UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2018

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-51084

ML WINTON FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware		20-1227904
(State or other jurisdiction of		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10281

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

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 (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o
(Do not check if a smaller reporting company)

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

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

Yes o No x

As of June 30, 2018, 382,891,265 units of limited liability company interest were outstanding.

ML WINTON FUTURESACCESS LLC

QUARTERLY REPORT FOR JUNE 30, 2018 ON FORM 10-Q

Table of Contents

		PAGE

PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	26

Item 4.	Controls and Procedures	31

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	31

Item 1A.	Risk Factors	31

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	31

Item 3.	Defaults Upon Senior Securities	34

Item 4.	Mine Safety Disclosures	34

Item 5.	Other Information	34

Item 6.	Exhibits	34

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30,		December 31,
	2018		2017
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $33,669,366 for 2018 and $64,470,217 for 2017)	$	605,150,753	$	662,002,685
Receivable from broker due to variation margin	9,467,336		—
Unrealized profit on open futures contracts	6,131,374		26,926,899
Unrealized profit on open forwards contracts	1,684,231		8,014,190
Cash and cash equivalents	555,960		548,789
Other assets	395,836		606,748

TOTAL ASSETS	$	623,385,490	$	698,099,311

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	5,540	$	7,475
Sponsor and Advisory fees payable	898,717		1,033,066
Redemptions payable	7,606,041		4,592,527
Unrealized loss on open futures contracts	4,422,985		15,093,936
Unrealized loss on open forwards contracts	2,636,767		3,291,347
Other liabilities	432,643		698,588

Total liabilities	16,002,693		24,716,939

MEMBERS’ CAPITAL:
Members’ Capital (382,891,265 Units and 421,581,510 Units outstanding; unlimited Units authorized)	607,382,797		673,382,372
Total Members’ Capital	607,382,797		673,382,372

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	623,385,490	$	698,099,311

NET ASSET VALUE PER UNIT:

Class A	$	1.9427	$	1.9438
Class C	$	1.7004	$	1.7099
Class D	$	2.1751	$	2.1682
Class I	$	2.0336	$	2.0307
Class M	$	1.2298	$	1.2214
Class F	$	1.2394	$	1.2305
Class F1	$	1.2699	$	1.2609
Class DI	$	1.0276	$	1.0205

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2018			2017			2018			2017

TRADING PROFIT (LOSS):
Realized, net	$	14,895,521		$	(9,627,630	)	$	11,029,237		$	12,338,649
Change in unrealized, net	2,593,408			(10,018,067		)	(6,332,617		)	(22,528,374		)
Brokerage commissions	(145,001		)	(209,347		)	(327,105		)	(418,317		)

Total trading profit (loss), net	17,343,928			(19,855,044		)	4,369,515			(10,608,042		)

INVESTMENT INCOME (EXPENSE):
Interest, net	1,631,862			1,440,272			3,664,755			2,488,170

EXPENSES:
Management fee	1,393,107			3,597,579			2,870,794			7,646,021
Sponsor fee	1,386,329			2,442,115			2,898,829			5,283,977
Performance fee	—			—			61,972			—
Other	582,055			498,271			1,187,376			1,025,444
Total expenses	3,361,491			6,537,965			7,018,971			13,955,442

NET INVESTMENT INCOME (LOSS)	(1,729,629		)	(5,097,693		)	(3,354,216		)	(11,467,272		)

NET INCOME (LOSS)	$	15,614,299		$	(24,952,737	)	$	1,015,299		$	(22,075,314	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	148,846,977			57,166,271			152,016,031			59,027,872
Class C	11,241,812			188,476,086			13,921,140			203,799,434
Class D	19,058,421			33,894,880			20,757,756			35,015,503
Class I	20,627,606			24,206,227			20,813,819			25,555,873
Class M	95,296,088			98,299,703			96,614,448			102,158,357
Class F	46,520,691			46,520,691			46,520,691			46,520,691
Class F1	32,348,368			32,348,368			32,348,368			32,348,368
Class DI	21,493,667			34,074,406			22,151,612			35,618,312

Net income (loss) per weighted average Unit
Class A	$	0.0464		$	(0.0617	)	$	(0.0013	)	$	(0.0550	)
Class C	$	0.0253		$	(0.0586	)	$	(0.0286	)	$	(0.0537	)
Class D	$	0.0512		$	(0.0595	)	$	(0.0048	)	$	(0.0446	)
Class I	$	0.0497		$	(0.0621	)	$	0.0055		$	(0.0517	)
Class M	$	0.0331		$	(0.0345	)	$	0.0078		$	(0.0246	)
Class F	$	0.0336		$	(0.0318	)	$	0.0089		$	(0.0220	)
Class F1	$	0.0345		$	(0.0326	)	$	0.0091		$	(0.0226	)
Class DI	$	0.0277		$	(0.0276	)	$	0.0065		$	(0.0206	)

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017

(unaudited) (in Units)

	Members’ Units December 31, 2016	Subscriptions	Redemptions		Members’ Units June 30, 2017	Members’ Units December 31, 2017	Subscriptions	Redemptions		Members’ Units June 30, 2018
Class A*	61,945,513	1,032,815	(9,443,809	)	53,534,519	156,671,363	12,235,353	(21,485,918	)	147,420,798
Class C**	232,428,092	430,907	(54,734,468	)	178,124,531	19,603,674	—	(14,420,601	)	5,183,073
Class D	36,734,074	50,207	(3,920,891	)	32,863,390	22,451,556	5,535	(6,186,826	)	16,270,265
Class I	28,092,830	712,812	(5,920,387	)	22,885,255	21,581,463	184,253	(1,744,089	)	20,021,627
Class M	108,834,546	13,347,632	(26,842,061	)	95,340,117	98,977,602	2,036,109	(6,895,820	)	94,117,891
Class F	46,520,691	—	—		46,520,691	46,520,691	—	—		46,520,691
Class F1	32,348,368	—	—		32,348,368	32,348,368	—	—		32,348,368
Class DI	41,570,588	1,387,038	(12,331,374	)	30,626,252	23,426,793	—	(2,418,241	)	21,008,552

Total Members’ Units	588,474,702	16,961,411	(113,192,990	)	492,243,123	421,581,510	14,461,250	(53,151,495	)	382,891,265

*Subscription units include conversion in of 11,415,318 units which were converted from Class C in 2018.

**Redemption units include conversion out of 13,026,233 units which were converted to Class A in 2018.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017

(unaudited)

	Members’ Capital December 31, 2016		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2017		Members’ Capital December 31, 2017		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2018
Class A*	$	115,326,344	$	1,917,494	$	(17,449,040	)	$	(3,247,681	)	$	96,547,117	$	304,532,437	$	23,514,568	$	(41,458,285	)	$	(201,434	)	$	286,387,286
Class C**	384,498,441		707,990		(90,253,593		)	(10,935,787		)	284,017,051		33,519,419		—		(24,308,589		)	(397,507		)	8,813,323
Class D	75,339,626		104,000		(8,098,188		)	(1,562,560		)	65,782,878		48,680,095		12,000		(13,201,875		)	(100,180		)	35,390,040
Class I	54,423,920		1,380,000		(11,448,041		)	(1,322,436		)	43,033,443		43,826,226		369,000		(3,592,093		)	113,641			40,716,774
Class M	125,421,076		15,383,478		(31,056,437		)	(2,515,751		)	107,232,366		120,886,365		2,490,760		(8,377,388		)	750,687			115,750,424
Class F	53,645,210		—		—			(1,025,384		)	52,619,826		57,244,901		—		—			412,127			57,657,028
Class F1	38,222,098		—		—			(730,584		)	37,491,514		40,786,870		—		—			293,639			41,080,509
Class DI	40,026,496		1,343,485		(11,854,275		)	(735,131		)	28,780,575		23,906,059		—		(2,462,972		)	144,326			21,587,413

Total Members’ Capital	$	886,903,211	$	20,836,447	$	(170,159,574	)	$	(22,075,314	)	$	715,504,770	$	673,382,372	$	26,386,328	$	(93,401,202	)	$	1,015,299		$	607,382,797

*Subscription includes conversion in the amount of $21,942,450 which was converted from Class C in 2018.

**Redemption includes conversion out in the amount of $21,942,450 which was converted to Class A in 2018.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2018 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class F			Class F1			Class DI
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.8973		$	1.6648		$	2.1203		$	1.9841		$	1.1966		$	1.2057		$	1.2355		$	0.9998

Net realized and net change in unrealized trading profit (loss)	0.0542			0.0475			0.0606			0.0567			0.0342			0.0345			0.0353			0.0286
Brokerage commissions	(0.0004		)	(0.0004		)	(0.0005		)	(0.0005		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0002		)
Interest income, net	0.0050			0.0044			0.0056			0.0053			0.0032			0.0032			0.0033			0.0027
Expenses	(0.0134		)	(0.0159		)	(0.0109		)	(0.0120		)	(0.0039		)	(0.0037		)	(0.0039		)	(0.0033		)

Net asset value, end of period	$	1.9427		$	1.7004		$	2.1751		$	2.0336		$	1.2298		$	1.2394		$	1.2699		$	1.0276

Total Return: (a) (c) (d)

Total return before Performance fees	2.39		%	2.14		%	2.59		%	2.50		%	2.77		%	2.80		%	2.78		%	2.78		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	2.39		%	2.14		%	2.59		%	2.50		%	2.77		%	2.80		%	2.78		%	2.78		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	0.70		%	0.95		%	0.51		%	0.59		%	0.32		%	0.31		%	0.31		%	0.32		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.70		%	0.95		%	0.51		%	0.59		%	0.32		%	0.31		%	0.31		%	0.32		%

Net investment income (loss) (excluding Performance fees)	-0.43		%	-0.68		%	-0.25		%	-0.33		%	-0.06		%	-0.04		%	-0.04		%	-0.06		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-0.43		%	-0.68		%	-0.25		%	-0.33		%	-0.06		%	-0.04		%	-0.04		%	-0.06		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2018 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class F			Class F1			Class DI
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.9438		$	1.7099		$	2.1682		$	2.0307		$	1.2214		$	1.2305		$	1.2609		$	1.0205

Net realized and net change in unrealized trading profit (loss)	0.0157			0.0137			0.0175			0.0164			0.0099			0.0100			0.0102			0.0083
Brokerage commissions	(0.0010		)	(0.0009		)	(0.0011		)	(0.0010		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0005		)
Interest income, net	0.0110			0.0096			0.0123			0.0115			0.0069			0.0070			0.0072			0.0058
Expenses	(0.0268		)	(0.0319		)	(0.0218		)	(0.0240		)	(0.0078		)	(0.0075		)	(0.0078		)	(0.0065		)

Net asset value, end of period	$	1.9427		$	1.7004		$	2.1751		$	2.0336		$	1.2298		$	1.2394		$	1.2699		$	1.0276

Total Return: (a) (c) (d)

Total return before Performance fees	-0.06		%	-0.56		%	0.32		%	0.14		%	0.69		%	0.72		%	0.72		%	0.70		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-0.06		%	-0.56		%	0.32		%	0.14		%	0.69		%	0.72		%	0.72		%	0.70		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	1.37		%	1.87		%	1.00		%	1.17		%	0.62		%	0.61		%	0.61		%	0.62		%
Performance fees	0.01		%	0.01		%	0.01		%	0.01		%	0.01		%	0.00		%	0.00		%	0.01		%
Expenses (including Performance fees)	1.38		%	1.88		%	1.01		%	1.18		%	0.63		%	0.61		%	0.61		%	0.63		%

Net investment income (loss) (excluding Performance fees)	-0.80		%	-1.30		%	-0.43		%	-0.60		%	-0.05		%	-0.04		%	-0.04		%	-0.05		%
Performance fees	-0.01		%	-0.01		%	-0.01		%	-0.01		%	-0.01		%	0.00		%	0.00		%	-0.01		%
Net investment income (loss) (including Performance fees)	-0.81		%	-1.31		%	-0.44		%	-0.61		%	-0.06		%	-0.04		%	-0.04		%	-0.06		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2017 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class F			Class F1			Class DI
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.8658		$	1.6538		$	2.0632		$	1.9435		$	1.1593		$	1.1629		$	1.1916		$	0.9686

Net realized and net change in unrealized trading profit (loss)	(0.0481		)	(0.0425		)	(0.0533		)	(0.0501		)	(0.0299		)	(0.0301		)	(0.0308		)	(0.0250		)
Brokerage commissions	(0.0005		)	(0.0004		)	(0.0006		)	(0.0005		)	(0.0003		)	(0.0003		)	(0.0003		)	(0.0003		)
Interest income, net	0.0035			0.0031			0.0038			0.0036			0.0022			0.0022			0.0022			0.0018
Expenses	(0.0172		)	(0.0195		)	(0.0114		)	(0.0161		)	(0.0066		)	(0.0036		)	(0.0037		)	(0.0054		)

Net asset value, end of period	$	1.8035		$	1.5945		$	2.0017		$	1.8804		$	1.1247		$	1.1311		$	1.1590		$	0.9397

Total Return: (a) (c) (d)

Total return before Performance fees	-3.34		%	-3.59		%	-2.98		%	-3.25		%	-2.99		%	-2.73		%	-2.74		%	-2.98		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-3.34		%	-3.59		%	-2.98		%	-3.25		%	-2.99		%	-2.73		%	-2.74		%	-2.98		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	0.94		%	1.19		%	0.57		%	0.84		%	0.57		%	0.32		%	0.32		%	0.57		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.94		%	1.19		%	0.57		%	0.84		%	0.57		%	0.32		%	0.32		%	0.57		%

Net investment income (loss) (excluding Performance fees)	-0.75		%	-1.00		%	-0.38		%	-0.65		%	-0.38		%	-0.13		%	-0.13		%	-0.38		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-0.75		%	-1.00		%	-0.38		%	-0.65		%	-0.38		%	-0.13		%	-0.13		%	-0.38		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2017 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A			Class C			Class D			Class I			Class M			Class F			Class F1			Class DI
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.8617		$	1.6543		$	2.0509		$	1.9373		$	1.1524		$	1.1531		$	1.1816		$	0.9629

Net realized and net change in unrealized trading profit (loss)	(0.0283		)	(0.0250		)	(0.0314		)	(0.0295		)	(0.0177		)	(0.0178		)	(0.0182		)	(0.0148		)
Brokerage commissions	(0.0010		)	(0.0009		)	(0.0011		)	(0.0010		)	(0.0006		)	(0.0006		)	(0.0006		)	(0.0005		)
Interest income, net	0.0058			0.0051			0.0064			0.0060			0.0036			0.0036			0.0037			0.0030
Expenses	(0.0347		)	(0.0390		)	(0.0231		)	(0.0324		)	(0.0130		)	(0.0072		)	(0.0075		)	(0.0109		)

Net asset value, end of period	$	1.8035		$	1.5945		$	2.0017		$	1.8804		$	1.1247		$	1.1311		$	1.1590		$	0.9397

Total Return: (a) (c) (d)

Total return before Performance fees	-3.13		%	-3.61		%	-2.40		%	-2.94		%	-2.41		%	-1.91		%	-1.91		%	-2.40		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-3.13		%	-3.61		%	-2.40		%	-2.94		%	-2.41		%	-1.91		%	-1.91		%	-2.40		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	1.88		%	2.38		%	1.13		%	1.68		%	1.13		%	0.63		%	0.63		%	1.13		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	1.88		%	2.38		%	1.13		%	1.68		%	1.13		%	0.63		%	0.63		%	1.13		%

Net investment income (loss) (excluding Performance fees)	-1.56		%	-2.06		%	-0.81		%	-1.36		%	-0.81		%	-0.31		%	-0.31		%	-0.81		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-1.56		%	-2.06		%	-0.81		%	-1.36		%	-0.81		%	-0.31		%	-0.31		%	-0.81		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

ML Winton FuturesAccess LLC (the “Fund”), a FuturesAccessTM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Winton” or the “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Winton Futures Program (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. MLAI may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. MLAI may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. affiliates.

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of June 30, 2018, the Fund held no cash equivalents. Cash was held at a nationally recognized financial institution.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of June 30, 2018 and December 31, 2017 and the results of its operations for the three and six month periods ended June 30, 2018 and 2017. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2017.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments as of June 30, 2018 and December 31, 2017 are as follows:

June 30, 2018 (a)

	Long Positions						Short Positions						Net Unrealized
Commodity Industry Sector	Number of	Unrealized			Percent of		Number of		Unrealized		Percent of		Profit (Loss)			Percent of
Commodity Industry Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)		Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture - Futures	186	$	(45,985	)	-0.01	%	(3,656	)	$	1,409,747	0.23	%	$	1,363,762		0.22	%	July 2018 - March 2019
Currencies - Futures	610	382,692			0.06	%	(1,642	)	1,546,254		0.25	%	1,928,946			0.31	%	September 2018
Currencies - Forwards*	153,548,799	(2,288,723		)	-0.38	%	(79,707,666	)	1,336,187		0.22	%	(952,536		)	-0.16	%	July 2018 - October 2018
Energy - Futures	1,445	3,972,720			0.65	%	—		—		0.00	%	3,972,720			0.65	%	July 2018 - September 2018
Interest rates - Futures	5,869	1,778,542			0.29	%	(3,585	)	919,177		0.15	%	2,697,719			0.44	%	September 2018 - June 2021
Metals - Futures	957	(2,812,549		)	-0.46	%	(1,641	)	4,584,760		0.75	%	1,772,211			0.29	%	July 2018 - October 2018
Stock indices - Futures	406	(564,432		)	-0.09	%	(108	)	4,799		0.00	%	(559,633		)	-0.09	%	July 2018 - September 2018

Total		$	422,265		0.06	%			$	9,800,924	1.60	%	$	10,223,189		1.66	%

(a) Certain exchanges have modified their rulebook from the collateralized-to-market model to the settled-to-market model, resulting in the characterization of variation margin postings as settlement payments, as opposed to adjustments to collateral. As a result, the Fund has classified such amounts within the receivable from broker due to variation margin account on the Statement of Financial Condition. This receivable from broker due to variation margin account combined with the unrealized profit (loss) on open futures and forwards accounts on the Statement of Financial Condition represents the total net unrealized profit (loss) on open positions in the above condensed schedule of investments as of June 30, 2018. At this time, the Chicago Mercantile Exchange and its related exchanges are the only central clearing parties of the Fund where variation margin payments are considered settlement payments.

December 31, 2017

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture - Futures	715	$	417,818		0.06	%	(3,905	)	$	955,207		0.14	%	$	1,373,025		0.20	%	January 2018 - May 2018
Currencies - Futures	1,658	158,923			0.02	%	(2,544	)	(1,639,851		)	-0.24	%	(1,480,928		)	-0.22	%	March 2018
Currencies - Forwards*	452,280,118	7,024,065			1.04	%	(230,152,972	)	(2,301,222		)	-0.34	%	4,722,843			0.70	%	January 2018 - March 2018
Energy - Futures	1,611	4,997,898			0.74	%	(1,002	)	(1,887,240		)	-0.28	%	3,110,658			0.46	%	January 2018 - March 2018
Interest rates - Futures	4,024	(1,844,918		)	-0.27	%	(6,336	)	1,298,694			0.19	%	(546,224		)	-0.08	%	March 2018 - December 2020
Metals - Futures	2,426	11,997,664			1.78	%	(973	)	(4,374,250		)	-0.65	%	7,623,414			1.13	%	January 2018 - May 2018
Stock indices - Futures	5,975	2,342,568			0.35	%	(1,031	)	(589,550		)	-0.09	%	1,753,018			0.26	%	January 2018 - March 2018

Total		$	25,094,018		3.72	%			$	(8,538,212	)	-1.27	%	$	16,555,806		2.45	%

*Currencies — Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of June 30, 2018 and December 31, 2017. With respect to each commodity industry sector listed in the above charts, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

3. FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts and receivable from broker due to variation margin are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss and receivable from broker due to variation margin from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values.

The Fund has determined that Level I investments would include its futures and options contracts where quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.

Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during the three or six month periods ended June 30, 2018 or the year ended December 31, 2017.

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2018 and December 31, 2017, are as follows:

2018 Net unrealized profit (loss) (a) on open contracts	Total		Level I		Level II			Level III
Assets
Futures	$	17,601,728	$	15,138,389	$	2,463,339		$	—
Forwards	1,684,231		—		1,684,231			—
	$	19,285,959	$	15,138,389	$	4,147,570		$	—

Liabilities
Futures	$	6,426,003	$	2,837,997	$	3,588,006		$	—
Forwards	2,636,767		—		2,636,767			—
	$	9,062,770	$	2,837,997	$	6,224,773		$	—

June 30, 2018	$	10,223,189	$	12,300,392	$	(2,077,203	)	$	—

(a) Refer to note (a) within Note 2 regarding the presentation of receivable from broker due to variation margin which is included within the above fair value hierarchy.

2017 Net unrealized profit (loss) on open contracts	Total		Level I		Level II		Level III
Assets
Futures	$	26,926,899	$	15,451,347	$	11,475,552	$	—
Forwards	8,014,190		—		8,014,190		—
	$	34,941,089	$	15,451,347	$	19,489,742	$	—

Liabilities
Futures	$	15,093,936	$	12,380,974	$	2,712,962	$	—
Forwards	3,291,347		—		3,291,347		—
	$	18,385,283	$	12,380,974	$	6,004,309	$	—

December 31, 2017	$	16,555,806	$	3,070,373	$	13,485,433	$	—

The Fund’s volume of trading forwards and futures as of the six month period ended June 30, 2018 and year ended December 31, 2017 are representative of the activity throughout these periods.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At June 30, 2018 and December 31, 2017, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. For exchanges which consider variation margin payments as collateral and not settlement, the variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with its counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts in addition to the receivable from broker due to variation margin and the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.

The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and six month periods ended June 30, 2018 and 2017:

	For the three months ended			For the six months ended
	June 30, 2018			June 30, 2018
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	2,641,921		$	831,759
Currencies	(5,628,525		)	(10,987,412		)
Energy	13,677,459			12,431,207
Interest rates	3,032,509			4,033,730
Metals	4,196,906			276,893
Stock indices	(431,341		)	(1,889,557		)

Total, net	$	17,488,929		$	4,696,620

	For the three months ended			For the six months ended
	June 30, 2017			June 30, 2017
Commodity Industry Sector	Profit (loss) from trading, net			Profit (loss) from trading, net

Agriculture	$	3,904,478		$	2,760,757
Currencies	(14,175,620		)	(18,807,924		)
Energy	(7,119,843		)	(12,943,378		)
Interest rates	(10,595,101		)	(15,786,280		)
Metals	(3,953,520		)	(8,983,623		)
Stock indices	12,293,909			43,570,723

Total, net	$	(19,645,697	)	$	(10,189,725	)

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. MARKET AND CREDIT RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes some of those risks.

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s receivable from broker due to variation margin and unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by

the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisor, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin. The credit risk associated with these instruments from counterparty nonperformance is the receivable from broker due to variation margin and unrealized profit (loss) on open contracts included in the Statements of Financial Condition.

MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker. In the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. In the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

Indemnifications

In the normal course of business, the Fund has entered, or may in the future, enter into agreements that obligate the Fund to indemnify certain parties, including BofA Corp. affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

5. RELATED PARTY TRANSACTIONS

MLAI owns 48 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of June 30, 2018 and December 31, 2017.

MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears. The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses. MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended June 30, 2018, and 2017 amounted to $32,169 and $40,043, respectively. The Transfer Agent fee allocated to the Fund for the six month periods ended June 30, 2018, and 2017 amounted to $66,519 and $84,536, respectively, of which $35,414 and $37,175 was payable to the Transfer Agent as of June 30, 2018 and December 31, 2017, respectively.

Brokerage commissions, interest, net and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash, receivable from broker due to variation margin, and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.

6. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

PERIOD-END NET ASSET VALUE PER UNIT

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month, the fifteenth calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s Net Asset Value as of any Calculation Date generally equals the value of the Fund’s account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below are referencing Net Asset Value at each Calculation Date.

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.8625	$	1.8332	$	1.8885	$	1.8703	$	1.8851	$	1.8658	$	1.8451	$	1.8462	$	1.8643	$	1.8427	$	1.8331	$	1.8035
2018	$	1.9966	$	2.0152	$	1.9147	$	1.9042	$	1.8873	$	1.8973	$	1.9165	$	1.9285	$	1.9495	$	1.9089	$	1.9144	$	1.9427

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.6542	$	1.6275	$	1.6759	$	1.6591	$	1.6715	$	1.6538	$	1.6347	$	1.6350	$	1.6503	$	1.6305	$	1.6214	$	1.5945
2018	$	1.7556	$	1.7712	$	1.6822	$	1.6722	$	1.6567	$	1.6648	$	1.6809	$	1.6908	$	1.7084	$	1.6722	$	1.6764	$	1.7004

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	2.0530	$	2.0220	$	2.0843	$	2.0655	$	2.0831	$	2.0632	$	2.0416	$	2.0440	$	2.0653	$	2.0427	$	2.0333	$	2.0017
2018	$	2.2278	$	2.2493	$	2.1378	$	2.1267	$	2.1085	$	2.1203	$	2.1425	$	2.1566	$	2.1807	$	2.1361	$	2.1428	$	2.1751

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.9384	$	1.9082	$	1.9661	$	1.9475	$	1.9632	$	1.9435	$	1.9223	$	1.9237	$	1.9428	$	1.9207	$	1.9110	$	1.8804
2018	$	2.0863	$	2.1061	$	2.0014	$	1.9907	$	1.9734	$	1.9841	$	2.0046	$	2.0175	$	2.0398	$	1.9977	$	2.0037	$	2.0336

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS M

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.1536	$	1.1361	$	1.1711	$	1.1606	$	1.1705	$	1.1593	$	1.1471	$	1.1485	$	1.1605	$	1.1478	$	1.1425	$	1.1247
2018	$	1.2553	$	1.2678	$	1.2053	$	1.1995	$	1.1896	$	1.1966	$	1.2095	$	1.2179	$	1.2318	$	1.2070	$	1.2112	$	1.2298

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS F

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.1548	$	1.1378	$	1.1734	$	1.1633	$	1.1737	$	1.1629	$	1.1512	$	1.1531	$	1.1656	$	1.1533	$	1.1485	$	1.1311
2018	$	1.2648	$	1.2774	$	1.2145	$	1.2086	$	1.1986	$	1.2057	$	1.2187	$	1.2272	$	1.2413	$	1.2163	$	1.2206	$	1.2394

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS F1

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.1833	$	1.1659	$	1.2023	$	1.1920	$	1.2026	$	1.1916	$	1.1796	$	1.1815	$	1.1943	$	1.1818	$	1.1768	$	1.1590
2018	$	1.2960	$	1.3089	$	1.2444	$	1.2384	$	1.2282	$	1.2355	$	1.2488	$	1.2575	$	1.2719	$	1.2463	$	1.2506	$	1.2699

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS DI

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	0.9638	$	0.9493	$	0.9785	$	0.9697	$	0.9780	$	0.9686	$	0.9585	$	0.9596	$	0.9696	$	0.9590	$	0.9546	$	0.9397
2018	$	1.0488	$	1.0593	$	1.0071	$	1.0022	$	0.9939	$	0.9998	$	1.0105	$	1.0175	$	1.0292	$	1.0085	$	1.0120	$	1.0276

Liquidity and Capital Resources

The Fund borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Fund’s assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit or loss potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully

follow. The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

For the six month period ended June 30, 2018, Fund capital decreased 9.80% from $673,382,372 to $607,382,797. This decrease was attributable to the net income from operations of $1,015,299 coupled with the redemption of 53,151,495 redeemable Units resulting in an outflow of $93,401,202. The cash outflow was offset with cash inflow of $26,386,328 due to subscriptions of 14,461,250 Units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Investments

All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts and receivable from broker due to variation margin are included as a component of equity in commodity trading accounts on the Statements of Financial Condition. Realized profits or losses and any change in net unrealized profits or losses and receivable from broker due to variation margin from the preceding period are reported in the Statements of Operations.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on the Fund’s treatment of fair value, see Financial Statements Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss is

based on the daily mark to market and is recorded as unrealized profit (loss). When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker or directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profit (loss), net and change in unrealized profit (loss), net on futures contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.

Forward Foreign Currency Contracts

Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized profit or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized profit (loss), net and change in unrealized profit (loss), net on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

Interest Rates and Income

BofA Corp.’s “Interest Earning Program”, which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by MLAI with its affiliates. At the beginning of the quarter the interest rate under the Interest Earning Program on U.S. dollar cash balances was the daily effective federal funds rate minus 20 basis points. Effective as of May 7, 2018, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate minus 100 basis points. The interest rate is recalculated and accrued daily, and subject to a floor of 0%, except for currencies designated by MLPF&S as “negative interest rate currencies”. MLPF&S deposits certain of the Fund’s assets as margin or collateral with clearinghouses and/or depositories. As a result of the present low interest rate environment, these clearinghouses and depositories charge MLPF&S fees to account for the negative interest rates on cash balances for certain currencies, which may change from time to time. Accordingly, MLPF&S charges the Fund a “negative interest rate fee” for any currencies designated by MLPF&S as a “negative interest rate currency”.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-

likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2014.

Eligible Contract Participant

The Fund expects to meet the definition of “eligible contract participant” (as defined in the Commodity Exchange Act) as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions

Results of Operations

January 1, 2018 to June 30, 2018

January 1, 2018 to March 31, 2018

The Fund experienced a net trading loss of $12,792,309 before brokerage commissions and related fees for the first quarter ended March 31, 2018. The Fund’s profits were primarily attributable to the interest rate sector. The energy, stock indices, agriculture, metals and currency sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the first quarter due to the Trading Program’s positions in short-term interest rates. Losses were posted to the Fund at the end of the quarter.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter only to be reversed in the middle of the quarter. Losses were posted to the Fund in the middle of the quarter due to the Trading Program’s long exposure to crude and heating oil. Profits were posted to the Fund at the end of the quarter which were driven by oil markets.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Trading Program’s positions in the U.S. and Asian markets leading the way, most notably the S&P 500, Nasdaq and Hang Seng. Losses were posted to the Fund in the middle through the end of the quarter due to the Trading Program’s long positions in stock indices.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the first quarter. Profits were posted to the Fund at the end of the quarter.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Losses were posted to the Fund in the middle of the quarter due to falling aluminum prices. Losses were posted to the Fund at the end of the quarter due to aluminum, zinc and nickel which were the detractors from performance in base metals.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Trading Program’s long positions in the Euro and emerging-market currencies. The Trading Program’s short positions in the Japanese yen versus the U.S, dollar and long positions in the Canadian dollar and the Euro resulted in losses posted to the Fund in the middle of the quarter. The Trading Program’s position in the Euro against the Swedish krona and the Swiss franc weakening versus the U.S. dollar resulted in profits posted to the Fund at the end of the quarter.

April 1, 2018 to June 30, 2018

The Fund experienced a net trading profit of $17,488,929 before brokerage commissions and related fees for the second quarter of 2018. The Fund’s profits were primarily attributable to the energy, metals, interest rates and agriculture sectors. The stock indices and the currency sectors posted losses.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s long positioning in energies. Profits continued to be posted to the Fund in the middle of the quarter due to the Trading Program’s benefiting from profits in most markets. Profits were posted to the Fund at the end of the quarter. The energy markets more than reversed losses from earlier in June, after it emerged that U.S. authorities were encouraging allies to cut back on Iranian imports.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s long positioning in the base metals sectors. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s positioning in nickel. Profits were posted to the Fund at the end of the quarter driven by the Trading Program’s short positions in gold.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter as the Trading Program’s net short exposure to short-term interest rates and government bonds added value as profits accrued from U.S. Treasury futures. Losses were posted to the Fund in the middle of quarter as gains from the Trading Program’s short positions in interest rates and bonds were erased as yields retreated later in May. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s short exposure to short-term interest rates and short-dated U.S. government bonds.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter as the Trading Program’s returns from a short position in sugar were cancelled out by losses in wheat. Losses were posted to the Fund in the middle of the quarter as losses in crops were led by trend reversals in sugar and cocoa. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s short positions in crops, particularly in soybeans and corn.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter from the Trading Program’s performance in long-short equity systems which took a step

back during April but remained a positive contributor to the returns. Losses were posted to the Fund in the middle of the quarter as the Trading Program’s long-short single-stock equity systems contributed profits to the Fund but not enough to offset the losses. Losses were posted to the Fund at the end of the quarter as the NASDAQ climbed higher in June, but markets were broadly flat overall.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. The Trading Program’s longstanding short exposure to the Japanese yen was offset by losses from a long position in a depreciating British pound. Losses were posted to the Fund in the middle of the quarter as the weakening Euro weighed on currency returns, along with the Trading Program’s short position in the Swedish krona versus the Euro. Profits were posted to the Fund at the end of the quarter as the U.S. dollar strengthened against most major currencies.

January 1, 2017 to June 30, 2017

January 1, 2017 to March 31, 2017

The Fund experienced a net trading profit of $9,455,972 before brokerage commissions and related fees for the first quarter ended March 31, 2017. The Fund’s profits were primarily attributable to the stock indices sector. The agriculture, currencies, metals, energy and interest rate sectors posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The Trading Program’s long positions in most stock markets added value over the course of January, with the NASDAQ driving the positive contribution to returns as information technology stocks outperformed the wider U.S. market. Profits were posted to the Fund in the middle of the quarter. The Trading Program’s long positions in the S&P 500 and NASDAQ resulted in profits in this sector which posted gains. Profits were posted to the Fund at the end of the quarter due to the European markets leading the sector.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Profits were posted to the Fund in the middle through the end of the quarter due to the Trading Program’s short exposure in crops futures.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The Trading Program’s short positions in the Euro and the Japanese yen led the losses in currencies, but were partly offset by long positions in appreciating emerging market currencies. Profits were posted to the Fund in the middle of the quarter. Currencies recovered the majority of the Trading Program’s January losses with the Fund’s short position in the Euro benefitting from the euro-U.S. dollar exchange rate falling back to near where it started the year. Profits also came from the Trading Program’s long positions in emerging market currencies such as the Indian rupee and the Chinese yuan, where increasing positions during the month reduced the Fund’s long exposure to the U.S. dollar. Losses were posted to the Fund at the end of the quarter. The Trading Program’s long positions in a number of emerging markets currencies added value, most notably the Indian rupee, however were not enough to offset the short positions in the appreciating Japanese yen and Euro.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Precious metals, particularly gold, detracted from returns in January, although base metals were profitable due to the Trading Program’s long position in copper. Losses were posted to the Fund in the middle of the quarter. Price gains weighed on the Trading Program’s short position in gold, which was reduced over the course February. Losses were posted to the Fund at the end of the quarter.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Energy markets fell in January and most notably in natural gas amid expectations of a mild winter. Losses were posted to the Fund in the middle of the quarter as falling natural gas prices resulted in losses from the Trading Program’s long position in the market. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s long position in Brent crude detracting from returns.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter which were reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in German government bonds weighing on returns.

April 1, 2017 to June 30, 2017

The Fund experienced a net trading loss of $19,645,697 before brokerage commissions and related fees in the second quarter of 2017. The Fund’s profits were primarily attributable to the stock indices and the agriculture sectors. The metals, energy, interest rates and currency sectors posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. Equity markets maintaining their upward trend in April benefited the Trading Program’s long positions in the S&P 500, NASDAQ and Euro Stoxx 50. Profits were posted to the Fund in the middle of the second quarter due to the Trading Program’s long positions in the S&P 500 and the NASDAQ. Losses were posted to the Fund at the end of the second quarter. Volatile trading towards the end of June reversed the profits and resulted in negative performance for the month.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter driven by the Trading Program’s short positions in falling crops markets and long positions in rising livestock markets. Profits were posted to the Fund in the middle of the second quarter due to the Trading Program’s short positions in soybeans and sugar. Losses were posted to the Fund at the end of the second quarter driven by the Trading Program’s grain positions — most notably in wheat.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Trading Program’s positions in aluminum and gold. Losses were posted to the Fund in the middle of the second quarter as rising gold and silver prices weighed on the Trading Program’s short positions in precious metals. Profits were posted to the Fund at the end of the second quarter due to the Trading Program’s precious metals.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the second quarter. The Trading Program’s long positions detracted from performance, particularly in natural gas and heating oil during May. Losses were posted to the Fund at the end of the second quarter due to the Trading Program’s initial net long positions being whipsawed by the intra-month selloff and subsequent rebound in energy prices.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Trading Program’s short positions in Eurodollar futures and longer-dated U.S. government bonds against a backdrop of easing U.S. inflation expectations. Losses were posted to the Fund in the middle of the second quarter through the end of the second quarter. The rise in global bond yields in June weighed on the Trading Program’s long positions in European and longer-dated U.S. government bonds.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. The Trading Program’s short position in the euro was the largest individual detractor from returns, with the euro-U.S. dollar exchange rate reaching higher levels. The appreciating British pound also cost some performance. Losses were posted to the Fund in the middle of the second quarter due to the Trading Program’s short positions in the euro and the Japanese yen. The Trading Program reduced the euro position and increased short exposure to the Japanese yen. Losses were posted to the Fund at the end of the second quarter.

The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund, under the direction of the Trading Advisor, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e. “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934

(“Securities Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by the Trading Advisor is quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the six month periods ended June 30, 2018 and 2017, the Fund’s average capitalization was $639,130,499 and $802,438,928, respectively.

	June 30, 2018
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		at Risk		at Risk

Agriculture	$	3,653,468	0.57	%	$	6,882,390	$	2,068,130
Currencies	1,437,258		0.22	%	2,049,133		1,179,963
Energy	9,694,245		1.52	%	18,986,102		5,020,836
Interest Rates	4,019,870		0.63	%	5,371,362		3,093,020
Metals	4,018,996		0.63	%	7,822,498		505,781
Stock Indices	4,473,150		0.70	%	6,156,170		3,544,940

TOTAL	$	27,296,987	4.27	%	$	47,267,655	$	15,412,670

	June 30, 2017
	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		at Risk		at Risk

Agriculture	$	12,622,587	1.57	%	$	18,361,517	$	6,960,621
Currencies	4,163,704		0.52	%	6,373,877		2,016,562
Energy	6,144,449		0.77	%	6,480,992		5,553,710
Interest Rates	17,132,121		2.14	%	25,526,364		8,914,157
Metals	2,604,644		0.32	%	4,381,162		1,004,209
Stock Indices	10,938,921		1.36	%	18,367,715		4,246,583

TOTAL	$	53,606,426	6.68	%	$	79,491,627	$	28,695,842

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S and MLI.

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

The Fund also has non-trading market risk on approximately 90% of its assets which are held in cash at MLPF&S. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of December 31, 2017, by market sector. There have been no material changes at June 30, 2018.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund may also take positions in the government debt of smaller nations. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

Currencies

The Fund trades in a number of currencies. However, the Fund’s major exposures have typically been in the U.S. dollar/China renminbi, U.S. dollar/Euro and U.S. dollar/Indian rupee positions. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.

Stock Indices

The Fund’s primary equity exposure is due to various equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

The Fund’s metals market exposure is to fluctuations in the price of precious and non-precious metals.

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, corn and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure.

Energy

The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile, which may cause substantial profits and losses to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of December 31, 2017. There have been no material changes at June 30, 2018.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Japanese yen, British pounds and Euros.

U.S. Dollar Cash Balance

The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that it will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.

Risk Management

In respect of the Trading Program, the most important determinant of risk is the level of leverage. In order to determine the level of leverage, comprehensive information is required on the risks the Trading Program is taking, including realized and forecast volatility, the correlation of the portfolio to various factors, scenario tests and stress tests using various proprietary methods, forecasts of extreme loss

frequency and measures of margin employment and leverage. The Trading Advisor forecasts volatility in each market and the correlation between markets daily in order to forecast the overall volatility of the portfolio and to adjust leverage accordingly to manage portfolio risk.

Non-Trading Risk

The Fund controls the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.

The Fund has cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of the end of the quarter which ended June 30, 2018, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended June 30, 2018 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2017, filed with the Securities and Exchange Commission on March 19, 2018.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(a)(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.

The Fund’s sales of unregistered securities are as follows for each Class of Units:

CLASS A

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