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 September 30, 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)

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

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

405 South State Street, Newtown, PA

(Address of principal executive offices)

18940

(Zip Code)

(267) 759-3500

(Registrant's telephone number including area code)

N/A

(Former name, former address and former fiscal year, if

changed since last report)

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

Yes ☒ 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

September 30, 2015

PART I – FINANCIAL INFORMATION
Item 1	Unaudited Condensed Financial Statements:	Page Number
MLM Index™ Unleveraged Series		3-9
MLM Index™ Leveraged Series		10-16
MLM Commodity L/N Index Unleveraged Series		17-22
MLM Commodity L/S Index Unleveraged Series		23-29
Total Trust		30-36
Notes to Unaudited Condensed Financial Statements		37-50
Item 2	Management’s Discussion and Analysis of Financial Condition and Results of Operations	51-55
Item 3	Quantitative and Qualitative Disclosures of Market Risk	55-57
Item 4	Controls and Procedures	57-58
PART II – OTHER INFORMATION
Item 1	Legal Proceedings	59
Item 1A	Risk Factors	59
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	59
Item 3	Defaults Upon Senior Securities	59
Item 4	Mine Safety Disclosures	59
Item 5	Other Information	59
Item 6	Exhibits	60

Index

Item 1.

Financial Statements.

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Index^TM Unleveraged Series

As of September 30, 2015 (Unaudited) and December 31, 2014

ASSETS	September 30, 2015		December 31, 2014

Cash and cash equivalents	$	24,119,986	$	32,065,884
Due from broker		9,075,999		7,050,518
Net unrealized gain on open futures contracts, at fair value		151,695		1,696,733
Interest receivable		6		12

Total assets	$	33,347,686	$	40,813,147

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	177,530	$	‒
Brokerage commissions payable		10,898		13,429
Management fee payable		14,020		16,921
Accrued expenses		7,200		8,320

Total liabilities		209,648		38,670

Investors’ interest		33,138,038		40,774,477

Total liabilities and investors’ interest	$	33,347,686	$	40,813,147

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Unleveraged Series

September 30, 2015 (Unaudited)

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

Futures*

Long futures contracts
Financial		99		$	(11,012	)		(0.03	)%
		99			(11,012	)		(0.03	)

Short futures contracts
Financial		(91	)		45,606			0.14
Commodity		(240	)		117,101			0.35
		(331	)		162,707			0.49

Net unrealized gain on open futures contracts, at fair value				$	151,695			0.46	%

* 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 nine months ended September 30, 2015 and 2014 (Unaudited)

	For the three months ended September 30, 2015			For the three months ended September 30, 2014			For the nine months ended September 30, 2015			For the nine months ended September 30, 2014
Investment income
Interest	$	5,109		$	5,209		$	14,599		$	13,569

Expenses
Brokerage commissions		33,836			47,006			112,658			125,582
Management fee		41,703			73,474			139,044			171,326
Operating expenses		33,600			59,136			116,029			143,298

Total expenses		109,139			179,616			367,731			440,206

Net investment loss		(104,030	)		(174,407	)		(353,132	)		(426,637	)

Realized and unrealized gain (loss) on investments
Net realized gain (loss) on investments		720,269			(52,692	)		2,037,444			24,861
Net change in unrealized appreciation and depreciation on investments		390,591			1,714,662			(1,545,842	)		1,321,918

Net realized and unrealized gain on investments		1,110,860			1,661,970			491,602			1,346,779

Net income	$	1,006,830		$	1,487,563		$	138,470		$	920,142

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Unleveraged Series

For the nine months ended September 30, 2015 (Unaudited)

	Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares		Class D Shares			Class E Shares		Total Unleveraged Series
Investors’ interest at December 31, 2014	$	398,029		$	746,869		$	1,245	$	39,627,310		$	1,024	$	40,774,477
Subscriptions		-			-			-		850,000			-		850,000
Redemptions		(48,022	)		(189,875	)		-		(8,387,012	)		-		(8,624,909	)
Net (loss) income		(2,024	)		3,035			4		137,446			9		138,470
Investors’ interest at September 30, 2015	$	347,983		$	560,029		$	1,249	$	32,227,744		$	1,033	$	33,138,038

Shares at December 31, 2014		3,734			5,977			11		345,489			9
Subscriptions		-			-			-		7,406			-
Redemptions		(457	)		(1,511	)		-		(73,866	)		-
Shares at September 30, 2015		3,277			4,466			11		279,029			9
Net asset value per share:
September 30, 2015	$	106.19		$	125.43		$	109.89	$	115.50		$	109.16

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Unleveraged Series

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

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

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

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Index^TM Unleveraged Series

For the nine months ended September 30, 2015 and 2014 (Unaudited)

	September 30, 2015			September 30, 2014

Cash flows from operating activities
Net income	$	138,470		$	920,142
Adjustments to reconcile net income to net cash and cash equivalents used in operating activities
Net change in operating assets and liabilities
Due from broker		(2,025,481	)		(4,075	)
Net unrealized gain on open futures contracts		1,545,038			(1,332,440	)
Interest receivable		6			(170	)
Brokerage commissions payable		(2,531	)		116
Management fee payable		(2,901	)		5,214
Accrued expenses		(1,120	)		213

Net cash and cash equivalents used in operating activities		(348,519	)		(411,000	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		850,000			22,874,401
Redemptions paid		(8,447,379	)		(7,791,111	)

Net cash and cash equivalents (used in) provided by financing activities		(7,597,379	)		15,083,290

Net (decrease) increase in cash and cash equivalents		(7,945,898	)		14,672,290

Cash and cash equivalents at beginning of period		32,065,884			38,783,078

Cash and cash equivalents at end of period	$	24,119,986		$	53,455,368
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	177,530		$	613,438

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Index^TM Leveraged Series

As of September 30, 2015 (Unaudited) and December 31, 2014

ASSETS	September 30, 2015		December 31, 2014

Cash and cash equivalents	$	6,383	$	13,333
Due from broker		3,151,084		4,171,516
Net unrealized gain on open futures contracts, at fair value		47,457		570,754
Other assets		-		10,301

Total assets	$	3,204,924	$	4,765,904

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Brokerage commissions payable	$	2,894	$	4,007
Management fee payable		3,521		4,926
Accrued expenses		1,861		1,591

Total liabilities		8,276		10,524

Investors’ interest		3,196,648		4,755,380

Total liabilities and investors’ interest	$	3,204,924	$	4,765,904

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Leveraged Series

September 30, 2015 (Unaudited)

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

Futures*

Long futures contracts
Financial		28		$	(384	)		(0.01	)%
		28			(384	)		(0.01	)

Short futures contracts
Financial		(27	)		12,220			0.38
Commodity		(68	)		35,621			1.11
		(95	)		47,841			1.49

Net unrealized gain on open futures contracts, at fair value				$	47,457			1.48	%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Index^TM Leveraged Series

December 31, 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.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Index^TM Leveraged Series

For the three and nine months ended September 30, 2015 and 2014 (Unaudited)

	For the three months ended September 30, 2015			For the three months ended September 30, 2014			For the nine months ended September 30, 2015			For the nine months ended September 30, 2014
Investment income
Interest	$	-		$	17		$	21		$	31

Expenses
Brokerage commissions		8,977			10,783			33,017			35,374
Management fee		10,218			12,991			38,646			42,839
Operating expenses		3,260			4,451			12,088			14,621

Total expenses		22,455			28,225			83,751			92,834

Net investment loss		(22,455	)		(28,208	)		(83,730	)		(92,803	)

Realized and unrealized gain (loss) on investments
Net realized gain on investments		204,256			11,946			709,521			51,203
Net change in unrealized appreciation and depreciation on investments		108,625			313,549			(523,298	)		188,666

Net realized and unrealized gain on investments		312,881			325,495			186,223			239,869

Net income	$	290,426		$	297,287		$	102,493		$	147,066

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Leveraged Series

For the nine months ended September 30, 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	)
Net income		1,977			12,985			23		87,508			102,493
Investors’ interest at September 30, 2015	$	90,634		$	961,987		$	1,250	$	2,142,777		$	3,196,648

Shares at December 31, 2014		1,357			9,538			14		30,510
Subscriptions		-			-			-		-
Redemptions		(337	)		(1,001	)		-		(12,684	)
Shares at September 30, 2015		1,020			8,537			14		17,826
Net asset value per share:
September 30, 2015	$	88.88		$	112.70		$	92.62	$	120.21

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Index^TM Leveraged Series

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



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

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

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Index^TM Leveraged Series

For the nine months ended September 30, 2015 and 2014 (Unaudited)

	September 30, 2015			September 30, 2014
Cash flows from operating activities
Net income	$	102,493		$	147,066
Adjustments to reconcile net income to net cash and cash equivalents provided by operating activities
Net change in operating assets and liabilities
Due from broker		1,020,432			2,019,124
Net unrealized gain on open futures contracts		523,297			(189,745	)
Other assets		10,301			─
Brokerage commissions payable		(1,113	)		(3,007	)
Management fee payable		(1,405	)		(4,046	)
Accrued expenses		270			252

Net cash and cash equivalents provided by operating activities		1,654,275			1,969,644

Cash flows from financing activities
Redemptions paid		(1,661,225	)		(2,314,740	)

Net cash and cash equivalents used in financing activities		(1,661,225	)		(2,314,740	)

Net decrease in cash and cash equivalents		(6,950	)		(345,096	)

Cash and cash equivalents at beginning of period		13,333			354,768

Cash and cash equivalents at end of period	$	6,383		$	9,672

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

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Commodity L/N Index Unleveraged Series

As of September 30, 2015 (Unaudited) and December 31, 2014

ASSETS	September 30, 2015		December 31, 2014

Cash and cash equivalents	$	168,576,057	$	145,958,352
Due from broker		3,385,759		3,969,156
Interest receivable		188		201

Total assets	$	171,962,004	$	149,927,709

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Net unrealized loss on open future contracts, at fair value		-		1,284,583
Brokerage commissions payable		33,330		34,560
Management fee payable		71,654		62,103
Accrued expenses		26,060		24,773
Subscriptions received in advance		-		750,000

Total liabilities		131,044		2,156,019

Investors’ interest		171,830,960		147,771,690

Total liabilities and investors’ interest	$	171,962,004	$	149,927,709

See Notes to Unaudited Condensed Financial Statements.

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.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Commodity L/N Index Unleveraged Series

For the three and nine months ended September 30, 2015 and 2014 (Unaudited)

	For the three months ended September 30, 2015			For the three months ended September 30, 2014			For the nine months ended September 30, 2015			For the nine months ended September 30, 2014
Investment income
Interest	$	36,329		$	18,842		$	80,113		$	52,953

Expenses
Brokerage commissions		104,314			98,229			320,799			296,711
Management fee		208,904			165,312			590,220			500,988
Operating expenses		172,132			140,389			488,483			424,675

Total expenses		485,350			403,930			1,399,502			1,222,374

Net investment loss		(449,021	)		(385,088	)		(1,319,389	)		(1,169,421	)

Realized and unrealized (loss) gain on investments
Net realized loss on investments		(4,326,314	)		(4,757,657	)		(7,562,006	)		(2,885,410	)
Net change in unrealized depreciation and appreciation on investments		261,971			(907,514	)		1,290,665			587,864

Net realized and unrealized loss on investments		(4,064,343	)		(5,665,171	)		(6,271,341	)		(2,297,546	)

Net loss	$	(4,513,364	)	$	(6,050,259	)	$	(7,590,730	)	$	(3,466,967	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/N Index Unleveraged Series

For the nine months ended September 30, 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		11,650,000			20,000,000			31,650,000
Transfers		(83,687,952	)		83,687,952			-
Net loss		(3,894,877	)		(3,695,853	)		(7,590,730	)
Investors’ interest at September 30, 2015	$	838		$	171,830,122		$	171,830,960

Shares at December 31, 2014		861,429			838,676
Subscriptions		134,223			243,282
Transfers		(995,643	)		1,022,814
Shares at September 30, 2015		9			2,104,772
Net asset value per share:
September 30, 2015	$	83.86		$	81.64

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/N Index Unleveraged Series

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


	Class D Shares			Class E Shares			Total Commodity L/N Unleveraged Series
Investors’ interest at December 31, 2013	$	74,744,967		$	54,734,130		$	129,479,097
Subscriptions		3,700,000			-			3,700,000
Net loss		(2,135,095	)		(1,331,872	)		(3,466,967	)
Investors’ interest at September 30, 2014	$	76,309,872		$	53,402,258		$	129,712,130

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

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Commodity L/N Index Unleveraged Series

For the nine months ended September 30, 2015 and 2014 (Unaudited)

	September 30, 2015			September 30, 2014

Cash flows from operating activities
Net loss	$	(7,590,730	)	$	(3,466,967	)
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		583,397			2,917,156
Net unrealized gain on open futures contracts		(1,284,583	)		(588,437	)
Interest receivable		13			(20	)
Brokerage commissions payable		(1,230	)		(375	)
Management fee payable		9,551			(170	)
Accrued expenses		1,287			(13	)

Net cash and cash equivalents used in operating activities		(8,282,295	)		(1,138,826	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		30,900,000			3,950,000

Net cash and cash equivalents provided by financing activities		30,900,000			3,950,000

Net increase in cash and cash equivalents		22,617,705			2,811,174

Cash and cash equivalents at beginning of period		145,958,352			123,776,520

Cash and cash equivalents at end of period	$	168,576,057		$	126,587,694

Supplemental disclosure of non-cash financing activities:
Subscriptions recorded which were received in advance	$	750,000			-

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

MLM Commodity L/S Index Unleveraged Series

As of September 30, 2015 (Unaudited) and December 31, 2014

ASSETS	September 30, 2015		December 31, 2014

Cash and cash equivalents	$	41,871,106	$	37,609,364
Due from broker		13,418,040		6,573,368
Net unrealized gain on open futures contracts, at fair value		677,522		4,740,311
Interest receivable		35		42

Total assets	$	55,966,703	$	48,923,085

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable		8,133,000		‒
Brokerage commissions payable		13,812		14,352
Management fee payable		22,748		19,199
Accrued expenses		7,276		6,854

Total liabilities		8,176,836		40,405

Investors’ interest		47,789,867		48,882,680

Total liabilities and investors’ interest	$	55,966,703	$	48,923,085

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/S Index Unleveraged Series

September 30, 2015 (Unaudited)

Description	Number of contracts			Unrealized gain		Percentage of investors’ interest

Futures*

Short futures contracts
Commodity		(1,390	)	$	677,522		1.42	%

Net unrealized gain on open futures contracts, at fair value				$	677,522		1.42	%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

MLM Commodity L/S Index Unleveraged Series

December 31, 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.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

MLM Commodity L/S Index Unleveraged Series

For the three and nine months ended September 30, 2015 and 2014 (Unaudited)

	For the three months ended September 30, 2015			For the three months ended September 30, 2014			For the nine months ended September 30, 2015			For the nine months ended September 30, 2014
Investment income
Interest	$	9,390		$	5,071		$	20,776		$	13,556

Expenses
Brokerage commissions		53,398			38,373			155,289			113,398
Management fee		66,749			47,966			194,113			141,747
Operating expenses		53,920			40,439			156,832			119,912

Total expenses		174,067			126,778			506,234			375,057

Net investment loss		(164,677	)		(121,707	)		(485,458	)		(361,501	)

Realized and unrealized gain (loss) on investments
Net realized gain (loss) on investments		2,413,223			(542,367	)		6,887,487			(1,374,300	)
Net change in unrealized appreciation and depreciation on investments		2,956,060			2,921,636			(4,061,842	)		3,250,140

Net realized and unrealized gain on investments		5,369,283			2,379,269			2,825,645			1,875,840

Net income	$	5,204,606		$	2,257,562		$	2,340,187		$	1,514,339

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/S Index Unleveraged Series

For the nine months ended September 30, 2015 (Unaudited)

	Total Commodity L/S Unleveraged Series

Investors’ interest at December 31, 2014	$	48,882,680
Subscriptions		4,700,000
Redemptions		(8,133,000	)
Net income		2,340,187
Investors’ interest at September 30, 2015	$	47,789,867

Shares at December 31, 2014		505,367
Subscriptions		47,718
Redemptions		(80,437	)
Shares at September 30, 2015		472,648
Net asset value per share:
September 30, 2015	$	101.11

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS’ INTEREST

MLM Commodity L/S Index Unleveraged Series

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

	Total Commodity L/S Unleveraged Series

Investors’ interest at December 31, 2013	$	37,572,076
Subscriptions		5,225,000
Net income		1,514,339
Investors’ interest at September 30, 2014	$	44,311,415

Shares at December 31, 2013		441,627
Subscriptions		63,740
Shares at September 30, 2014		505,367
Net asset value per share:
September 30, 2014	$	87.68

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

MLM Commodity L/S Index Unleveraged Series

For the nine months ended September 30, 2015 and 2014 (Unaudited)

	September 30, 2015			September 30, 2014

Cash flows from operating activities
Net income	$	2,340,187		$	1,514,339
Adjustments to reconcile net income to net cash and cash equivalents used in operating activities
Net change in operating assets and liabilities
Due from broker		(6,844,672	)		1,395,652
Net unrealized gain on open futures contracts		4,062,789			(3,250,703	)
Interest receivable		7			(41	)
Brokerage commissions payable		(540	)		161
Management fee payable		3,549			1,443
Accrued expenses		422			107

Net cash and cash equivalents used in operating activities		(438,258	)		(339,042	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		4,700,000			5,225,000

Net cash and cash equivalents provided by financing activities		4,700,000			5,225,000

Net increase in cash and cash equivalents		4,261,742			4,885,958

Cash and cash equivalents at beginning of period		37,609,364			32,852,364

Cash and cash equivalents at end of period	$	41,871,106		$	37,738,322

Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	8,133,000			-

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED STATEMENTS OF FINANCIAL CONDITION

Trust Total

As of September 30, 2015 (Unaudited) and December 31, 2014

ASSETS	September 30, 2015		December 31, 2014

Cash and cash equivalents	$	234,573,532	$	215,646,933
Due from broker		29,030,882		21,764,558
Net unrealized gain on open futures contracts, at fair value		876,674		7,007,798
Interest receivable		229		255
Other assets		-		10,301

Total assets	$	264,481,317	$	244,429,845

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Redemptions payable	$	8,310,530	$	─
Net unrealized loss on open future contracts, at fair value		─		1,284,583
Brokerage commissions payable		60,934		66,348
Management fee payable		111,943		103,149
Subscriptions received in advance		─		750,000
Accrued expenses		42,397		41,538

Total liabilities		8,525,804		2,245,618

Investors’ interest		255,955,513		242,184,227

Total liabilities and investors’ interest	$	264,481,317	$	244,429,845

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

September 30, 2015 (Unaudited)

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

Futures*

Long futures contracts
Financial		127		$	(11,396	)		0.00	%
		127			(11,396	)		0.00

Short futures contracts
Financial		(118	)		57,826			0.02
Commodity		(1,698	)		830,244			0.32
		(1,816	)		888,070			0.34
Net unrealized gain on open futures contracts, at fair value				$	876,674			0.34	%

* Derivatives are not designated as hedging instruments.

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

CONDENSED SCHEDULE OF INVESTMENTS

Trust Total

December 31, 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.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENTS OF OPERATIONS

Trust Total

For the three and nine months ended September 30, 2015 and 2014 (Unaudited)

	For the three months ended September 30, 2015			For the three months ended September 30, 2014			For the nine months ended September 30, 2015			For the nine months ended September 30, 2014
Investment income
Interest	$	50,828		$	29,139		$	115,509		$	80,109

Expenses
Brokerage commissions		200,525			194,391			621,763			571,065
Management fee		327,574			299,743			962,023			856,900
Operating expenses		262,912			244,415			773,432			702,506

Total expenses		791,011			738,549			2,357,218			2,130,471

Net investment loss		(740,183	)		(709,410	)		(2,241,709	)		(2,050,362	)

Realized and unrealized (loss) gain on investments
Net realized (loss) gain on investments		(988,566	)		(5,340,770	)		2,072,446			(4,183,646	)
Net change in unrealized appreciation and depreciation on investments		3,717,247			4,042,333			(4,840,317	)		5,348,588

Net realized and unrealized gain (loss) on investments		2,728,681			(1,298,437	)		(2,767,871	)		1,164,942

Net income (loss)	$	1,988,498		$	(2,007,847	)	$	(5,009,580	)	$	(885,420	)

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS INTEREST

Trust Total

For the nine months ended September 30, 2015 (Unaudited)

	Total investor interest
Investors’ interest at December 31, 2014	$	242,184,227
Subscriptions		37,200,000
Redemptions		(18,419,134	)
Net loss		(5,009,580	)

Investors’ interest at September 30, 2015	$	255,955,513

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS INTEREST

Trust Total

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

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

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

See Notes to Unaudited Condensed Financial Statements.

Index

MLM INDEX™ FUND

UNAUDITED CONDENSED STATEMENT OF CASH FLOWS

Trust Total

For the nine months ended September 30, 2015 and 2014 (Unaudited)

	September 30, 2015			September 30, 2014

Cash flows from operating activities
Net loss	$	(5,009,580	)	$	(885,420	)
Adjustments to reconcile net loss to net cash and cash equivalents (used in) provided by operating activities
Net change in operating assets and liabilities
Due from broker		(7,266,324	)		6,327,857
Net unrealized gain on open futures contracts		4,846,541			(5,361,325	)
Interest receivable		26			(231	)
Other assets		10,301			─
Brokerage commissions payable		(5,414	)		(3,105	)
Management fee payable		8,794			2,441
Accrued expenses		859			559

Net cash and cash equivalents (used in) provided by operating activities		(7,414,797	)		80,776

Cash flows from financing activities
Subscriptions received, net of selling commissions		36,450,000			32,049,401
Redemptions paid		(10,108,604	)		(10,105,851	)

Net cash and cash equivalents provided by financing activities		26,341,396			21,943,550

Net increase in cash and cash equivalents		18,926,599			22,024,326

Cash and cash equivalents at beginning of period		215,646,933			195,766,730

Cash and cash equivalents at end of period	$	234,573,532		$	217,791,056

Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	8,310,530		$	652,772
Subscriptions recorded which were received in advance	$	750,000		$	-

See Notes to Unaudited Condensed Financial Statements.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements

September 30, 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 September 30, 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 September 30, 2015 and the results of its operations for the three and nine months ended September 30, 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.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 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. Certain of each Series' cash at broker is restricted to meet margin requirements (see Note 5).

Due from Broker

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

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 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 September 30, 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 and depreciation on investments on the statements of operations.

Investment Transactions and Investment Income

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

Income Taxes

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

All of the Series of the Trust recognize tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions were “more likely than not” to be sustained assuming examination by tax authorities. The Manager 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.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2015

3. Cash and Cash Equivalents

The Trust’s cash and cash equivalents consisted of:

September 30, 2015	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Overnight money markets	$	612,000	$	-	$	22,769,000	$	4,216,000	$	27,597,000
U.S. Government Agency Securities		23,409,114		-		145,729,273		37,619,649		206,758,036
Cash		97,569		4,903		75,999		33,785		212,256
Cash in Checking Account		1,303		1,480		1,785		1,672		6,240
Total	$	24,119,986	$	6,383	$	168,576,057	$	41,871,106	$	234,573,532

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

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 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 September 30, 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 September 30, 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 September 30, 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 September 30, 2015 and December 31, 2014:

	September 30, 2015		December 31, 2014

Unleveraged Series	$	1,046,129	$	1,008,048
Leveraged Series		299,708		350,268
Commodity L/N Unleveraged Series		-		901,780
Commodity L/S Unleveraged Series		3,270,599		2,582,938

Total	$	4,616,436	$	4,843,034

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

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 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	%

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 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.

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 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 September 30, 2015 and December 31, 2014:

	September 30, 2015					December 31, 2014
Unleveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	203,527	$	(168,933	)	$	666,959	$	─
Commodity futures		235,336		(118,235	)		1,154,369		(124,595	)
Total	$	438,863	$	(287,168	)	$	1,821,328	$	(124,595	)

	September 30, 2015					December 31, 2014
Leveraged Series	Asset		Liability			Asset		Liability
Financial futures	$	60,145	$	(48,309	)	$	225,238	$	─
Commodity futures		68,491		(32,870	)		383,895		(38,379	)
Total	$	128,636	$	(81,179	)	$	609,133	$	(38,379	)


	September 30, 2015				December 31, 2014
Commodity L/N Unleveraged Series	Asset		Liability		Asset		Liability
Commodity futures	$	─	$	─	$	─	$	(1,284,583	)
Total	$	─	$	─	$	─	$	(1,284,583	)


	September 30, 2015					December 31, 2014
Commodity L/S Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	1,349,542	$	(672,020	)	$	5,320,855	$	(580,544	)
Total	$	1,349,542	$	(672,020	)	$	5,320,855	$	(580,544	)

	September 30, 2015					December 31, 2014
Trust Total	Asset		Liability			Asset		Liability
Financial futures	$	263,672	$	(217,242	)	$	892,197	$	─
Commodity futures		1,653,369		(823,125	)		6,859,119		(2,028,101	)
Total	$	1,917,041	$	(1,040,367	)	$	7,751,316	$	(2,028,101	)

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

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

	Three months ended September 30, 2015							Three months ended September 30, 2014
Unleveraged	Realized		Unrealized			Total		Realized			Unrealized		Total
Financial futures	$	388,767	$	(77,233	)	$	311,534	$	190,537		$	690,674	$	881,211
Commodity futures		336,987		467,119			804,106		(243,229	)		1,038,864		795,635
Total	$	725,754	$	389,886		$	1,115,640	$	(52,692	)	$	1,729,538	$	1,676,846


	Three months ended September 30, 2015							Three months ended September 30, 2014
Leveraged	Realized		Unrealized			Total		Realized			Unrealized		Total
Financial futures	$	110,808	$	(19,157	)	$	91,651	$	58,326		$	120,498	$	178,824
Commodity futures		95,062		127,782			222,844		(46,380	)		196,911		150,531
Total	$	205,870	$	108,625		$	314,495	$	11,946		$	317,409	$	329,355


	Three months ended September 30, 2015								Three months ended September 30, 2014
Commodity L/N	Realized			Unrealized		Total			Realized			Unrealized			Total
Commodity futures	$	(4,326,562	)	$	252,890	$	(4,073,672	)	$	(4,757,657	)	$	(908,249	)	$	(5,665,906	)
Total	$	(4,326,562	)	$	252,890	$	(4,073,672	)	$	(4,757,657	)	$	(908,249	)	$	(5,665,906	)

	Three months ended September 30, 2015						Three months ended September 30, 2014
Commodity L/S	Realized		Unrealized		Total		Realized			Unrealized		Total
Commodity futures	$	2,413,174	$	2,953,596	$	5,366,770	$	(542,367	)	$	2,921,711	$	2,379,344
Total	$	2,413,174	$	2,953,596	$	5,366,770	$	(542,367	)	$	2,921,711	$	2,379,344


	Three months ended September 30, 2015								Three months ended September 30, 2014
Trust Total	Realized			Unrealized			Total		Realized			Unrealized		Total
Financial futures	$	499,575		$	(96,390	)	$	403,185	$	248,863		$	811,172	$	1,060,035
Commodity futures		(1,481,339	)		3,801,387			2,320,048		(5,589,633	)		3,249,237		(2,340,396	)
Total	$	(981,764	)	$	3,704,997		$	2,723,233	$	(5,340,770	)	$	4,060,409	$	(1,280,361	)

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2015

7. Derivative Financial Instruments (continued)

	Nine months ended September 30, 2015							Nine months ended September 30, 2014
Unleveraged	Realized		Unrealized			Total		Realized			Unrealized		Total
Financial futures	$	738,988	$	(632,365	)	$	106,623	$	466,151		$	203,696	$	669,847
Commodity futures		1,324,970		(912,673	)		412,297		(441,290	)		1,128,744		687,454
Total	$	2,063,958	$	(1,545,038	)	$	518,920	$	24,861		$	1,332,440	$	1,357,301


	Nine months ended September 30, 2015							Nine months ended September 30, 2014
Leveraged	Realized		Unrealized			Total		Realized			Unrealized			Total
Financial futures	$	267,918	$	(213,402	)	$	54,516	$	159,589		$	(40,237	)	$	119,352
Commodity futures		450,811		(309,895	)		140,916		(108,386	)		229,982			121,596
Total	$	718,729	$	(523,297	)	$	195,432	$	51,203		$	189,745		$	240,948


	Nine months ended September 30, 2015								Nine months ended September 30, 2014
Commodity L/N	Realized			Unrealized		Total			Realized			Unrealized		Total
Commodity futures	$	(7,562,070	)	$	1,284,583	$	(6,277,487	)	$	(2,885,410	)	$	588,437	$	(2,296,973	)
Total	$	(7,562,070	)	$	1,284,583	$	(6,277,487	)	$	(2,885,410	)	$	588,437	$	(2,296,973	)

	Nine months ended September 30, 2015							Nine months ended September 30, 2014
Commodity L/S	Realized		Unrealized			Total		Realized			Unrealized		Total
Commodity futures	$	6,887,573	$	(4,062,789	)	$	2,824,784	$	(1,374,300	)	$	3,250,703	$	1,876,403
Total	$	6,887,573	$	(4,062,789	)	$	2,824,784	$	(1,374,300	)	$	3,250,703	$	1,876,403


	Nine months ended September 30, 2015								Nine months ended September 30, 2014
Trust Total	Realized		Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	1,006,906	$	(845,767	)	$	161,139		$	625,740		$	163,459	$	789,199
Commodity futures		1,101,284		(4,000,774	)		(2,899,490	)		(4,809,386	)		5,197,866		388,480
Total	$	2,108,190	$	(4,846,541	)	$	(2,738,351	)	$	(4,183,646	)	$	5,361,325	$	1,177,679

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

	Number of Contracts Opened		Number of Contracts Closed		Number of Contracts Opened		Number of Contracts Closed
	Three months ended September 30, 2015		Three months ended September 30, 2015		Three months ended September 30, 2014		Three months ended September 30, 2014
Unleveraged		627		601		738		660
Leveraged		177		167		146		134
Commodity L/N		1,684		1,922		482		1,299
Commodity L/S		2,279		2,372		943		681
Trust Total		4,767		5,062		2,309		2,774

Index

MLM Index ™ Fund

Notes to Unaudited Condensed Financial Statements (continued)

September 30, 2015

7. Derivative Financial Instruments (continued)

	Number of Contracts Opened		Number of Contracts Closed		Number of Contracts Opened		Number of Contracts Closed
	Nine months ended September 30, 2015		Nine months ended September 30, 2015		Nine months ended September 30, 2014		Nine months ended September 30, 2014
Unleveraged		1,905		1,945		2,039		1,795
Leveraged		604		643		513		524
Commodity L/N		2,397		3,044		4,297		4,789
Commodity L/S		6,657		6,441		3,439		3,229
Trust Total		11,563		12,073		10,288		10,337

Index

MLM INDEX FUND 10-Q