News Column

ML BLUETREND FUTURESACCESS LLC - 10-Q - Management's Discussion and Analysis of Financial Condition and Results of Operations

August 14, 2014

Month-End Net Asset Value Per Unit

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 referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes.

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month and 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's, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

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MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A Jan. Feb. Mar. Apr. May Jun. 2013 $ 1.1592$ 1.1422$ 1.1650$ 1.1837$ 1.1087$ 1.0140 2014 $ 0.9493$ 0.9696$ 0.9398$ 0.9455$ 1.0023$ 1.0252 MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C Jan. Feb. Mar. Apr. May Jun. 2013 $ 1.1212$ 1.1038$ 1.1249$ 1.1421$ 1.0687$ 0.9767 2014 $ 0.9091$ 0.9277$ 0.8984$ 0.9031$ 0.9565$ 0.9776 MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D Jan. Feb. Mar. Apr. May Jun. 2013 $ 1.2170 $ 1.2007 $ 1.2262$ 1.2475$ 1.1698$ 1.0713 MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I Jan. Feb. Mar. Apr. May Jun. 2013 $ 1.1807$ 1.1637$ 1.1874 $ 1.2068 $ 1.1307$ 1.0345 2014 $ 0.9708$ 0.9919$ 0.9617$ 0.9678$ 1.0263$ 1.0501 MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS Jan. Feb. Mar. Apr. May Jun. 2013 $ 1.4338$ 1.4145$ 1.4446$ 1.4696$ 1.3781$ 1.2621 2014 $ 1.1920 $ 1.2189 $ 1.1830 $ 1.1915 $ 1.2647$ 1.2953 MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT Jan. Feb. Mar. Apr. May Jun. 2013 $ 1.2031 $ 1.1876 $ 1.2136 $ 1.2355$ 1.1595$ 1.0628 2014 $ 1.0096$ 1.0333$ 1.0036$ 1.0118$ 1.0748$ 1.1017 MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M Jan. Feb. Mar. Apr. May Jun. 2013 $ 1.0611$ 1.0468$ 1.0691$ 1.0876$ 1.0199$ 0.9340 2014 $ 0.8821$ 0.9021$ 0.8755$ 0.8818$ 0.9360$ 0.9586



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. The Net Asset Value of the Fund's cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Fund's profit 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.

Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last calendar day of each month (each a "Redemption Date"), upon providing eight business days notice prior to the first of every month. The Net Asset Value of redeemed

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Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date.

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, 2014, Fund capital decreased 22.37% from $113,835,996 to $88,368,570. This decrease was attributable to the net income from operations of $2,922,900, coupled with the redemption of 34,963,901 Redeemable Units resulting in an outflow of $36,976,863. The cash outflow was offset with cash inflow of $8,586,537 due to subscriptions of 9,359,808 Units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies Statement of Cash Flows



The Fund is not required to provide a Statement of Cash Flows.

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 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 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

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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 based on the daily mark to market are recorded as unrealized profits. 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, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profits (losses), net and changes in unrealized profits (losses), net on futures contracts 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 profits (losses) and changes in unrealized profits (losses) 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



The Fund currently earns interest based on the prevailing federal funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

Income Taxes



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

The Fund follows the ASC guidance on accounting for uncertainty in income taxes. 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

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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 - 2010.

Reform Act



The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of "eligible contract participant," and the Fund expects to meet the amended definition 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, 2014 to June 30, 2014

January 1, 2014 to March 31, 2014

The Fund experienced a net trading loss of $4,370,805 before brokerage commissions and related fees in the first quarter of 2014. The Fund's profits were primarily attributable to interest rates and agriculture sectors posting profits. The currency, metals, energy and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The top performing individual markets fell in January within the fixed income sectors. The Fund's strategy entered January with a small net long bias to the sector and added to this over the course of the month, benefitting from the flight out of risk assets into the safe haven of fixed income. Profits were posted to the Fund in the middle of the quarter. The Fund's small net long bias was maintained steadily through February. Losses were posted to the Fund at the end of the quarter.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter as wheat continued its decline falling during January. Profits were posted to the Fund in the middle of the quarter as drought conditions in Brazil helped push the agricultural sector higher, including soybeans which were one of the top performing markets for the strategy. Profits were posted to the Fund at the end of the quarter. The crops sector reacted to a bullish report from the U.S.D.A., particularly for soybeans and corn, while risks in Ukraine also impacted wheat, pushing prices higher.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter as the U.S. dollar, as measured by the Dollar Index, rose in January. Looking across individual currency pairs, the Australian dollar and the Euro both weakened vs. U.S. dollar while the Japanese yen strengthened. In aggregate the sector detracted from performance in January with many moves representing a reversal of recent trends. Losses were posted to the Fund in the middle of the quarter as the U.S. dollar, as measured by the Dollar Index, fell in February as most developed market currencies, Euro, British pound, Australian dollar and the Japanese yen rose against the U.S. dollar. The

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Fund held a net long bias to the U.S. dollar and although performance varied across currency pairs, the FX sector detracted from performance in aggregate. Profits were posted to the Fund at the end of the quarter. In currency markets the U.S. dollar was modestly stronger, as the Dollar index increased in March. In developed markets the Euro weakened against the dollar, as did the British pound. The Japanese yen also weakened while the Australian dollar strengthened. In emerging markets the Brazilian real and Russian ruble both strengthened, respectively. The FX sector was the largest positive contributor to performance in aggregate, as persistent trends were identified and captured.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter as gold regained some of its safe haven status, up in January, while industrial metals tended to fall on weaker growth and demand expectations. Losses were posted to the Fund in the middle of the quarter. Precious metals continued the trend from January with prices rising, on aggregate, while industrial metals were more subdued and registered small price gains as a group. Profits were posted to the Fund at the end of the quarter. Fears of a slowdown in Chinese growth caused a t sell-off in the copper market and gold prices falling in March on reduced demand for the safe haven asset.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The energy complex was generally lower in January, with the exception of natural gas where the cold winter weather resulted in higher demand in the U.S. With the Fund's strategy holding net long exposure to the sector, the general price fall in the sector resulted in it detracting from performance. Profits were posted to the Fund in the middle of the quarter. In February, cold weather conditions in the U.S. lifted natural gas and heating oil prices. Crude oil prices resumed an upward move in February after recent price consolidation, with West Texas Intermediate rising. Losses were posted to the Fund at the end of the quarter. An overall long bias was maintained in the energy sector in March, though reduced physical demand for crude oil and a modest sale of stocks by the U.S. limited any price reaction to the geopolitical risks linked to Russia. Natural gas prices fell back in March as forecasts predicted warming weather trends.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The equity sector detracted from performance as markets retreated from their year-end highs. In response to these market moves the Fund cut risk exposure to the sector. While the most significant price moves were seen in the Nikkei, other major indices such as the S&P 500, EuroStoxx and FTSE also experienced falls. Profits were posted to the Fund in the middle of the quarter. The equity sector provided the largest contribution to performance in February. Long positioning of the Fund's strategy benefitted from the strong equity markets, as investor risk appetite returned and the recent focus on emerging market concerns faded. Losses were posted to the Fund at the end of the quarter as equity sector returns were mixed and demonstrated few persistent trends.

April 1, 2014 to June 30, 2014

The Fund experienced a net trading profit of $9,321,146 before brokerage commissions and related fees in the second quarter of 2014. The Fund's profits were primarily attributable to interest rates, stock indices, energy, agriculture and currency sectors posting profits. The metals sector posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the U.S. Federal Reserve, European Central Bank, Bank of England and Bank of Japan all kept key interest rates unchanged. Peripheral yields in Europe continued to fall, and economic data improved modestly, but inflation remained low and medium-term inflation expectations also looked to have drifted lower. Profits were posted to the Fund in the middle of the quarter as the short term

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interest rates sector benefitted from the general strength of fixed income markets. Profits were posted to the Fund at the end of the quarter. In June the short term interest rate sector detracted slightly from performance, however this was more than offset by the positive contribution from the bond sector.

The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to price drops in stocks linked to the technology area. Long positioning was maintained in the equity sector during April, though with a reduced delta. Benchmark indices saw diverse returns, with muted performance in the S&P500 and Nasdaq; the Nikkei recorded loss; and the FTSE 100 recorded gain. Profits were posted to the Fund in the middle of the quarter. In May the equities sector was a strong contributor to performance, with long positions benefitting from a widespread rally across benchmark contracts. Profits were posted to the Fund at the end of the quarter. In June equity indices around the globe showed diverse performance, for example the S&P 500 and the Nikkei indices, while the FTSE and EuroStoxx indices fell. The Fund maintained a long bias to the equity sector through June.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the energy sector was relatively range-bound, while natural gas was lifted by production issues arising in key supply areas. Profits were posted to the Fund in the middle of the quarter due to oil prices moving higher. Profits were posted to the Fund at the end of the quarter due to a strong contribution in performance from RBOB gasoline.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the agricultural sector was active as prices of the benchmark contracts rose on higher than expected demand figures, adding to gains for corn, wheat and soybeans. Profits were posted to the Fund in the middle of the quarter. Losses were posted to the Fund at the end of the quarter. The crop sector detracted from returns as several markets, such as soybeans, saw sharp price movements. Soybean prices had largely held in the same range over the past few months, but then broke lower after data from the USDA showed high levels of planting and stockpiles.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the U.S. dollar being weaker, as several developed market currencies appreciated versus the dollar. In April the currency sector saw mixed returns, with prices of some major markets moving sideways or reversing the existing trends. The more difficult individual markets, detracting from performance, included NZD-USD and USD-JPY which both represented reversals of existing trends. The switch to overall net short positioning in U.S. dollar indicated a flexible response to broader market movements as the U.S. Dollar index (DXY) fell toward the end of April. Profits were posted to the Fund in the middle of the quarter. In May the U.S. dollar strengthened. Profits were posted to the Fund at the end of the quarter due to a strong individual contributor, NZD-USD, which having fallen in May rallied in June.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April the metals sector was relatively range-bound. Metal prices generally recovered from the losses of March. Losses were posted to the Fund in the middle of the quarter as gold was particularly weak as it lost ground in connection with a stronger dollar and rising risk appetites in general. Losses were posted to the Fund at the end of the quarter.

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January 1, 2013 to June 30, 2013

January 1, 2013 to March 31, 2013

The Fund experienced a net trading profit of $10,081,697 before brokerage commissions and related fees in the first quarter of 2013. The Fund's profits were primarily attributable to the stock indices and the currency sectors posting profits. The metals, energy, agriculture and interest rate sectors posted losses.

The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Equity markets around the globe benefitted as the more optimistic mood at the start of the year drove indices to multi-year highs. The Trading Program benefitted from this rally as it maintained, and slightly increased, its net long exposure to the sector. The result was that the equity sector was the largest contributor to the fund's performance. Losses were posted to the Fund in the middle of the quarter as equity index performance varied markedly around the globe. Profits were posted to the Fund at the end of the quarter. The equity sector provided the strongest positive contribution to performance in March as many, but not all, equity indices rallied strongly.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The FX markets, the broader Dollar Index initially rose before falling to finish down at the end of January. The moves in individual currencies were, in some cases, more extreme and in aggregate the FX sector delivered a strong positive contribution. The continued weakening of the Japanese yen saw U.S. dollar-Japanese yen rise, reaching levels not seen since mid-2010; this move benefitted the Trading Program's short Japanese yen position. Losses were posted to the Fund in the middle of the quarter. In FX markets, the broad Dollar Index rallied strongly, having generally trended downward over the previous two and a half months. The strong moves in individual currency pairs resulted in the sector containing two of the worst performing markets and combined to leave the FX sector as the second highest detractor. Profits were posted to the Fund at the end of the quarter.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The metal sector marginally detracted from performance with no significant individual drivers. Losses were posted to the Fund in the middle of the quarter as metal markets fell moving against the net long position that the Trading Program held at the start of February. Profits were posted to the Fund at the end of the quarter. The metal sector provided a positive contribution to the Trading Program's performance as copper prices continued to fall during the month of March.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Energy markets, in general, rallied strongly in January which benefitted the Trading Program's long positions; RBOB Gasoline, which rose in price in January, was one of the top individual contributors to the Trading Program's performance. Losses were posted to the Fund in the middle of the quarter. The worst performing sector in February was the energy sector. In general these markets continued their upward trend through the first half of February before reversing and then finishing the month significantly lower (for example, Brent Crude rallied before reversing and finishing the month down). The sharp price falls followed the latest inventory data released by the American Petroleum Institute (API) which indicated that U.S. crude stock piles had risen to their highest level since December. Losses were posted to the Fund at the end of the quarter. The unusually cold start to spring in the U.S. led to a surge in the price of natural gas, while optimism on the economic recovery in the U.S. were in part responsible for the rise in WTI crude futures.

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The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The agriculture sector marginally detracted from performance with no significant individual drivers. Losses were posted to the Fund in the middle of the quarter as crop markets fell moving against the net long position that the Trading Program held at the start of February. Losses were posted to the Fund at the end of the quarter. Within the commodity markets the crop sector detracted from performance, and contained one of the worst performing individual markets - corn. With prices having risen steadily through March, approaching their year-to- date highs, inventory data released by the USDA indicated that inventories and projected planting were both significantly higher than market expectations. The result was a sharp fall in corn prices on the day the USDA released their data.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. A consequence of the risk-on rally that benefitted the equity sector in January was that fixed income markets retreated, with both bond futures and short term interest rate futures falling. This price movement was against the long positions held by the Trading Program and resulted in the fixed income sectors being the largest detractors from performance; these sectors also contained the three worst performing markets over the period as well. In response to these falls in price, the Trading Program substantially reduced position sizes within both the bond and short term interest rate sectors. Profits were posted to the Fund in the middle of the quarter. In response to the weaker European data and concerns over the economic environment in both Europe and the U.S., global fixed income markets tended to reflect lower interest rates in February. This benefitted the Trading Program's net long positions in both bond and short term interest rate futures. Profits were posted to the Fund at the end of the quarter ad the Trading Program maintained its net long positions in both the bond and short term interest rate futures. European and UK 10Y bond futures rose, while the moves in the U.S. and Japanese 10Y bond futures were slightly more muted. Price movements in the short term interest rate sector were less consistent and led to the sector detracting slightly from performance.

April 1, 2013 to June 30, 2013

The Fund experienced a net trading loss of $21,594,818 before brokerage commissions and related fees in the second quarter of 2013. The Fund's profits were primarily attributable to the metals sector posting profits. The agriculture, stock indices, currency, energy and interest rate sectors posted losses.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter resulting from the Trading Program's net short exposure in gold and copper which fell during April. In May gold prices continued to move lower resulting in losses posted to the Fund. The quarter ended with profits posted to the Fund. Both precious and base metals slid in June as markets reacted to the U.S Federal Reserve's statements on QE and also to signs that China's growth might be reined in. Copper fell through June in response to uncertainty about Chinese demand. The fall benefitted the Trading Program's short position in the market resulting in profits posted to the Fund. Gold fell towards the end of June.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Corn plunged in April as inventory data and planting forecasts exceeded analyst forecasts which contributed to the negative performance from the crop sector. Profits were posted to the Fund in the middle of the quarter. The Trading Program switched from a net short to net long bias, benefitting from price rises, such as the increase in soybean futures from rising Chinese demand. Losses were posted to the Fund at the end of the quarter as soybeans, reversed their recent price trends.

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The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as the Trading Program held a net long exposure to the equity markets. Equity indices around the globe continued to rally in April including the Nikkei as stimulus plans were announced by the Bank of Japan. The EuroStoxx index was up. In the U.S., where many companies reporting earnings in April exceeded analyst forecasts, the S&P 500 index was up. Profits were posted to the Fund in the middle of the quarter as equity indices in the U.S. and Europe continued to rally. Losses were posted to the Fund at the end of the quarter. European and U.S. equity markets reversed their recent price trends in June, with the indices finishing in negative territory despite staging a slight recovery from the intra-month lows as month-end approached. European markets lagged the U.S. The Japanese stock market continued to exhibit significant volatility, but in contrast to European and U.S. stock marketss, was only marginally down for the month. In aggregate, these moves were against the net long bias that the Trading Program held at the beginning of June resulting in losses posted to the Fund.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. In FX markets, the broad Dollar Index continued to fall in April. The Japanese yen continued to weaken however; the Euro reversed recent moves and strengthened. In combination, moves in the FX markets resulted in the sector delivering a small negative performance contribution. Losses were posted to the Fund in the middle of the quarter. In FX markets, the broad Dollar Index reversed recent moves and rose in May. The Japanese yen continued to weaken (U.S. dollar-Japanese yen up 3.1%), however, the intra-month move was more substantial having weakened almost 6% to mid-month before recovering slightly. In combination, moves in the FX markets resulted in the sector delivering a negative performance contribution. Losses were posted to the Fund at the end of the quarter. Aggregate moves in the currency space resulted in a negative contribution from the sector.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter resulting from the Trading Program's net long exposure in the energy complex. U.S. crude oil inventories climbed and the International Energy Agency trimmed its forecast for global demand, WTI crude futures fell over the first half of April before recovering slightly into month end. Losses were posted to the Fund in the middle of the quarter. Despite the initial rallies of several markets, most markets proceeded to fall and ended down in May which went against the Trading Program's net long position in the sector. Losses were posted to the Fund at the end of the quarter. WTI crude prices rose by as investors reacted to the worsening unrest in Syria and a shrinking of U.S. stockpiles. Elsewhere, natural gas prices fell as mild weather shrank demand and saw inventories rise.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The size of the moves in U.S. fixed income drove three of the markets across maturities to be the largest individual positive contributors to Fund performance. Losses were posted to the Fund in the middle of the quarter. In light of the significant moves witnessed in global fixed income markets, reversing many trends that had persisted for extended periods of time, the largest detractors from Fund performance were the fixed income sectors (both bonds and short term interest rates). Losses were posted to the Fund at the end of the quarter. In response to the falls in fixed income markets in June caused by extensive deleveraging of market participants following comments from Federal Reserve Chairman Bernanke on potential reduction in quantitative easing the Trading Program continued to reduce long positions before starting to initiate a net short bias across the sector. The speed and magnitude of the market moves was such that the Trading Program had insufficient time to reposition before experiencing losses, and as a result both bonds and short term interest rates detracted from Fund performance in June.

(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.)

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