		1(0.0433	)%
Commodity		53			4(3,~~330~~180	)		(0.1011	)
		36			47,901			1.14
		30			(12,853	)		(0.44	)
Short futures contracts
Financial		(4224	)		~~102~~40,~~698~~666			21.4540
Commodity		(8259	)		~~165~~(88,~~084~~981	)		(3.9406	)
		(124	)		267,782			6.39
		(83	)		(48,315	)		(1.66	)
Net unrealized gain on open futures contracts, at fair value				$	315,683			7.53	%
Net unrealized loss on open futures contracts, at fair value				$	(61,168	)		(2.10	)%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

1211

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Leveraged Series

December 31, 2014

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

Futures*
Long futures contracts
Financial		32		$	87,758			1.85	%
Commodity		15			(26,278	)		(0.55	)
		47			61,480			1.30

Short futures contracts
Financial		(44	)		137,480			2.89
Commodity		(71	)		371,794			7.82
		(115	)		509,274			10.71

Net unrealized gain on open futures contracts, at fair value				$	570,754			12.01	%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

1312

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Index^TM Leveraged Series

For the three and six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	For the three months ended March 31, 2015			For the three months ended March 31, 2014
	For the three months ended June 30, 2015			For the three months ended June 30, 2014			For the six months ended June 30, 2015			For the six months ended June 30, 2014
Investment income
Interest	$	156		$	7		$	21		$	14
Expenses
Brokerage commissions		1310,~~280~~760			1211,~~805~~786			24,040			24,591
Management fee		1512,~~972~~456			1514,~~451~~397			28,428			29,848
Operating expenses		43,~~934~~894			54,~~411~~759			8,828			10,170
Total expenses		3427,~~186~~110			3330,~~667~~942			61,296			64,609
Net investment loss		(3427,~~171~~104	)		(3330,~~660~~935	)		(61,275	)		(64,595	)
Realized and unrealized gain (loss) on investments
Realized and unrealized (loss) gain on investments
Net realized gain on investments		544,839			57,426
Net realized (loss) gain on investments		(39,574	)		(18,169	)		505,265			39,257
Net change in unrealized appreciation and depreciation on investments		(258,794	)		(227,480	)
Net change in unrealized depreciation and appreciation on investments		(373,129	)		102,597			(631,923	)		(124,883	)
Net realized and unrealized gain (loss) on investments		286,045			(170,054	)
Net realized and unrealized (loss) gain on investments		(412,703	)		84,428			(126,658	)		(85,626	)
Net income (loss)	$	251,874		$	(203,714	)
Net (loss) income	$	(439,807	)	$	53,493		$	(187,933	)	$	(150,221	)

See Notes to Unaudited Condensed Financial Statements.

1413

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Leveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2015 (Unaudited)

	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Total Leveraged Series
Investors’ interest at December 31, 2014	$	119,796		$	1,055,532		$	1,227		$	3,578,825		$	4,755,380
Subscriptions	─			─			─			─			─
Redemptions		(31,139	)		(106,530	)		‒			(1,523,556	)		(1,661,225	)
Redemptions		(31,139	)		(32,108	)	─				(758,557	)		(821,804	)
Net loss		(5,851	)		(73,297	)		(89	)		(108,696	)		(187,933	)
Net income		5,636			54,275			63			191,900			251,874
Investors’ interest at June 30, 2015	$	82,806		$	875,705		$	1,138		$	1,946,573		$	2,906,222
Investors’ interest at March 31, 2015	$	94,293		$	1,077,699		$	1,290		$	3,012,168		$	4,185,450
Shares at December 31, 2014		1,357			9,538			14			30,510
Subscriptions	─			─			─			─
Redemptions		(337	)		(1,001	)		‒			(12,684	)
Redemptions		(337	)		(276	)	─				(6,137	)
Shares at June 30, 2015		1,020			8,537			14			17,826
Shares at March 31, 2015		1,020			9,262			14			24,373
Net asset value per share:
March 31, 2015	$	92.47		$	116.37		$	95.59		$	123.60
June 30, 2015	$	81.20		$	102.59		$	84.29		$	109.21

See Notes to Unaudited Condensed Financial Statements.

1514

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Leveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 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		(220,915	)		(203,015	)		─			(48,824	)		(472,754	)
Redemptions		(21,173	)		(124,346	)		─			(48,824	)		(194,343	)
Net loss		(15,644	)		(38,277	)		(37	)		(96,263	)		(150,221	)
Net loss		(18,296	)		(49,449	)		(49	)		(135,920	)		(203,714	)
Investors’ interest at June 30, 2014	$	132,459		$	877,692		$	973		$	2,829,141		$	3,840,265
Investors’ interest at March 31, 2014	$	329,549		$	945,189		$	961		$	2,789,484		$	4,065,183
Shares at December 31, 2013		4,998			12,268			14			31,023
Subscriptions	─			─			─			─
Redemptions		(3,121	)		(2,277	)		─			(513	)
Redemptions		(290	)		(1,378	)	─				(513	)
Shares at June 30, 2014		1,877			9,991			14			30,510
Shares at March 31, 2014		4,708			10,890			14			30,510
Net asset value per share:
March 31, 2014	$	69.99		$	86.80		$	71.23		$	91.43
June 30, 2014	$	70.57		$	87.85		$	72.11		$	92.73

See Notes to Unaudited Condensed Financial Statements.

1615

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Index^TM Leveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	March 31, 2015			March 31, 2014
	June 30, 2015			June 30, 2014
Cash flows from operating activities
Net income (loss)	$	251,874		$	(203,714	)
Net loss	$	(187,933	)	$	(150,221	)
Adjustments to reconcile net income (loss) to net cash and cash equivalents provided by operating activities
Adjustments to reconcile net loss to net cash and cash equivalents provided by operating activities
Net change in operating assets and liabilities
Due from broker		~~(490~~1,~~664~~134,680	)		1,~~645~~819,~~472~~516
Net unrealized gain on open futures contracts		255,071			230,165
Net unrealized loss on open futures contracts		631,922			127,664
Other assets		62,~~873~~842			─
Brokerage commissions payable		91(1,161	)		(2,~~467~~935	)
Management fee payable		~~265~~(1,357	)		(3,~~396~~730	)
Accrued expenses		~~1,124~~187			~~(238~~144	)
Net cash and cash equivalents provided by operating activities		241,~~634~~579,180			1,~~665~~790,~~822~~438
Cash flows from financing activities
Redemptions paid		(311,~~139~~586,803	)		(2,~~012~~137,~~361~~074	)
Net cash and cash equivalents used in financing activities		(311,~~139~~586,803	)		(2,~~012~~137,~~361~~074	)
Net decrease in cash and cash equivalents		(67,~~505~~623	)		(346,~~539~~636	)
Cash and cash equivalents at beginning of period		13,333			354,768
Cash and cash equivalents at end of period	$	65,~~828~~710		$	8,~~229~~132
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	~~790~~74,~~665~~422		$	─153,698

See Notes to Unaudited Condensed Financial Statements.

1716

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Commodity L/N Index Unleveraged Series

As of ~~March~~June 3130, 2015 (Unaudited) and December 31, 2014

ASSETS	~~March~~June 3130, 2015		December 31, 2014
Cash and cash equivalents	$	~~156~~155,~~240~~998,~~100~~982	$	145,958,352
Due from broker		~~536~~725,~~820~~795		3,969,156
Net unrealized gain on open futures contracts, at fair value		201,480	‒
Interest receivable		282		201
Interest receivable		247		201
Total assets	$	156,725,059	$	149,927,709
Total assets	$	156,978,647	$	149,927,709
LIABILITIES AND INVESTORS’ INTEREST
Liabilities
Net unrealized loss on open futures contracts, at fair value	‒	252,890		1,284,583
Brokerage commissions payable		3537,~~352~~548		34,560
Management fee payable		6265,~~624~~332		62,103
Accrued expenses		24,~~919~~965		24,773
Subscriptions received in advance		~~6,500,000~~‒		750,000
Total liabilities		6380,~~622,895~~735		2,156,019
Investors’ interest		~~150~~156,~~355~~344,~~752~~324		147,771,690
Total liabilities and investors’ interest	$	156,~~978~~725,~~647~~059	$	149,927,709

See Notes to Unaudited Condensed Financial Statements.

1817

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/N Index Unleveraged Series

~~March~~June 3130, 2015 (Unaudited)

Description	Number of contracts		Unrealized ~~gain~~loss			Percentage of investors’ interest
Futures*
Long futures contracts
Commodity		~~237~~238	$	~~201~~(252,~~480~~890	)		(0.1316	)%
Net unrealized gain on open futures contracts, at fair value			$	201,480			0.13	%
Net unrealized loss on open futures contracts, at fair value			$	(252,890	)		(0.16	)%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

1918

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/N Index Unleveraged Series

December 31, 2014

Description	Number of contracts		Unrealized loss			Percentage of investors’ interest

Futures*
Long futures contracts
Commodity		647	$	(1,284,583	)		(0.87	)%

Net unrealized loss on open futures contracts, at fair value			$	(1,284,583	)		(0.87	)%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

2019

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

Commodity L/N Unleveraged Series

For the three and six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	For the three months ended March 31, 2015			For the three months ended March 31, 2014
	For the three months ended June 30, 2015			For the three months ended June 30, 2014			For the six months ended June 30, 2015			For the six months ended June 30, 2014
Investment income
Interest	$	2320,~~245~~539		$	1815,~~754~~357		$	43,784		$	34,111
Expenses
Brokerage commissions		~~103~~112,~~919~~566			97101,~~216~~266			216,485			198,482
Management fee		~~185~~195,~~434~~882			~~165~~170,~~008~~668			381,316			335,676
Operating expenses		~~154~~161,~~547~~804			~~140~~144,~~109~~177			316,351			284,286
Total expenses		~~443~~470,~~900~~252			~~402~~416,~~333~~111			914,152			818,444
Net investment loss		(~~420~~449,~~655~~713	)		(~~383~~400,~~579~~754	)		(870,368	)		(784,333	)
Realized and unrealized (loss) gain on investments
Net realized (loss) gain on investments		(3,426,340	)		4,224,319
Net realized gain (loss) on investments		190,648			(2,352,072	)		(3,235,692	)		1,872,247
Net change in unrealized appreciation and depreciation on investments		1,481,057			(271,513	)
Net change in unrealized depreciation and appreciation on investments		(452,363	)		1,766,891			1,028,694			1,495,378
Net realized and unrealized (loss) gain on investments		(1261,~~945,283~~715	)		3(585,~~952,806~~181	)		(2,206,998	)		3,367,625
Net (loss) income	$	(2711,~~365,938~~428	)	$	3(985,~~569,227~~935	)	$	(3,077,366	)	$	2,583,292

See Notes to Unaudited Condensed Financial Statements.

2120

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/N Index Unleveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2015 (Unaudited)

	Class D Shares			Class E Shares			Total Commodity L/N Unleveraged Series
Investors’ interest at December 31, 2014	$	75,933,667		$	71,838,023		$	147,771,690
Subscriptions		411,~~950~~650,000			─‒			411,~~950~~650,000
Net loss		(1,~~243~~659,~~903~~062	)		(1,~~122~~418,~~035~~304	)		(23,~~365~~077,~~938~~366	)
Investors’ interest at March 31, 2015	$	79,639,764		$	70,715,988		$	150,355,752
Investors’ interest at June 30, 2015	$	85,924,605		$	70,419,719		$	156,344,324
Shares at December 31, 2014		861,429			838,676
Subscriptions		56134,~~956~~223		─	‒
Shares at March 31, 2015		918,385			838,676
Shares at June 30, 2015		995,652			838,676
Net asset value per share:
March 31, 2015	$	86.72		$	84.32
June 30, 2015	$	86.30		$	83.97

See Notes to Unaudited Condensed Financial Statements.

2221

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/N Index Unleveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 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		~~499~~3,~~999~~700,000		─		~~499~~3,~~999~~700,000
Net income		2,043,085		1,526,142		3,569,227
Net gain		1,445,149		1,138,143		2,583,292
Investors’ interest at March 31, 2014	$	77,288,051	$	56,260,272	$	133,548,323
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		539,~~403~~614		─
Shares at March 31, 2014		824,405		618,735
Shares at June 30, 2014		858,616		618,735
Net asset value per share:
March 31, 2014	$	93.75	$	90.93
June 30, 2014	$	93.05	$	90.30

See Notes to Unaudited Condensed Financial Statements.

2322

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Commodity L/N Index Unleveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	March 31, 2015			March 31, 2014
	June 30, 2015			June 30, 2014
Cash flows from operating activities
Net (loss) income	$	(23,~~365~~077,~~938~~366	)	$	32,~~569~~583,~~227~~292
Adjustments to reconcile net (loss) income to net cash and cash equivalents used in operating activities
Net change in operating assets and liabilities
Due from broker		3,~~432~~243,~~336~~361			(41,~~217~~848,~~893~~643	)
Net unrealized gain on open futures contracts		(1,~~486~~031,~~063~~693	)		~~271~~(1,~~544~~496,686	)
Interest receivable		(4681	)		(123	)
Brokerage commissions payable		~~792~~2,988			~~379~~(2,236	)
Management fee payable		~~521~~3,229			12,~~981~~371
Accrued expenses		~~146~~192			(~~178~~22	)
Net cash and cash equivalents used in operating activities		(~~418~~859,~~252~~370	)		(~~374~~761,~~941~~947	)
Cash flows from financing activities
Subscriptions received, net of selling commissions		10,~~700~~900,000			23,~~799~~700,~~999~~000
Net cash and cash equivalents provided by financing activities		10,~~700~~900,000			23,~~799~~700,~~999~~000
Net increase in cash and cash equivalents		10,~~281~~040,~~748~~630			2,~~425~~938,~~058~~053
Cash and cash equivalents at beginning of period		145,958,352			123,776,520
Cash and cash equivalents at end of period	$	~~156~~155,~~240~~998,~~100~~982		$	126,~~201~~714,~~578~~573
Supplemental disclosure of non-cash financing activities:
Subscriptions recorded which were received in advance	$	750,000		$	~~2,300,000~~-

See Notes to Unaudited Condensed Financial Statements.

2423

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Commodity L/S Index Unleveraged Series

As of ~~March~~June 3130, 2015 (Unaudited) and December 31, 2014

ASSETS	~~March~~June 3130, 2015		December 31, 2014
Cash and cash equivalents	$	4142,~~566~~013,~~337~~994	$	37,609,364
Due from broker		1011,~~045~~020,~~001~~538		6,573,368
Net unrealized gain on open futures contracts, at fair value		~~2,852,527~~‒		4,740,311
Interest receivable		4273		42
Total assets	$	5453,~~463~~034,~~907~~605	$	48,923,085
LIABILITIES AND INVESTORS’ INTEREST
Liabilities
Brokerage commissions payable		15,447		14,352
Net unrealized loss on open futures contracts, at fair value		2,276,074		‒
Management fee payable		19,986		19,199
Brokerage commissions payable		11,274		14,352
Accrued expenses		6,956		6,854
Management fee payable		22,005		19,199
Subscriptions received in advance		4,100,000	─
Accrued expenses		6,991		6,854
Total liabilities		4,142,389		40,405
Subscriptions received in advance		600,000		─
Investors’ interest		50,321,518		48,882,680
Total liabilities		2,916,344		40,405
Total liabilities and investors’ interest	$	54,463,907	$	48,923,085
Investors’ interest		50,118,261		48,882,680
Total liabilities and investors’ interest	$	53,034,605	$	48,923,085

See Notes to Unaudited Condensed Financial Statements.

2524

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/S Index Unleveraged Series

~~March~~June 3130, 2015 (Unaudited)

Description	Number of contracts			Unrealized ~~gain~~loss			Percentage of investors’ interest
Futures*
Long futures contracts
Commodity		8281		$	65(83,~~180~~870	)		(0.1317	)%
Short futures contracts
Commodity		(1,~~439~~402	)		(2,~~787~~192,~~347~~204	)		5(4.5437	)
Net unrealized gain on open futures contracts, at fair value				$	2,852,527			5.67	%
Net unrealized loss on open futures contracts, at fair value				$	(2,276,074	)		(4.54	)%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

2625

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/S Index Unleveraged Series

December 31, 2014

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

Futures*
Long futures contracts
Commodity		206		$	(401,393	)		(0.82	)%

Short futures contracts
Commodity		(968	)		5,141,704			10.52


Net unrealized gain on open futures contracts, at fair value				$	4,740,311			9.70	%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

2726

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Commodity L/S Index Unleveraged Series

For the three and six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	For the three months ended March 31, 2015			For the three months ended March 31, 2014
	For the three months ended June 30, 2015			For the three months ended June 30, 2014			For the six months ended June 30, 2015			For the six months ended June 30, 2014
Investment income
Interest	$	65,~~082~~304		$	43,~~699~~786		$	11,386		$	8,485
Expenses
Brokerage commissions		4852,~~995~~896			3836,~~084~~941			101,891			75,025
Management fee		6166,~~244~~120			4746,~~605~~176			127,364			93,781
Operating expenses		4953,~~775~~137			4039,~~258~~215			102,912			79,473
Total expenses		~~160~~172,~~014~~153			~~125~~122,~~947~~332			332,167			248,279
Net investment loss		(~~153~~166,~~932~~849	)		(~~121~~118,~~248~~546	)		(320,781	)		(239,794	)
Realized and unrealized gain (loss) on investments
Realized and unrealized (loss) gain on investments
Net realized gain (loss) on investments		3991,~~482,579~~685			(~~147~~684,~~488~~445	)		4,474,264			(831,933	)
Net change in unrealized appreciation and depreciation on investments		(1,889,809	)		(575,275	)
Net change in unrealized depreciation and appreciation on investments		(5,128,093	)		903,779			(7,017,902	)		328,504
Net realized and unrealized gain (loss) on investments		1,592,770			(722,763	)
Net realized and unrealized (loss) gain on investments		(4,136,408	)		219,334			(2,543,638	)		(503,429	)
Net income (loss)	$	1,438,838		$	(844,011	)
Net (loss) income	$	(4,303,257	)	$	100,788		$	(2,864,419	)	$	(743,223	)

See Notes to Unaudited Condensed Financial Statements.

2827

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/S Index Unleveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2015 (Unaudited)

	Total Commodity L/S Unleveraged Series
Investors’ interest at December 31, 2014	$	48,882,680
Subscriptions		─4,100,000
Redemptions		─
Net loss		(2,864,419	)
Net income		1,438,838
Investors’ interest at June 30, 2015	$	50,118,261
Investors’ interest at March 31, 2015	$	50,321,518
Shares at December 31, 2014		505,367
Subscriptions		─41,175
Redemptions		─
Shares at June 30, 2015		546,542
Shares at March 31, 2015		505,367
Net asset value per share:
March 31, 2015	$	99.57
June 30, 2015	$	91.70

See Notes to Unaudited Condensed Financial Statements.

2928

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/S Index Unleveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2014 (Unaudited)

	Total Commodity L/S Unleveraged Series
Investors’ interest at December 31, 2013	$	37,572,076
Subscriptions		─
Net loss		(743,223	)
Redemptions		─
Investors’ interest at June 30, 2014	$	36,828,853
Net loss		(844,011	)
Investors’ interest at March 31, 2014	$	36,728,065
Shares at December 31, 2013		441,627
Subscriptions		─
Shares at June 30, 2014		441,627
Redemptions		─
Shares at March 31, 2014		441,627
Net asset value per share:
March 31, 2014	$	83.17
June 30, 2014	$	83.39

See Notes to Unaudited Condensed Financial Statements.

3029

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Commodity L/S Index Unleveraged Series

For the ~~three~~six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	March 31, 2015			March 31, 2014
	June 30, 2015			June 30, 2014
Cash flows from operating activities
Net income (loss)	$	1,438,838		$	(844,011	)
Net loss	$	(2,864,419	)	$	(743,223	)
Adjustments to reconcile net income (loss) to net cash and cash equivalents used in operating activities
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		(34,~~471~~447,~~633~~170	)		~~155~~849,~~054~~005
Net unrealized gain on open futures contracts		1,887,784			575,022
Net unrealized loss(gain) on open futures contracts		7,016,385			(328,992	)
Interest receivable	─	(31	)		1
Brokerage commissions payable		1(3,~~095~~078	)		(~~801~~3,240	)
Management fee payable		~~787~~2,806			6(530	)
Accrued expenses		~~102~~137			~~(32~~83	)
Net cash and cash equivalents used in operating activities		(~~143~~295,~~027~~370	)		(~~114~~226,~~761~~896	)
Cash flows from financing activities
Subscriptions received, net of selling commissions		4,~~100~~700,000		─	100,000
Net cash and cash equivalents provided by financing activities		4,~~100~~700,000		─	100,000
Net increase (decrease) in cash and cash equivalents		34,~~956~~404,~~973~~630			(~~114~~126,~~761~~896	)
Cash and cash equivalents at beginning of period		37,609,364			32,852,364
Cash and cash equivalents at end of period	$	4142,~~566~~013,~~337~~994		$	32,~~737~~725,~~603~~468

See Notes to Unaudited Condensed Financial Statements.

3130

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

Trust Total

As of ~~March~~June 3130, 2015 (Unaudited) and December 31, 2014

ASSETS	~~March~~June 3130, 2015		December 31, 2014
Cash and cash equivalents	$	~~229~~221,~~306~~561,~~307~~163	$	215,646,933
Due from broker		23,~~711~~142,~~821~~277		21,764,558
Net unrealized gain on open futures contracts, at fair value		~~4,495,058~~‒		7,007,798
Interest receivable		~~289~~355		255
Other assets		37,~~428~~459		10,301
Total assets	$	~~257~~244,~~516~~711,~~903~~254	$	244,429,845
LIABILITIES AND INVESTORS’ INTEREST
Liabilities
Redemptions payable	$	~~944~~74,~~505~~422	$	─
Net unrealized loss on open futures contracts, at fair value	─	2,828,323		1,284,583
Brokerage commissions payable		6861,~~594~~749		66,348
Management fee payable		104,~~903~~737		103,149
Subscriptions received in advance		~~10,~~600,000		750,000
Accrued expenses		4341,~~435~~651		41,538
Total liabilities		113,~~761~~710,~~437~~882		2,245,618
Investors’ interest		~~245~~241,~~755~~000,~~466~~372		242,184,227
Total liabilities and investors’ interest	$	~~257~~244,~~516~~711,~~903~~254	$	244,429,845

See Notes to Unaudited Condensed Financial Statements.

3231

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

~~March~~June 3130, 2015 (Unaudited)

Description	Number of contracts			Unrealized gain/(loss)			Percentage of investors’ interest
Futures*
Long futures contracts
Financial		~~133~~120		$	~~208~~(43,~~725~~984	)		(0.0802	)%
Commodity		~~340~~334			~~284~~(352,~~980~~490	)		(0.1215	)
		473			493,705			0.20
		454			(396,474	)		(0.17	)
Short futures contracts
Financial		(~~179~~112	)		~~471~~186,~~136~~804			0.1908
Commodity		(1,~~792~~672	)		3(2,~~530~~618,~~217~~653	)		(1.4409	)
		(1,971	)		4,001,353			1.63
		(1,784	)		(2,431,849	)		(1.01	)
Net unrealized gain on open futures contracts, at fair value				$	4,495,058			1.83	%
Net unrealized loss on open futures contracts, at fair value				$	(2,828,323	)		(1.17	)%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

3332

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

December 31, 2014

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

Futures*
Long futures contracts
Financial		127		$	354,030			0.15	%
Commodity		911			(1,796,474	)		(0.74	)
		1,038			(1,442,444	)		(0.59	)

Short futures contracts
Financial		(169	)		538,167			0.22
Commodity		(1,246	)		6,627,492			2.74
		(1,415	)		7,165,659			2.96

Net unrealized gain on open futures contracts, at fair value				$	5,723,215			2.37	%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

3433

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

Trust Total

For the three and six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	For the three months ended March 31, 2015			For the three months ended March 31, 2014
	For the three months ended June 30, 2015			For the three months ended June 30, 2014			For the six months ended June 30, 2015			For the six months ended June 30, 2014
Investment income
Interest	$	3429,~~965~~716		$	2822,~~240~~730		$	64,681		$	50,970
Expenses
Brokerage commissions		~~208~~212,~~257~~981			188,~~439~~235			421,238			376,674
Management fee		~~314~~319,~~614~~835			278,~~521~~636			634,449			557,157
Operating expenses		~~252~~257,~~845~~675			~~229~~228,~~347~~744			510,520			458,091
Total expenses		~~775~~790,~~716~~491			~~696~~695,~~307~~615			1,566,207			1,391,922
Net investment loss		(~~740~~760,~~751~~775	)		(~~668~~672,~~067~~885	)		(1,501,526	)		(1,340,952	)
Realized and unrealized (loss) gain on investments
Net realized gain on investments		2,032,709			4,260,924
Net realized gain (loss) on investments		1,028,303			(3,103,800	)		3,061,012			1,157,124
Net change in unrealized appreciation and depreciation on investments		(1,251,445	)		(1,767,772	)
Net change in unrealized depreciation and appreciation on investments		(7,306,119	)		3,074,027			(8,557,564	)		1,306,255
Net realized and unrealized gain on investments		781,264			2,493,152
Net realized and unrealized (loss) gain on investments		(6,277,816	)		(29,773	)		(5,496,552	)		2,463,379
Net income	$	40,513		$	1,825,085
Net (loss) income	$	(7,038,591	)	$	(702,658	)	$	(6,998,078	)	$	1,122,427

See Notes to Unaudited Condensed Financial Statements.

3534

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

Trust Total

For the ~~three~~six months ended ~~March~~June 3130, 2015 (Unaudited)

	Total investor interest
Investors’ interest at December 31, 2014	$	242,184,227
Subscriptions		415,~~950~~750,000
Redemptions		(19,~~419~~935,~~274~~777	)
Net income		40,513
Net loss		(6,998,078	)
Investors’ interest at March 31, 2015	$	245,755,466
Investors’ interest at June 30, 2015	$	241,000,372

See Notes to Unaudited Condensed Financial Statements.

3635

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

Trust Total

For the ~~three~~six months ended ~~March~~June 3130, 2014 (Unaudited)

	Total investor interest ($100 par value per share)
	Total investor interest
Investors’ interest at December 31, 2013	$	210,336,225
Subscriptions		~~499~~4,~~999~~300,000
Redemptions		(13,~~208~~475,~~315~~866	)
Net income		1,~~825~~122,~~085~~427
Investors’ interest at March 31, 2014	$	211,452,994
Investors’ interest at June 30, 2014	$	212,282,786

See Notes to Unaudited Condensed Financial Statements.

3736

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

Trust Total

For the ~~three~~six months ended ~~March~~June 3130, 2015 and 2014 (Unaudited)

	March 31, 2015			March 31, 2014
	June 30, 2015			June 30, 2014
Cash flows from operating activities
Net income	$	40,513		$	1,825,085
Net (loss) income	$	(6,998,078	)	$	1,122,427
Adjustments to reconcile net income to net cash and cash equivalents (used in) provided by operating activities
Adjustments to reconcile net (loss) income to net cash and cash equivalents provided by operating activities
Net change in operating assets and liabilities
Due from broker		(1,~~947~~377,~~263~~719	)		(2743,~~545,468~~680	)
Net unrealized gain on open futures contracts		1,228,157			1,775,518
Net unrealized gain (loss) on open futures contracts		8,551,538			(1,300,916	)
Interest receivable		(34100	)		7(21	)
Other assets		62,~~873~~842			─
Brokerage commissions payable		2(4,~~246~~599	)		(411,~~725~~306	)
Management fee payable		1,~~754~~588			(45,~~292~~598	)
Accrued expenses		~~1,897~~113			(1,~~244~~200	)
Net cash and cash equivalents (used in) provided by operating activities		(665,857	)		1,044,881
Net cash and cash equivalents provided by operating activities		175,585			549,466
Cash flows from financing activities
Subscriptions received, net of selling commissions		1415,~~800~~600,000			224,~~799~~869,~~999~~448
Redemptions paid		(~~474~~9,~~769~~861,355	)		(79,~~496~~260,~~472~~652	)
Net cash and cash equivalents provided by (used in) financing activities		14,325,231			(4,696,473	)
Net cash and cash equivalents provided by financing activities		5,738,645			15,608,796
Net increase (decrease) in cash and cash equivalents		13,659,374			(3,651,592	)
Net increase in cash and cash equivalents		5,914,230			16,158,262
Cash and cash equivalents at beginning of period		215,646,933			195,766,730
Cash and cash equivalents at end of period	$	~~229~~221,~~306~~561,~~307~~163		$	~~192~~211,~~115~~924,~~138~~992
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	~~944~~74,~~505~~422		$	~~258~~761,~~145~~516
Subscriptions recorded which were received in advance	$	750,000		$	~~2,300,000~~─

See Notes to Unaudited Condensed Financial Statements.

3837

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements

~~March~~June 3130, 2015

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 ~~March~~June 3130, 2015, 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 ~~March~~June 3130, 2015 and the results of its operations for the three and six months ended ~~March~~June 3130, 2015 and 2014. 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, 2014.

3938

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

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. Balances may be in excess of insured amounts or not covered by insurance. 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, including foreign currencies which may be subject to currency fluctuation, and amounts receivable or payable for transactions not settled at ~~March~~June 3130, 2015 and December 31, 2014. Balances may be in excess of insured amounts or not covered by insurance.

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).

4039

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

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 ~~March~~June 3130, 2015 and December 31, 2014, 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 appropriately recognize and disclose uncertain tax provisions in their financial statements. Recognition is permitted for each position if, based on its technical merits, it is “more likely than not” that the position will be upheld under audit 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 income taxes as interest or other expense.

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.

4140

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

3. Cash and Cash Equivalents

The Trust’s cash and cash equivalents consisted of:

March 31, 2015

Unleveraged Series

Leveraged Series

Commodity L/N Unleveraged Series

Commodity L/S Unleveraged Series

Trust Total

June 30, 2015

Unleveraged Series

Leveraged Series

Commodity L/N Unleveraged Series

Commodity L/S Unleveraged Series

Trust Total

Overnight money markets

4,000

─‒

34,~~500~~237,000

89,~~929~~371,000

43,~~433~~612,000

U.S. Government Agency Securities

3123,~~327~~486,~~364~~237

─‒

121,~~624~~709,~~461~~127

32,~~557~~603,~~811~~256

~~185~~177,~~509~~798,~~636~~620

Cash

~~160~~50,~~277~~477

4,~~902~~903

~~114~~51,~~343~~367

7838,~~347~~490

~~357~~145,~~869~~237

Cash in checking accounts

1,~~401~~763

~~1,926~~807

1,~~296~~488

1,~~179~~248

5,~~802~~306

Total

3123,~~493~~542,~~042~~477

65,~~828~~710

~~156~~155,~~240~~998,~~100~~982

4142,~~566~~013,~~337~~994

~~229~~221,~~306~~561,~~307~~163

December 31, 2014	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Overnight money markets	$	52,000	$	7,000	$	24,236,000	$	4,976,000	$	29,271,000
U.S. Government Agency Securities		31,848,975		─		121,596,138		32,548,659		185,993,772
Cash		163,392		4,903		125,067		83,561		376,923
Cash in checking accounts		1,517		1,430		1,147		1,144		5,238
Total	$	32,065,884	$	13,333	$	145,958,352	$	37,609,364	$	215,646,933

4241

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MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

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 ~~March~~June 3130, 2015, 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 ~~March~~June 3130, 2015, 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 ~~March~~June 3130, 2015, 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 ~~March~~June 3130, 2015 and December 31, 2014:

	March 31, 2015		December 31, 2014
	June 30, 2015		December 31, 2014
Unleveraged Series	$	1856,~~312,380~~983	$	1,008,048
Leveraged Series		~~395~~238,~~604~~995		350,268
Commodity L/N Unleveraged Series		~~312~~314,~~840~~160		901,780
Commodity L/S Unleveraged Series		32,~~364~~853,~~394~~807		2,582,938
Total	$	54,~~385~~263,~~218~~945	$	4,843,034

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

4342

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MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

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	%

4443

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

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.

Each Series pays the cash manager and banking fees directly.

4544

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

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 ~~March~~June 3130, 2015 and December 31, 2014:

	March 31, 2015					December 31, 2014
	June 30, 2015					December 31, 2014
Unleveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	~~535~~171,~~093~~337	$	(159,~~501~~510	)	$	666,959	$	─
Commodity futures		~~637~~84,~~914~~827		(46434,~~138~~845	)		1,154,369		(124,595	)
Total	$	1256,~~173,007~~164	$	(47494,~~639~~355	)	$	1,821,328	$	(124,595	)

	March 31, 2015					December 31, 2014
	June 30, 2015					December 31, 2014
Leveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	~~146~~47,~~769~~726	$	(~~500~~16,733	)	$	225,238	$	─
Commodity futures		~~182~~26,~~964~~860		(13119,~~550~~021	)		383,895		(38,379	)
Total	$	~~329~~74,~~733~~586	$	(14135,~~050~~754	)	$	609,133	$	(38,379	)

	March 31, 2015						December 31, 2014
	June 30, 2015						December 31, 2014
Commodity L/N Unleveraged Series	Asset		Liability	~~Liability~~			Asset		Liability	~~Liability~~
Commodity futures	$	~~201,480~~─		$	─(252,890	)	$	─		$	(1,284,583	)
Total	$	~~201,480~~─		$	─(252,890	)	$	─		$	(1,284,583	)

	March 31, 2015					December 31, 2014
	June 30, 2015					December 31, 2014
Commodity L/S Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	3559,~~081,590~~111	$	(~~229~~2,~~063~~835,185	)	$	5,320,855	$	(580,544	)
Total	$	3559,~~081,590~~111	$	(~~229~~2,~~063~~835,185	)	$	5,320,855	$	(580,544	)

	March 31, 2015					December 31, 2014
	June 30, 2015					December 31, 2014
Trust Total	Asset		Liability			Asset		Liability
Financial futures	$	~~681~~219,~~862~~063	$	(276,~~001~~243	)	$	892,197	$	─
Commodity futures		4670,~~103,948~~798		(~~288~~3,~~751~~641,941	)		6,859,119		(2,028,101	)
Total	$	4889,~~785,810~~861	$	(~~290~~3,~~752~~718,184	)	$	7,751,316	$	(2,028,101	)

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

June 30, 2015

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, 2015 and 2014. (Included in the unrealized gain (loss) amounts on the Condensed Statement of Operations for June 30, 2015 and 2014, are unrealized gains (losses) from U.S. Government Agency Securities and unrealized gains (losses) from currency positions.):

	Three months ended June 30, 2015									Three months ended June 30, 2014
Unleveraged	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	(325,794	)	$	(421,765	)	$	(747,559	)	$	123,818		$	69,337	$	193,155
Commodity futures		214,254			(941,794	)		(727,540	)		(172,932	)		232,352		59,420
Total	$	(111,540	)	$	(1,363,559	)	$	(1,475,099	)	$	(49,114	)	$	301,689	$	252,575

	Three months ended June 30, 2015									Three months ended June 30, 2014
Leveraged	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	(105,913	)	$	(115,276	)	$	(221,189	)	$	44,087		$	26,539	$	70,626
Commodity futures		66,886			(261,575	)		(194,689	)		(62,256	)		75,962		13,706
Total	$	(39,027	)	$	(376,851	)	$	(415,878	)	$	(18,169	)	$	102,501	$	84,332

	Three months ended June 30, 2015								Three months ended June 30, 2014
Commodity L/N	Realized		Unrealized			Total			Realized			Unrealized		Total
Commodity futures	$	190,690	$	(454,370	)	$	(263,680	)	$	(2,352,072	)	$	1,768,230	$	(583,842	)
Total	$	190,690	$	(454,370	)	$	(263,680	)	$	(2,352,072	)	$	1,768,230	$	(583,842	)

	Three months ended June 30, 2015								Three months ended June 30, 2014
Commodity L/S	Realized		Unrealized			Total			Realized			Unrealized		Total
Commodity futures	$	991,720	$	(5,128,601	)	$	(4,136,881	)	$	(684,445	)	$	904,014	$	219,569
Total	$	991,720	$	(5,128,601	)	$	(4,136,881	)	$	(684,445	)	$	904,014	$	219,569

	Three months ended June 30, 2015									Three months ended June 30, 2014
Trust Total	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	(431,707	)	$	(537,041	)	$	(968,748	)	$	167,905		$	95,876	$	263,781
Commodity futures		1,463,550			(6,786,340	)		(5,322,790	)		(3,271,705	)		2,980,558		(291,147	)
Total	$	1,031,843		$	(7,323,381	)	$	(6,291,538	)	$	(3,103,800	)	$	3,076,434	$	(27,366	)

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

7. Derivative Financial Instruments (continued)

The following tables reflect the realized and unrealized gains (losses) from derivative financial instruments for the three months ended March 31, 2015 and 2014. (Included in the unrealized gain (loss) amounts on the Condensed Statement of Operations for March 31, 2015 and 2014, are unrealized gains (losses) from U.S. Government Agency Securities and unrealized gains (losses) from currency positions.):

	Six months ended June 30, 2015								Six months ended June 30, 2014
Unleveraged	Realized		Unrealized			Total				Realized			Unrealized			Total
Financial futures	$	350,221	$	(555,132	)	$	(204,911	)		$	275,614		$	(486,978	)	$	(211,364	)
Commodity futures		987,983		(1,379,792	)		(391,809	)			(198,061	)		89,880			(108,181	)
Total	$	1,338,204	$	(1,934,924	)	$	(596,720	)		$	77,553		$	(397,098	)	$	(319,545	)

Three months ended March 31, 2015

Three months ended March 31, 2014

Six months ended June 30, 2015

Six months ended June 30, 2014

Unleveraged

Realized

Unrealized

Total

Realized

Unrealized

Total

Leveraged

Realized

Unrealized

Total

Realized

Unrealized

Total

Financial futures

~~676~~157,~~015~~110

(~~133~~194,~~367~~245

)

~~542~~(37,~~648~~135

)

~~151~~101,~~796~~263

(~~556~~160,~~315~~735

)

(~~404~~59,~~519~~472

)

Commodity futures

~~773~~355,~~729~~749

(437,~~998~~677

)

~~335~~(81,~~731~~928

)

(2562,~~129~~006

)

~~(142~~33,~~472~~071

)

(~~167~~28,~~601~~935

)

Total

1512,~~449,744~~859

(~~571~~631,~~365~~922

)

~~878~~(119,~~379~~063

)

~~126~~39,~~667~~257

(~~698~~127,~~787~~664

)

(~~572~~88,~~120~~407

)

	Three months ended March 31, 2015									Three months ended March 31, 2014
	Six months ended June 30, 2015									Six months ended June 30, 2014
Leveraged	Realized			Unrealized			Total			Realized		Unrealized			Total
Commodity L/N	Realized			Unrealized			Total			Realized		Unrealized			Total
Financial futures	$	263,023		$	(78,969	)	$	184,054		$	57,176	$	(187,274	)	$	(130,098	)
Commodity futures	$	(3,235,508	)	$	1,031,693		$	(2,203,815	)	$	1,872,247	$	1,496,686		$	3,368,933
Commodity futures		288,863			(176,102	)		112,761			250		(42,891	)		(42,641	)
Total	$	(3,235,508	)	$	1,031,693		$	(2,203,815	)	$	1,872,247	$	1,496,686		$	3,368,933
Total	$	551,886		$	(255,071	)	$	296,815		$	57,426	$	(230,165	)	$	(172,739	)

Three months ended March 31, 2015

Three months ended March 31, 2014

Six months ended June 30, 2015

Six months ended June 30, 2014

Commodity L/N

Realized

Unrealized

Total

Realized

Unrealized

Total

Commodity L/S

Realized

Unrealized

Total

Realized

Unrealized

Total

Commodity futures

(34,~~426~~474,~~198~~399

)

1(7,~~486~~016,~~063~~385

)

(12,~~940~~541,~~135~~986

)

4(831,~~224,319~~933

)

~~(271~~328,~~544~~992

)

3(502,~~952,775~~941

)

Total

(34,~~426~~474,~~198~~399

)

1(7,~~486~~016,~~063~~385

)

(12,~~940~~541,~~135~~986

)

4(831,~~224,319~~933

)

~~(271~~328,~~544~~992

)

3(502,~~952,775~~941

)

	Three months ended March 31, 2015								Three months ended March 31, 2014
	Six months ended June 30, 2015								Six months ended June 30, 2014
Commodity L/S	Realized		Unrealized			Total			Realized			Unrealized			Total
Trust Total	Realized		Unrealized			Total			Realized			Unrealized			Total
Commodity futures	$	3,482,679	$	(1,887,784	)	$	1,594,895		$	(147,488	)	$	(575,022	)	$	(722,510	)
Financial futures	$	507,331	$	(749,377	)	$	(242,046	)	$	376,877		$	(647,713	)	$	(270,836	)
Total	$	3,482,679	$	(1,887,784	)	$	1,594,895		$	(147,488	)	$	(575,022	)	$	(722,510	)
Commodity futures		2,582,623		(7,802,161	)		(5,219,538	)		780,247			1,948,629			2,728,876
Total	$	3,089,954	$	(8,551,538	)	$	(5,461,584	)	$	1,157,124		$	1,300,916		$	2,458,040

	Three months ended March 31, 2015							Three months ended March 31, 2014
Trust Total	Realized		Unrealized			Total		Realized		Unrealized			Total
Financial futures	$	939,038	$	(212,336	)	$	726,702	$	208,972	$	(743,589	)	$	(534,617	)
Commodity futures		1,119,073		(1,015,821	)		103,252		4,051,952		(1,031,929	)		3,020,023
Total	$	2,058,111	$	(1,228,157	)	$	829,954	$	4,260,924	$	(1,775,518	)	$	2,485,406

The following tables reflect the trading activity for derivative financial instruments for the three and six months ended June 30, 2015 and 2014:

The following tables reflect the trading activity for derivative financial instruments for the three months ended March 31, 2015 and 2014:

	Number of Contracts Opened		Number of Contracts Closed		Number of Contracts Opened		Number of Contracts Closed
	Three months ended June 30, 2015		Three months ended June 30, 2015		Three months ended June 30, 2014		Three months ended June 30, 2014
Unleveraged		633		755		784		591
Leveraged		195		242		193		201
Commodity L/N		246		245		2,191		2,531
Commodity L/S		2,410		2,448		1,437		1,416
Trust Total		3,484		3,690		4,605		4,739

	Number of Contracts Opened		Number of Contracts Closed		Number of Contracts Opened		Number of Contracts Closed
	Three months ended March 31, 2015		Three months ended March 31, 2015		Three months ended March 31, 2014		Three months ended March 31, 2014
Unleveraged		645		589		517		544
Leveraged		232		234		174		189
Commodity L/N		467		877		1,624		959
Commodity L/S		1,968		1,621		1,059		1,132
Trust Total		3,312		3,321		3,374		2,824

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

8. Financial Highlights

	Number of Contracts Opened		Number of Contracts Closed		Number of Contracts Opened		Number of Contracts Closed
	Six months ended June 30, 2015		Six months ended June 30, 2015		Six months ended June 30, 2014		Six months ended June 30, 2014
Unleveraged		1,278		1,344		1,301		1,135
Leveraged		427		476		367		390
Commodity L/N		713		1,122		3,815		3,490
Commodity L/S		4,378		4,069		2,496		2,548
Trust Total		6,796		7,011		7,979		7,563

The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the three months ended March 31, 2015:

	Unleveraged Series															Leveraged Series												Commodity L/N Unleveraged Series						Commodity L/S Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class E Shares			Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class D Shares			Class E Shares			Class D Shares
Per share operating performance:
Net asset value per share at December 31, 2014	$	106.61		$	124.98		$	109.54		$	114.70		$	108.20		$	88.27		$	110.68		$	90.89		$	117.31		$	88.15		$	85.66		$	96.73
Loss from investment operations:
Net investment expense		(0.50	)		(0.27	)		(0.38	)		(0.25	)		(0.24	)		(0.72	)		(0.48	)		(0.57	)		(0.51	)		(0.19	)		(0.18	)		(0.21	)
Net realized and unrealized gain (loss) on investment transactions		2.00			2.35			2.19			2.29			2.23			4.92			6.17			5.27			6.80			(1.24	)		(1.16	)		3.05
Total from investment operations		1.50			2.08			1.81			2.04			1.99			4.20			5.69			4.70			6.29			(1.43	)		(1.34	)		2.84
Net asset value per share at March 31, 2015	$	108.11		$	127.06		$	111.35		$	116.74		$	110.19		$	92.47		$	116.37		$	95.59		$	123.60		$	86.72		$	84.32		$	99.57
Total Return:		1.41	%		1.66	%		1.65	%		1.78	%		1.84	%		4.76	%		5.14	%		5.17	%		5.36	%		(1.62	)%		(1.56	)%		2.94	%
Ratio to Average Investors’ Interest:
Net investment expense		(0.46	)%		(0.22	)%		(0.34	)%		(0.22	)%		(0.22	)%		(0.84	)%		(0.42	)%		(0.60	)%		(0.49	)%		(0.20	)%		(0.21	)%		(0.20	)%
Expenses		(0.48	)%		(0.24	)%		(0.35	)%		(0.23	)%		(0.23	)%		(0.84	)%		(0.42	)%		(0.59	)%		(0.49	)%		(0.21	)%		(0.23	)%		(0.21	)%

Total return is calculated as the change in the net asset value per share for the three months ended March 31, 2015. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the three months ended March 31, 2015. An individual investor’s return may vary from the above based upon the timing of capital transactions.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

8. Financial Highlights ~~(continued)~~

The following represents the per -share operating performance and ratios to the average investors’ interest and other supplemental information for the ~~three~~six months ended ~~March~~June 3130, ~~2014~~2015:

	Unleveraged Series												~~Leveraged Series~~			Leveraged Series									~~Commodity L/N Unleveraged Series~~			Commodity L/N Unleveraged Series			~~Commodity L/S Unleveraged Series~~			Commodity L/S Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class AE Shares			Class BA Shares			Class CB Shares			Class DC Shares			Class D Shares			Class ED Shares			Class DE Shares			Class D Shares
Per share operating performance:
Net asset value per share at December 31, 2013	$	101.57		$	117.90		$	103.38		$	107.71		$	73.83		$	91.22		$	74.84		$	95.88		$	91.26		$	88.46		$	85.08
Net asset value per share at December 31, 2014	$	106.61		$	124.98		$	109.54		$	114.70		$	108.20		$	88.27		$	110.68		$	90.89		$	117.31		$	88.15		$	85.66		$	96.73
Loss from investment operations:
Net investment expense		(01.4800	)		(0.2755	)		(0.3676	)		(0.2451	)		(0.6048	)		(01.4142	)		(0.4795	)		(01.4313	)		(01.2001	)		(0.2037	)		(0.1936	)		(0.42	)
Net realized and unrealized loss on investment transactions		(12.7232	)		(12.9973	)		(12.6414	)		(12.7025	)		(31.2499	)		(45.0165	)		(37.14	)		(45.0247	)		2(7.6909	)		2(1.6748	)		(1.7233	)		(4.61	)
Total from investment operations		(23.2032	)		(23.2628	)		(2.0090	)		(12.9476	)		(32.8447	)		(47.4207	)		(38.6109	)		(46.4560	)		2(8.4910	)		2(1.4785	)		(1.9169	)		(5.03	)
Net asset value per share at March 31, 2014	$	99.37		$	115.64		$	101.38		$	105.77		$	69.99		$	86.80		$	71.23		$	91.43		$	93.75		$	90.93		$	83.17
Net asset value per share at June 30, 2015	$	103.29		$	121.70		$	106.64		$	111.94		$	105.73		$	81.20		$	102.59		$	84.29		$	109.21		$	86.30		$	83.97		$	91.70
Total Return:		(23.1711	)%		(12.9262	)%		(12.9365	)%		(12.8041	)%		(52.2028	)%		(48.8501	)%		(47.8231	)%		(47.6426	)%		2(6.7390	)%		(2.7910	)%		(21.2497	)%		(5.20	)%
Ratio to Average Investors’ Interest:
Net investment expense		(0.7096	)%		(0.2345	)%		(0.3670	)%		(0.2348	)%		(0.8745	)%		(01.4972	)%		(0.6693	)%		(01.4728	)%		(01.2105	)%		(0.2242	)%		(0.2243	)%		(0.43	)%
Expenses		(0.7298	)%		(0.2448	)%		(0.3773	)%		(0.2451	)%		(0.8647	)%		(01.4871	)%		(0.6593	)%		(01.4628	)%		(01.2205	)%		(0.2345	)%		(0.2446	)%		(0.45	)%

Total return is calculated as the change in the net asset value per share for the ~~three~~six months ended ~~March~~June 3130, ~~2014~~2015. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the ~~three~~six months ended ~~March~~June 3130, ~~2014~~2015. An individual investor’s return may vary from the above based upon the timing of capital transactions.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

98. ~~Subsequent~~Financial ~~Events~~Highlights (continued)

~~From~~The ~~April~~following 1,represents ~~2015~~the ~~through~~per-share ~~May~~operating 8,performance ~~2015,~~ and ratios to the ~~Trust~~average ~~had~~investors’ nointerest ~~subscriptions~~and other supplemental information for ~~any~~the ~~Series.~~six months ended June 30, 2014:

The Trust had redemptions of approximately $6.4 million for the Unleveraged Series. There were no redemptions for the Leveraged Series, Commodity L/N Unleveraged Series or the Commodity L/S Unleveraged Series.

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

Per share operating performance:
Net asset value per share at December 31, 2013	$	101.57		$	117.90		$	103.38		$	107.71		$	73.83		$	91.22		$	74.84		$	95.88		$	91.26		$	88.46		$	85.08
Loss from investment operations:
Net investment expense		(0.96	)		(0.53	)		(0.72	)		(0.48	)		(1.18	)		(0.79	)		(0.93	)		(0.84	)		(0.41	)		(0.40	)		(0.37	)
Net realized and unrealized gain (loss) on investment transactions		(1.25	)		(1.46	)		(1.05	)		(1.09	)		(2.08	)		(2.58	)		(1.80	)		(2.31	)		2.20			2.24			(1.32	)
Total from investment operations		(2.21	)		(1.99	)		(1.77	)		(1.57	)		(3.26	)		(3.37	)		(2.73	)		(3.15	)		1.79			1.84			(1.69	)
Net asset value per share at June 30, 2014	$	99.36		$	115.91		$	101.61		$	106.14		$	70.57		$	87.85		$	72.11		$	92.73		$	93.05		$	90.30		$	83.39

Total Return:		(2.18	)%		(1.69	)%		(1.71	)%		(1.46	)%		(4.42	)%		(3.69	)%		(3.65	)%		(3.29	)%		1.96	%		2.08	%		(1.99	)%

Ratio to Average Investors’ Interest:
Net investment expense		(1.31	)%		(0.47	)%		(0.70	)%		(0.44	)%		(2.35	)%		(0.95	)%		(1.28	)%		(0.90	)%		(0.43	)%		(0.44	)%		(0.44	)%
Expenses		(1.34	)%		(0.49	)%		(0.73	)%		(0.47	)%		(2.34	)%		(0.94	)%		(1.27	)%		(0.89	)%		(0.46	)%		(0.46	)%		(0.47	)%

Total return is calculated as the change in the net asset value per share for the six months ended June 30, 2014. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the six months ended June 30, 2014.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

~~March~~June 3130, 2015

9. Subsequent Events

From July 1, 2015 through August 10, 2015, the Trust had subscriptions of $20,000,000 for the Commodity L/N Unleveraged Series and $850,000 for the Unleveraged Series. There were no subscriptions for the Leveraged Series, or the Commodity L/S Unleveraged Series.

The Trust had redemptions of approximately $33,000 for the Unleveraged Series. There were no redemptions for the Leveraged Series, Commodity L/N Unleveraged Series or the Commodity L/S Unleveraged Series.

Index

Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations.

General

The purpose of the Trust is to replicate the results of the MLM Index™ or subset thereof, an index designed to measure the risk premium available to futures traders. Designed as such, the results of the Trust and each of its respective Series depend on two factors, the results of the MLM Index™ itself, and the Manager's ability to replicate that Index. It is important to note that the Manager also calculates the results of the MLM Index™. Thus, their role is twofold - to calculate the results of the MLM Index™, and to replicate the results of the MLM Index™ for the Trust. Any changes made to the composition of the MLM Index™ by the MLM Index™ Committee of the Manager will affect the trading of the Trust and each of the Series, since the objective is to replicate the MLM Index™ as published.

The Trust consists of several separate series of interests (each, a “Series”), each with its own assets and liabilities. Under the Trust Agreement, the Trust may issue multiple Series of Interests. The Trust maintains separate and distinct records for each Series and the assets associated with each such Series are held and accounted for separately from the other assets of the Trust and of any other Series thereof. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing, with respect to a particular Series, can only be enforced against the assets of such Series only and not against the assets of the Trust generally or the assets of any other Series.

Currently the Trust has four active series of interests: the Unleveraged Series, the Leveraged Series, the Commodity L/N Unleveraged Series (or “Commodity L/N Series”) and the Commodity L/S Unleveraged Series (or “Commodity L/S Series”). The Unleveraged Series attempts to replicate the MLM Index™ without any leverage, while the Leveraged Series trades the Trading Program at three times leverage. Leverage is the ability to control large dollar amounts of a commodity with a comparatively small amount of capital. The Leveraged Series purchases or sells $3 fair value of contracts for every $1 invested in the Series. The Commodity L/S Unleveraged Series and Commodity L/N Unleveraged Series attempt to replicate the MLM Commodity Long/Short Index and MLM Commodity Long/Neutral Index respectively, without leverage.

Results of the MLM Index™

The MLM Index™ is calculated from the prices of 22 liquid futures markets. These markets are traded on domestic and foreign exchanges. For each market, the MLM Index™ generally uses the price of 4 different delivery months each year. For example, in the Japanese Yen futures market, the MLM Index™ uses the March, June, September and December delivery months. On the day before trading day, the MLM Index™ determines whether to hold a long or short position in each constituent contract based on the calculation methodology of the MLM Index™. Once established, that position is held for the subsequent period, at which time it is re-evaluated. The monthly results of each constituent market are then used to calculate the MLM Index™ return. The objective of the Trust is to replicate this monthly return. The MLM Commodity L/S Index is a subset of the MLM Index and contains only the commodity futures markets 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.

The volatility of the constituent markets in the MLM Index™ can affect the results of a Series. The influences on this volatility are varied and unpredictable. However, since the object of each Series is to replicate the MLM Index™, the Manager takes no unusual action to mitigate this volatility. The role of the Manager is to buy or sell the appropriate number of futures contracts in each constituent market such that the aggregate return of those positions replicates as closely as possible the results of the MLM Index™ and its subsets.

5152

Index

In order to accomplish this objective, the Manager must calculate the number of contracts based on the assets in each Series. Since the MLM Index™ rebalances positions each month, at that time the Manager must ascertain the asset level and execute orders to achieve the desired allocations. This is achieved by adding the performance results of each Series for the month to the assets at the beginning of the month, and adding additions of capital from new subscriptions and subtracting redemptions in order to determine the asset level at the end of the period.

Summary of Critical Accounting Policies

The financial statements have been prepared in conformity with U.S. generally accepted accounting principles. Management is required to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Other than accruals maintained in the normal course of business, neither management nor the Trust prepares, maintains or updates any estimates. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust's significant accounting policies are described in detail in Note 2 of the Notes to Financial Statements.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and unrealized gain (loss) on investments in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the absence of an active market closing price.

Financial Condition

To replicate the results of the MLM Index™, each Series must execute trades on domestic or foreign futures exchanges. The Manager deposits a percentage of the assets of each Series into separate accounts at Citigroup Global Markets. The amount deposited is determined by the margin requirement established by the exchanges to hold the positions in each Series.

Each Series' assets are held in separate custodial accounts at State Street Bank and Trust (the “Bank"). The Trust has contracted with Aberdeen Asset Management (“Aberdeen”) to manage the money in these accounts so as to maximize the interest income which accrues to each Series, while maintaining strict credit controls as determined by the CE Act. When Citigroup Global Markets requires additional assets to maintain the positions for a Series, the Bank makes a wire transfer to Citigroup Global Markets. If Citigroup Global Markets has surplus assets in a Series account, Citigroup Global Markets makes a wire transfer to the account at the Bank.

The Trust owns no capital assets and does not borrow money. Since the objective of the Trust is to replicate the results of the MLM Index™, its entire asset base participates in the speculative trading of futures contracts. As such, all the assets of each Series are at risk. The level of assets will be determined by the results of each Series, and the effect of addition of capital and the redemption of Series interests. These variables are impossible to predict with any certainty.

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Liquidity

The majority of each Series' assets are held in liquid short-term interest rate instruments. Each Series takes substantial exposure in futures markets, which requires relatively small deposits, called margin, to hold the positions. As of ~~March~~June 3130, 2015, increases (decreases) in cash and cash equivalents amounted to approximately $(08.65m)m, $0m, $10.3m0m and $4.0m4m for the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series of the Trust, respectively. As at ~~March~~June 3130, 2015, increases (decreases) in due from broker amounted to approximately $(1.43m), $(01.~~5m)~~1m, $3.4m2m and $(34.5m4m) for the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series of the Trust, respectively. Net cash provided by (used in) operations amounted to approximately $(0.1m2m), $0m1.6m, $(0.4m9m) and $(0.1m3m) for the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series of the Trust, respectively. For the period ended ~~March~~June 3130, 2015 the Unleveraged Series, Leveraged Series, Commodity L/N Series and the Commodity L/S Series generated net income (loss) from operations of approximately $(0.7m9m), $(0.3m2m), $(23.4m1m) and $1(2.4m9m), respectively. In general, each unleveraged Series will have about 5% of its assets on deposit with brokers as margin and each leveraged Series will have about 15% of its assets on deposit with brokers as margin, with the balance held in custodial accounts with a major financial institution.

A holder of interests in a Series may liquidate that holding at the end of any month at the net asset value of the interests, upon 10 days written notice to the Manager. While the Manager generally must honor all requests for redemption if presented in proper form, the Manager may suspend temporarily any redemption if the effect of such redemption, either alone or in conjunction with other redemptions, would impair the relevant Series' ability to operate if the impairment would be caused by a third party other than the Manager. Further, the right to obtain a redemption is contingent upon the relevant Series having property sufficient to discharge its liabilities on the date of redemption. Under certain circumstances, the Manager may find it advisable to establish a reserve for contingent liabilities. In such event, the amount receivable by a redeeming holder of interests will be reduced by his proportionate share of the reserve. There is no secondary market for interests in the Trust, and none is anticipated. There are restrictions for transfer of interests.

Although each Series trades in futures contracts which are in general liquid, the exchanges impose daily trading limits, which act to suspend trading when a particular market or contract trades up or down to a pre-determined price level. Should this happen, and a Series was attempting to execute trades in that situation, the Series may not be able to accurately replicate the results of the MLM Index™. These rules have not had a material impact on the operation of any Series to date. Each Series generally trades only in the largest and most liquid futures contracts, and generally has available approximately 85%-95% of its assets in the form of highly liquid money market securities. The Trust believes that, except in extreme market conditions, all open positions can be liquidated in an efficient, orderly fashion.

Off-Balance Sheet Arrangements

The Trust has no off-balance sheet arrangements that it believes does or will be reasonably likely to have a material current or future effect on any Series' results of operations, financial condition, liquidity, capital expenditures or capital resources.

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Market and Credit Risks

The nature of the Trust is such that it undertakes substantial market risk in following its mandate to replicate the MLM Index™ and its subsets. Although the Manager monitors the intraday and daily valuation of each portfolio, no extraordinary measures are taken to reduce market risk. Specifically, the Manager maintains positions required to match, as closely as possible, the return of the MLM Index™ and its subsets. There could be certain circumstances where the Manager might be called upon to make a change to this policy, such as the closing of an exchange or some other emergency situation. In such case, management would use its best efforts to respond to such circumstances with the interests of the investors in mind.

The MLM Index™ and its subsets are not designed to predict which market will exhibit positive performance in any given year. The Manager does not select the constituent markets based on expectations of future performance. The MLM Index™ and its subsets are designed to represent participation in a diverse basket of futures contracts using a trend-following algorithm. The MLM Index™ and its subsets are a diversified Index producing different levels of return in the various sectors from year to year.

Each Series incurs various kinds of credit risk in its operations. In order to facilitate the trading of a Series, assets must be placed with Futures Commission Merchants. Management of the Trust deals only with established registered firms, and monitors their financial condition on an ongoing basis. In addition, if a Series were to enter into over-the-counter transactions (“OTC transactions”), additional counterparty risk would be incurred. There were no OTC transactions during the three and six months ended ~~March~~June 3130, 2015 in any Series.

Results of Operations

At ~~March~~June 3130, 2015 and December 31, 2014, the Series of the Trust had assets as follows:

Trust Series	~~March~~June 3130, 2015		December 31, 2014
Unleveraged Series	$	4131,~~086~~901,~~230~~585	$	40,813,147
Leveraged Series	$	43,~~988~~050,~~119~~005	$	4,765,904
Commodity L/N Unleveraged Series	$	156,~~978~~725,~~647~~059	$	149,927,709
Commodity L/S Unleveraged Series	$	5453,~~463~~034,~~907~~605	$	48,923,085
Total	$	~~257~~244,~~516~~711,~~903~~254	$	244,429,845

At ~~March~~June 3130, 2015 and December 31, 2014, the Series of the Trust had liabilities as follows:

Trust Series	~~March~~June 3130, 2015		December 31, 2014
Unleveraged Series	$	~~193~~270,~~484~~020	$	38,670
Leveraged Series	$	~~802~~143,~~669~~783	$	10,524
Commodity L/N Unleveraged Series	$	6380,~~622,895~~735	$	2,156,019
Commodity L/S Unleveraged Series	$	42,~~142~~916,~~389~~344	$	40,405
Total	$	113,~~761~~710,~~437~~882	$	2,245,618

Net ~~income~~ (loss) income from operations for the Series of the Trust for the ~~three~~six months ended ~~March~~June 3130, 2015 and ~~March~~June 3130, 2014 was as follows:

Trust Series	~~March~~June 3130, 2015			~~March~~June 3130, 2014
Unleveraged Series	$	~~715~~(868,~~739~~360	)	$	(~~696~~567,~~417~~421	)
Leveraged Series	$	~~251~~(187,~~874~~933	)	$	(~~203~~150,~~714~~221	)
Commodity L/N Unleveraged Series	$	(23,~~365~~077,~~938~~366	)	$	32,~~569~~583,~~227~~292
Commodity L/S Unleveraged Series	$	1(2,~~438~~864,~~838~~419	)	$	(~~844~~743,~~011~~223	)
Total	$	40(6,~~513~~998,078	)	$	1,~~825~~122,~~085~~427

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The Trust’s net income (loss) is directly related to the performance of the MLM Index™, which the Trust is designed to replicate. For the ~~three~~six months ended ~~March~~June 3130, 2015, MLM Index™ performance and its subsets were 2(1.2662%), (1.3450%) and 3(4.2260%) for the MLM Index, MLM Commodity Index L/N and the MLM Commodity Index L/S respectively. Performance was (10.4475%), (32.0961%) and (1.8024%) respectively for the same period ended ~~March~~June 3130, 2014. A Series' performance may be negative in years when the MLM Index™ is positive or have greater losses when the MLM Index™ is negative due to the timing of subscriptions and redemptions, and the fees charged. Since inception of the Trust, the correlation of monthly results between each Series and the MLM Index™ and its subsets adjusted for fees is 0.99.

The following table represents the performance by class for the MLM Index™ Fund for the ~~three~~six months ended ~~March~~June 3130, 2015 and 2014.

~~March~~June 3130, 2015

	Unleveraged Series															Leveraged Series												Unleveraged Commodity L/N Series						Unleveraged Commodity L/S Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class E Shares			Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class D Shares			Class E Shares			Class D Shares
Total Return:		1(3.4111	)%		1(2.6662	)%		1(2.65	)%		1(2.7841	)%		1(2.8428	)%		4(8.7601	)%		5(7.1431	)%		5(7.1726	)%		5(6.3690	)%		(12.6210	)%		(1.5697	)%		2(5.9420	)%

~~March~~June 3130, 2014

	Unleveraged Series												Leveraged Series												Unleveraged Commodity L/N Series						Unleveraged Commodity L/S Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class D Shares			Class E Shares			Class D Shares
Total Return:		(2.1718	)%		(1.9269	)%		(1.9371	)%		(1.8046	)%		(54.2042	)%		(43.8569	)%		(43.8265	)%		(43.6429	)%		21.7396	%		2.7908	%		(21.2499	)%

The components of the return of the MLM Index™ are the capital gains earned from the changes in futures market prices, and the interest income earned on cash balances. The mechanics and rules of futures markets allow the Trust to earn interest on approximately 100% of the assets in the Trust. The interest income takes two forms, directly from the Trust's futures broker paid on the margin deposits held by the broker, and excess cash.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

The following is a discussion of the quantification of market risk for the Trust. Such calculations are often referred to as Value-at-Risk (“VAR”). The method used here may or may not differ from other methods used for VAR calculations by other firms. There is no one generally accepted method of VAR calculation and this method may not be comparable to methods used by others.

The market risk, or VAR of the Trust, is directly related to the composition of the MLM Index™. Each month, the position of the MLM Index™ can be either long or short based on a 252 business day moving average rule. Since positions can be offset inside of sectors (one contract long in a particular commodity and one contract short in a related commodity), specific sector risk is less relevant than the historical risk of the MLM Index™ as a whole. Since the objective of the Trust is to replicate the MLM Index™, it is reasonable to use the historic values of that Index to estimate market risk.

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The VAR of each Series is calculated as follows:

The manager calculates the standard deviation of the historical returns of the MLM Index™ and its subsets on an asset-weighted basis over two time periods, using daily returns over the preceding 1 year ending at the date of this report, and using monthly returns over the preceding 10 years. It is important to note that this calculation is made on the historical data of the MLM Index™ and its subsets. It is not based on the actual trading of the Trust and does not include any operational risk. The standard deviation is used to measure the dispersion of the returns of the MLM Index™ and its subsets.

2. For the purposes of VAR, one attempts to estimate the size of a loss that may occur with some small probability. It does not estimate the possibility of some total loss, only the probability of a loss of some magnitude. The calculation is complicated by the fact that the standard deviation of the distribution assumes a normal distribution, which may or may not be a good estimate of the actual distribution. For the purposes of this estimate, the Manager has chosen to calculate the size of a daily and monthly loss that might occur with a probability of 1% (1 chance in 100). To do this, the standard deviation is multiplied by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust for the possibility of a non-normal distribution. For daily returns, this estimate is a loss of 1.0905%. For monthly returns the estimate is a loss of 10.0733%.

3. To ascertain a dollar loss amount for each Series, the assets of the Series as of ~~March~~June 3130, 2015 are multiplied by the estimate of the risk calculated in step 2 above. The risk estimate is based on the unleveraged and leveraged series of the Trust, with the leveraged assets having three times the risk of the unleveraged assets. Based on the asset levels as of ~~March~~June 3130, 2015, the manager estimates that the amount each Series of the Trust could expect to lose as follows in any given day and in any given month.

Trust Series	Any Given Day	Any Given Month	~~Any Given Month~~
Unleveraged Series	$0.3 million	$1.7 million	~~$2.2~~	~~million~~
Leveraged Series	$0.1 million	$0.5 million	~~$0.8~~	~~million~~
Commodity L/N Unleveraged Series	$10.17 million	$16.2 million	~~$16.4~~	~~million~~
Commodity L/S Unleveraged Series	$1.35 million	$7.5 million	~~$7.6~~	~~million~~

The estimate above, though reasonable, should not be taken as an assurance that losses in a Series could not be greater than these amounts. This is simply a quantitative estimate based on the historical performance of the MLM Index™ and its subsets. The loss that occurs with small probability may be substantially greater than the loss indicated above. Also, market conditions could change dramatically from the conditions that prevailed over the period used to calculate the estimate, affecting the realized volatility of the market. Furthermore, other factors could affect trading, such as the inability to execute orders in a particular market, due to operational or regulatory restrictions that may alter the pattern of a Series' returns. Specifically, the Manager advises other funds in addition to the Trust. In certain markets there is a limit to the size a position that one entity can control (speculative limits). Since positions cannot exceed speculative limits, the Manager may have to allocate positions across accounts and funds, resulting in a less than complete replication of the MLM Index™ and its subsets. It is best to remember the fact that, as outlined in the offering for the Trust, that all the assets invested are at risk of loss.

Since the calculation of the VAR does not look at the specific instrument risks, but rather the results of the MLM Index™ and its subsets as a whole, risks related to actual execution are not included in the calculation. For example, counter-party risks from OTC transactions are not factored into the calculation.

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Additional market risk may be attributed to the actual execution of the orders for a Series. Each Series executes the majority of its orders on the ~~last~~same day of each month. As assets of a Series grow, large orders may be placed in periods of reduced liquidity. Such orders may move the markets in which they are executed, adversely affecting the performance of the Trust. The Manager makes every effort to execute all orders efficiently, but general levels of liquidity are beyond the control of management. In certain circumstances, markets may move to the daily trading limits imposed by the exchanges, and a Series may be unable to execute the necessary orders to replicate the MLM Index™ and its subsets, causing extensive slippage.

Non-Market Risk

Risk from Brokers - Each Series' futures commission merchant, Citigroup Global Markets, holds some portion of the assets of the Series as margin deposits for futures trading. A failure of Citigroup Global Markets could cause the portion of the Series’ assets held there to be at risk or unavailable for an undetermined period of time.

Speculative Limits - Certain futures exchanges require that positions deemed speculative in nature (as opposed to commercial hedge positions) cannot exceed certain pre-defined levels. All positions in the control of the Manager must be aggregated to determine compliance with these rules. Should the assets of the Manager reach a level such that positions may be capped, accurate replication of the MLM Index™ for the Trust may be difficult or impossible. The Manager may also use certain OTC derivatives to achieve the same exposure without exceeding speculative limits. These OTC products would involve taking additional counter-party risk for a Series in order to achieve accurate replication of the MLM Index™. For example, if it was determined that a Series must hold 10 contracts of Soybeans for a specific delivery, the Series could execute the appropriate futures contracts on the appropriate futures exchange. Or, the Manager of each Series may choose to enter into a swap agreement, which would have substantially the same economic effect of the futures position, but would be executed in the over-the-counter market. The swap contract would change the nature of the counter-party from an organized exchange to a single dealer, and would materially increase the non-market risk of holding the position. No Series has yet utilized OTC swap contracts.

Item 4.

Controls and Procedures.

As of the end of the period covered by this Quarterly Report, the Manager’s ~~President~~Chief Executive Officer and the Chief Financial Officer (collectively the “Certifying Officers”), as well as the other key members of our management, maintain a system of disclosure controls and procedures with respect to each Series individually, as well as the Trust as a whole, that is designed to provide reasonable assurance that information, which is required to be disclosed, is accumulated and communicated to management in a timely manner.

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(a) Evaluation of disclosure controls and procedures. As of the end of the period covered by this Quarterly Report, we carried out an evaluation of the effectiveness of the design and operation of our disclosure controls and procedures with respect to each Series individually, as well as the Trust as a whole, and have concluded that our disclosure controls and procedures with respect to each Series individually, as well as the Trust as a whole, are effective to ensure that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission and that such information is accumulated and communicated to our management to allow timely decisions regarding required disclosures. Based on such evaluation we have concluded these disclosure controls are effective as of ~~March~~June 3130, 2015.

(b) Changes in internal control over financial reporting. There has been no change in management’s internal control over financial reporting that occurred in the this fiscal quarter that has materially affected, or is reasonably likely to materially affect, management’s internal control over financial reporting with respect to each Series individually, as well as the Trust as a whole.

The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, included as Exhibit 31.1, Exhibit 31.2, Exhibit 32.1 and Exhibit 32.2 hereto, respectively, are applicable with respect to each Series individually, as well as to the Trust as a whole.

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Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

The Manager is not aware of any proceedings threatened or pending against the Trust and its affiliates which, if determined adversely, would have a material adverse effect on the financial condition or results of operations of the Trust.

Item 1a.

Risk Factors.

None.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

	Unleveraged Series										Leveraged Series								Unleveraged Commodity L/N Series				Unleveraged Commodity L/S Series
	Class A		Class B		Class C		Class D		Class E		Class A		Class B		Class C		Class D		Class D		Class E		Class D
Jan-15 Subscriptions	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	750,000	$	-	$	-
Apr-15 Subscriptions	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	6,500,000	$	-	$	4,100,000
Units		-		-		-		-		-		-		-		-		-		874,~~508~~956		-		-41,175
# of Purchasers		-		-		-		-		-		-		-		-		-		2		-		-1
Unit Price	$	~~106~~108.6111	$	~~124~~127.9806	$	~~109~~111.5435	$	~~114~~116.7074	$	~~108~~110.2019	$	8892.2747	$	~~110~~116.6837	$	9095.8959	$	~~117~~123.3160	$	8886.1572	$	8584.6632	$	9699.7357
Feb-15 Subscriptions	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-
May-15 Subscriptions	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-
Units		-		-		-		-		-		-		-		-		-		-		-		-
# of Purchasers		-		-		-		-		-		-		-		-		-		-		-		-
Unit Price	$	~~108~~104.1867	$	~~126~~123.9412	$	~~111~~107.2489	$	~~116~~113.5316	$	~~109~~106.9584	$	9284.2902	$	~~115~~105.8588	$	9586.1598	$	~~122~~112.8855	$	86.7749	$	84.3412	$	9994.2114
Mar-15 Subscriptions	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	4,200,000	$	-	$	-
Jun-15 Subscriptions	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	200,000	$	-	$	-
Units		-		-		-		-		-		-		-		-		-		482,~~448~~311		-		-
# of Purchasers		-		-		-		-		-		-		-		-		-		21		-		-
Unit Price	$	~~106~~105.0886	$	124.5762	$	109.1720	$	114.4158	$	~~107~~108.9720	$	87.2407	$	109.6686	$	90.0726	$	116.3986	$	86.6956	$	84.2820	$	9496.9163

Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

Mine Safety Disclosures

None.

Item 5.

Other Information.

None.

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Index

Item 6.

Exhibits and Reports of Form 8-K.

	(a) Reports on Form 8-K
	(a)	Reports on Form 8-K
	20	The Manager of the Registrant implemented certain changes with respect to its principal officers and its General Partner appointed. Managers as set forth in Form 8-K filed February 10, 2015 (incorporated by reference).
	20 The manager of the Registrant implemented certain changes with respect to its principal officers and its General Partner appointed Managers as set forth in Form 8-K filed February 10, 2015 (incorporated by reference).
	(b) Exhibits
	(b)	Exhibits
	31.1	Certification of ~~President~~Chief Executive Officer of the Manager Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of the Securities Exchange Act, as amended.
	31.2	Certification of Chief ~~Operating~~Financial Officer of the Manager Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of the Securities Exchange Act, as amended.
	32.1	Certification of ~~President~~Chief Executive Officer of the Manager Pursuant to 18 U.S.C. Section 1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
	32.2	Certification of Chief ~~Operating~~Financial Officer of the Manager Pursuant to 18 U.S.C. Section 1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
	101.INS	XBRL Instance Document
	101.SCH	XBRL Taxonomy Extension Schema
	101.CAL	XBRL Taxonomy Extension Calculation Linkbase
	101.DEF	XBRL Taxonomy Extension Definition Linkbase
	101.LAB	XBRL Taxonomy Extension label Linkbase
	101.PRE	XBRL Extension Presentation Linkbase

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SIGNATURES

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

MLM INDEX™ FUND By: Mount Lucas Management LP Its: Manager By: /s/ Timothy J. Rudderow, Sr Timothy J. Rudderow, Sr ~~CEO~~Chief Executive Officer

Date: ~~May~~August 810, 2015

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