-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WFJ7WT0geGYnyNlhuwMf4e8A1aULu1QPkplcetwnLLY6JMjpv8ywJGi3R6mUNaHv 1StbsTQGmkUWsT8QQu6YAA== 0001104659-09-021531.txt : 20090331 0001104659-09-021531.hdr.sgml : 20090331 20090331091823 ACCESSION NUMBER: 0001104659-09-021531 CONFORMED SUBMISSION TYPE: 10-K PUBLIC DOCUMENT COUNT: 9 CONFORMED PERIOD OF REPORT: 20081231 FILED AS OF DATE: 20090331 DATE AS OF CHANGE: 20090331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ML Winton FuturesAccess LLC CENTRAL INDEX KEY: 0001309136 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 201227904 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-K SEC ACT: 1934 Act SEC FILE NUMBER: 000-51084 FILM NUMBER: 09716166 BUSINESS ADDRESS: STREET 1: 800 SCUDDERS MILL ROAD STREET 2: SECTION 2G CITY: PLAINSBORO STATE: NJ ZIP: 08536 BUSINESS PHONE: 877-465-8435 MAIL ADDRESS: STREET 1: 800 SCUDDERS MILL ROAD STREET 2: SECTION 2G CITY: PLAINSBORO STATE: NJ ZIP: 08536 10-K 1 a09-5780_310k.htm 10-K

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

x Annual Report Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934

For the fiscal year ended: December 31, 2008

o Transition Report Pursuant to Section 13
or 15(d) of the Securities Exchange Act of 1934

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
incorporation or organization)		Identification No.)

c/o Merrill Lynch Alternative Investments LLC

Two World Financial Center, 7th Floor

New York, New York 10281

(Address of principal executive offices)

(Zip Code)

212-236-2063

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

Yes o No x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act.

Yes o No x

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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

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

Large accelerated filer o	Accelerated filer o

Non-accelerated filer x	Small reporting company o

(Do not check if a smaller reporting company)

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

Yes o No x

The Units of the limited liability company interest registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding equity that is readily determinable.

As of January 31, 2009 units of limited liability company interest with an aggregate Net Asset Value of $809,655,563 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2008 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the year ended December 31, 2008, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at
1-866-MER-ALTS.

ML WINTON FUTURESACCESS LLC

ANNUAL REPORT FOR 2008 ON FORM 10-K

Table of Contents

		PAGE
	PART I

Item 1.	Business	1

Item 1A.	Risk Factors	6

Item 1B.	Unresolved Staff Comments	8

Item 2.	Properties	8

Item 3.	Legal Proceedings	8

Item 4.	Submission of Matters to a Vote of Security Holders	8

	PART II

Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	8

Item 6.	Selected Financial Data	11

Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	20

Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	27

Item 8.	Financial Statements and Supplementary Data	31

Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	31

Item 9A(T).	Controls and Procedures	32

Item 9B.	Other Information	33

	PART III

Item 10.	Directors, Executive Officers and Corporate Governance	33

Item 11.	Executive Compensation	35

Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	35

Item 13.	Certain Relationships and Related Transactions and Director Independence	35

Item 14.	Principal Accountant Fees and Services	36

	PART IV

Item 15.	Exhibits and Financial Statement Schedules	37

PART I

Item 1: Business

(a) General Development of Business:

ML Winton FuturesAccess LLC (the “Fund”) was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 6 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit for all other purposes) as of the beginning of each calendar month. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Winton”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) and manager (“Manager”) of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker. On September 15, 2008, Merrill Lynch & Co., Inc. (“Merrill Lynch” or the “Company”) entered into an Agreement and Plan of Merger (as amended by Amendment No. 1 dated as of October 21, 2008, the “Merger Agreement”) with Bank of America Corporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1, 2009, a wholly-owned subsidiary of Bank of America (“Merger Sub”) merged with and into Merrill Lynch, with Merrill Lynch continuing as the surviving corporation and a subsidiary of Bank of America (the “Merger”).

As of December 31, 2008, the Net Asset Value of the Fund for all other purposes was $804,047,550 and the Net Asset Value per Unit for all other purposes, $1.6443 for Class A, $1.5829 for Class C, $1.6065 for Class D, $1.6571 for Class I, $1.6046 for Class DS and $1.6423 for Class DT. The Net Asset Value and Net Asset Value per Unit for financial reporting purposes in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) was $803,988,560 and $1.6440 for Class A, $1.5827 for Class C, $1.6066 for Class D, $1.6566 for Class I, $1.6046 for Class DS and $1.6425 for Class DT.

The highest month-end Net Asset Value per Unit for all other purposes for Class A since Winton began trading the Fund was $1.6443 (December 31, 2008) and the lowest was $1.0223 (February 28, 2005). The highest month-end Net Asset Value per Unit for all other purposes for Class C since Winton began trading the Fund was $1.5829 (December 31, 2008) and the lowest was $1.0214 (February 28, 2005). The highest month-end Net Asset Value per Unit for all other purposes for Class I since Winton began trading the Fund was $1.6571 (December 31, 2008) and the lowest was $1.0226 (February 28, 2005). The highest month-end Net Asset Value per Unit for all other purposes for Class D since Winton began trading the Fund was $1.6065 (December 31, 2008) and the lowest was $0.9601 (April 30, 2005). The highest month-end Net Asset Value per Unit for all other purposes for Class DS since Winton began trading the Fund was $1.6046 (December 31, 2008) and the lowest was $1.0733 (March 31, 2007). The highest month-end Net Asset Value per Unit for all other purposes for Class DT since Winton began trading the Fund was $1.6423 (December 31, 2008) and the lowest was $1.1914 (May 31, 2007).

(b) Financial Information about Segments:

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool”. The Fund does not engage in sales of goods or services.

Trading Advisor’s Trading Model

The Fund and MLAI have entered into an advisory agreement with Winton whereby Winton trades in the international futures and forwards markets pursuant to the Winton Diversified Program (the “Trading Model”). Winton’s investment technique consists of trading a portfolio of over 100 contracts on major futures exchanges and forward markets worldwide, employing a computerized, technical, principally trend-following trading system. This

system tracks the daily price movements and other data from these markets, and carries out certain computations to determine how long or short the portfolio should be to maximize profit within a certain range of risk. If rising prices are anticipated, a long position will be established; a short position will be established if prices are expected to fall.

Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume. This is to be contrasted with fundamental analysis which relies on factors external to a market, such as supply and demand. The Trading Model does not use fundamental factors.

A trend-following system, such as the Trading Model, attempts to take advantage of the observable tendency of the markets to trend, and to tend to make exaggerated movements in both upward and downward directions as a result of such trends. The Trading Model has been developed by relating the probability of the size and direction of future price movements with certain indicators derived from past price movements which characterize the degree of trending of each market at any time.

Employees

The Fund has no employees.

Use of Proceeds and Cash Management Income

Subscription Proceeds

The Fund’s cash is used as security for and to pay the Fund’s trading losses as well as its expenses and redemptions. The primary use of the proceeds of the sale of the Units is to permit Winton to trade on a speculative basis in a wide range of different futures and forwards markets on behalf of the Fund. While being used for this purpose, the Fund’s assets are also generally available for cash management, as more fully described below under “Cash Assets”.

Market Sectors

Winton trades in a variety of liquid U.S. and non-U.S. futures and forward contracts, including agricultural, currencies, energy, interest rates, metals and stock indices.

Market Types

The Fund trades on a variety of United States and foreign futures exchanges. Substantially all of the Fund’s off-exchange trading takes place in the highly liquid, institutionally based currency forward markets.

Many of the Fund’s currency trades are executed in the spot and forward foreign exchange markets (the “FX Markets”) where there are no direct execution costs. Instead, the participants, banks and dealers in the FX Markets take a “spread” between the prices at which they are prepared to buy and sell a particular currency and such spreads are built into the pricing of the spot or forward contracts with the Fund.

Custody of Assets

Substantially all of the Fund’s assets are currently held in Commodity Futures Trading Commission (“CFTC”) regulated customer accounts at MLPF&S.

Cash Assets

The Fund will generally earn interest, as described below, on its “Cash Assets”, which can be generally described as the cash actually held by the Fund plus its “open trade equity” (unrealized gain and loss marked to market daily on open positions). Cash Assets are held primarily in U.S. dollars, and to a lesser extent in foreign currencies, and are comprised of the Fund’s cash balances which may be held in the offset accounts (as described below) – which include “open trade equity” (unrealized gain and loss on open positions) on United States futures contracts, which is paid into or out of the Fund’s account on a daily basis; the Fund’s cash balances in foreign currencies derived from its trading in non-U.S. dollar denominated futures and options contracts, which includes open

trade equity on those exchanges which settle gains and losses on open positions in such contracts prior to closing out such positions. Cash Assets do not include and the Fund does not earn interest income on the Fund’s gains or losses on its open forward, commodity option and certain foreign futures positions since such gains and losses are not collected or paid until such positions are closed out.

The Fund’s Cash Assets may be greater than, less than or equal to the Fund’s Net Asset Value (on which the redemption value of the Units is based) primarily because Net Asset Value reflects all gains and losses on open positions as well as accrued but unpaid expenses.

Interest Earned on the Fund’s U.S. Dollar Cash Assets

The Fund’s U.S. dollar Cash Assets are held in cash at MLPF&S, which utilizes offset accounts.

Offset accounts are non-interest bearing demand deposit accounts maintained with banks unaffiliated with Merrill Lynch. An integral feature of the offset arrangements is that the participating banks specifically acknowledge that the offset accounts are MLPF&S customer accounts, not subject to any Merrill Lynch liability.

MLPF&S credits the Fund, as of the end of each month, with interest at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% of such prevailing rate on the average daily U.S. dollar Available assets. The Fund is credited with interest on any of its assets and net gains actually held by MLPF&S non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess of interest, which Merrill Lynch pays to the Fund, from possession of such assets.

The banks at which the offset accounts are maintained make available to Merrill Lynch interest-free overnight credits, loans or overdrafts in the amount of the Fund’s U.S. dollar Available assets held in the offset accounts, charging Merrill Lynch a small fee for this service. The economic benefits derived by Merrill Lynch – net of the interest credits paid to the Fund and the fee paid to the offset banks – from the offset accounts have not exceeded 0.75% per annum of the Fund’s average daily U.S. dollar Cash Assets held in the offset accounts. These revenues to Merrill Lynch are in addition to the Brokerage Commissions and Administrative Fees paid by the Fund to MLPF&S and MLAI, respectively.

Interest Paid by Merrill Lynch on the Fund’s Non-U.S. Dollar Cash Assets

Under the single currency margining system implemented for the Fund, the Fund does not deposit foreign currencies to margin trading in non-U.S. dollar denominated futures contracts and options, if any. MLPF&S provides the necessary margin, permitting the Fund to retain the monies which would otherwise be required for such margin as part of the Fund’s U.S. dollar Cash Assets. The Fund does not earn interest on foreign margin deposits provided by MLPF&S. The Fund does, however, earn interest on its non-U.S. dollar Cash Assets. Specifically, the Fund is credited by Merrill Lynch with interest at prevailing short-term local rates on assets and net gains on non-U.S. dollar denominated positions for such gains actually held in cash by the Fund. Merrill Lynch charges the Fund Merrill Lynch’s cost of financing realized and unrealized losses on such positions.

The Fund holds foreign currency gains and finances foreign currency losses on an interim basis until converted into U.S. dollars and either paid into or out of the Fund’s U.S. dollar Cash Assets which generally occurs weekly. Foreign currency gains or losses on open positions are not converted into U.S. dollars until the positions are closed. Assets of the Fund while held in foreign currencies are subject to exchange rate risk.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2008, 2007 and 2006.

	2008				2007				2006
			% of Average				% of Average				% of Average
	Dollar		Month-End		Dollar		Month-End		Dollar		Month-End
Charges	Amount		Net Assets (1)		Amount		Net Assets (1)		Amount		Net Assets (1)
Other Expenses	$	1,848,834	0.25	%	$	1,060,592	0.22	%	$	996,583	0.46	%
Sponsor fees	10,272,451		1.42	%	7,766,920		1.58	%	4,248,731		1.96	%
Management fees	14,943,538		2.06	%	9,953,107		2.04	%	4,555,234		2.11	%
Performance fees	30,491,051		4.20	%	14,101,642		2.89	%	5,417,903		2.51	%
Total	$	57,555,874	7.93	%	$	32,882,261	6.73	%	$	15,218,451	7.04	%

(1) for all other purposes

The foregoing table does not reflect the bid-ask spreads paid by the Fund on its forward trading, or the benefits which may be derived by Merrill Lynch from the deposit of certain of the Fund’s U.S. dollar assets maintained at MLPF&S.

The Fund’s average month-end Net Assets Value for all other purposes during 2008, 2007 and 2006 equaled $725,896,624, $487,404,368, and $216,130,543, respectively. During 2008, the Fund earned $12,915,952 in interest income, or approximately 1.78% of the Fund’s average month-end Net Assets Value for all other purposes. During 2007, the Fund earned $24,566,411 in interest income, or approximately 5.04% of the Fund’s average month-end Net Assets Value for all other purposes. During 2006, the Fund earned $10,650,742 in interest income, or approximately 4.93% of the Fund’s average month-end Net Assets Value for all other purposes.

Description of Current Charges

Recipient	Nature of Payment	Amount of Payment
MLPF&S	Brokerage Commissions	During 2008, 2007 and 2006 round-turn (each purchase and sale or sale and purchase of a single futures contract) rate of the Fund’s Brokerage Commissions was approximately $7.16, $9.58 and $9.82, respectively.

MLPF&S	Use of assets	Merrill Lynch may derive an economic benefit from the deposit of certain of the Fund’s U.S. dollar assets in accounts maintained at MLPF&S.

MLAI	Sponsor Fees	A flat-rate monthly charge of 0.125 of 1% (1.50% annual rate) on Class A units, flat-rate monthly charge of 0.2083 of 1% (2.50% annual rate) on Class C units, a flat-rate monthly charge of 0.0917 of 1% (1.10% annual rate) on Class I units (including the monthly interest credit and before reduction for accrued month-end redemptions, distributions, brokerage commissions, sponsor fees, management fees or performance fees, in each case as of the end of the month of determination). Class D, Class DS and Class DT do not pay a Sponsor fee.

MLPF&S	Sales Commissions	Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are deducted from proceeds prior to entering the Fund. Shares purchased and reflected in the fund records are net of any commissions charged by MLPF&S. Class C, Class DS and Class DT Units are not subject to any sales commissions.

Merrill Lynch International Bank (“MLIB”) (or an affiliate); Other counterparties	Bid–ask spreads	Bid–ask spreads on forwards and related trades.

MLIB (or an affiliate); Other counterparties	EFP differentials	Certain of the Fund’s currency trades may be executed in the form of “exchange of futures for physical” transactions, in which a counterparty (which may be MLIB or an affiliate) receives an additional “differential” spread for exchanging the Fund’s cash currency positions for equivalent futures positions.

Winton and MLAI	Annual performance fees	20% of any New Trading Profits, as defined, generated by the Fund as a whole and allocated for Classes A, C, I, D and DS and 15% of any New Trading Profits, as defined, generated by the Fund and allocated for Class DT as a whole as of the end of each calendar year. MLAI receives 25% of the annual performance fees.

Winton and MLAI	Management Fees	A flat rate monthly net charge of 0.1667 of 1% of the Fund’s month-end net assets (a 2% annual rate) except for Class DT which charges 1.50%. MLAI receives 25% of management fees.

Others	Operating expenses of the Fund including audit, legal and tax services.	Actual payments to third parties.

MLAI; Others	Ongoing Offering Costs reimbursed	Actual costs incurred.

Regulation

MLAI, Winton and MLPF&S are each subject to regulation by the Commodity Futures Trading Commission (“CFTC”) and the National Futures Association (“NFA”). Other than in respect of the registration requirements pertaining to the Fund’s securities under Section 12(g) of the Securities Exchange Act of 1934, the Fund is generally not subject to regulation by the Securities and Exchange Commission (the “SEC”). However, MLAI is registered as an “investment adviser” under the Investment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the Financial Industry Regulatory Authority (“FINRA”)

(d) Financial Information about Geographic Areas

The Fund does not engage in material operations in foreign countries, nor is a material portion of the Fund’s revenue derived from customers in foreign countries.

The Fund trades on a number of foreign commodity exchanges. The Fund does not engage in the sales of goods or services.

Item 1A: Risk Factors

Past Performance Not Necessarily Indicative of Future Results

Past performance is not necessarily indicative of future results. The trading advisor’s past performance may not be representative of how it may trade in the future for the Fund.

Volatile Markets; Highly Leveraged Trading

Futures and forward trading is highly leveraged, and market price levels are volatile and materially affected by unpredictable factors such as weather and governmental intervention. The combination of leverage and volatility creates a high degree of risk.

Importance of General Market Conditions

Overall market or economic conditions — which neither MLAI nor the trading advisor can predict or control — have a material effect on the performance of any managed futures strategy.

Possibility of Additional Government or Market Regulation

Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies during recent years have led to increased governmental as well as self-regulatory scrutiny of the alternative investment funds industry in general. In addition, certain legislation proposing greater regulation of the industry periodically is considered by the U.S. Congress, as well as the governing bodies of foreign jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Fund, its Manager (MLAI) the markets in which they trade and invest or the counterparties with which they do business may be instituted in the future. Any such regulation could have a material adverse impact on the profit potential of the Fund, as well as require increased transparency as to the identity of the Fund’s members.

Forward Trading

The Fund will trade currencies in the forward markets in addition to trading in the futures markets. The forward markets are over-the-counter, non-exchange traded markets, and in trading in these markets, the Fund will be dependent on the credit standing of the counterparties with which they trade, without the financial support of any clearinghouse system. In addition, the prices offered for the same forward contract may vary significantly among different forward market participants. Forward markets counterparties are under no obligation to enter into forward transactions with the Fund, including transactions through which the Fund is attempting to liquidate open positions.

Increased Assets Under Management

There appears to be a tendency for the rates of return achieved by managed futures advisors to decline as assets under management increase. The trading advisor has not agreed to limit the amount of additional equity which it may manage.

Trading Advisor Risk

The Fund is subject to the risk of the bad judgment, negligence or misconduct of its trading advisor. There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to trading advisor misconduct.

Changes in Trading Strategy

The trading advisor may make material changes in its trading strategies without the knowledge of MLAI.

Illiquid Markets

Certain positions held by the Fund may become illiquid, preventing the Fund’s trading advisor from acquiring positions otherwise indicated by its strategy or making it impossible for the trading advisor to close out positions against which the market is moving.

Certain futures markets are subject to “daily price limits,” restricting the maximum amount by which the price of a particular contract can change during any given trading day. Once a contract’s price has moved “the limit,” it may be impossible or economically non-viable to execute trades in such contract. From time to time, prices have moved “the limit” for a number of consecutive days, making it impossible for traders against whose positions the market was moving to prevent large losses.

Trading on Non-U.S. Exchanges

The trading advisor may trade extensively on non-U.S. exchanges. These exchanges are not regulated by any United States governmental agency. The Fund could incur substantial losses trading on foreign exchanges to which it would not have been subject had its trading advisor limited its trading to U.S. markets.

The profits and losses derived from trading foreign futures and forwards will generally be denominated in foreign currencies; consequently, the Fund will be subject to a certain degree of exchange-rate risk in trading such contracts.

The Fund Could Lose Assets and Have Its Trading Disrupted Due to the Bankruptcy of One of the Parties

The Fund is subject to the risk of insolvency of counterparty, an exchange, a clearinghouse or MLPF&S. 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, 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.

Item 1B: Unresolved Staff Comments

Not applicable.

Item 2: Properties

The Fund does not use any physical properties in the conduct of its business.

The Fund’s offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, Two World Financial Center, 7th Floor, New York , New York, 10281). MLAI performs administrative services for the Fund from MLAI’s offices.

Item 3: Legal Proceedings

None.

Item 4: Submission of Matters to a Vote of Security Holders

None.

PART II

Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Item 5(a)

(a) Market Information:

There is no established public trading market for the Units, and none is likely to develop. Members may redeem Units on ten days written notice to MLAI as of the last day of each month at their Net Asset Value, subject to certain early redemption charges.

(b) Holders:

As of December 31, 2008, there were 6,698 holders of Units including MLAI.

MLAI has not made and does not contemplate making any distributions on the Units.

(d) Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

(e) Recent Sales of Unregistered Securities:

Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act. The selling agent of the following Class of Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-08	$	2,895,925	2,102,000	$	1.3777
Feb-08	1,305,519		913,909	1.4285
Mar-08	4,174,121		2,714,522	1.5377
Apr-08	3,387,092		2,227,178	1.5208
May-08	2,896,497		1,921,391	1.5075
Jun-08	1,818,936		1,188,692	1.5302
Jul-08	2,276,601		1,422,431	1.6005
Aug-08	1,786,678		1,164,111	1.5348
Sep-08	2,151,109		1,437,619	1.4963
Oct-08	2,009,024		1,339,349	1.5000
Nov-08	903,184		579,968	1.5573
Dec-08	607,871		375,716	1.6179
Jan-09	2,016,403		1,226,299	1.6443
Feb-09	1,172,901		708,573	1.6553

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-08	$	6,097,898	4,553,049	$	1.3393
Feb-08	6,267,310		4,516,655	1.3876
Mar-08	10,173,344		6,816,767	1.4924
Apr-08	14,855,255		10,073,408	1.4747
May-08	7,133,755		4,883,792	1.4607
Jun-08	5,655,588		3,817,732	1.4814
Jul-08	8,688,113		5,611,751	1.5482
Aug-08	9,475,838		6,387,488	1.4835
Sep-08	6,457,936		4,469,159	1.4450
Oct-08	5,457,647		3,770,656	1.4474
Nov-08	5,368,229		3,575,244	1.5015
Dec-08	3,774,886		2,421,817	1.5587
Jan-09	6,451,430		4,075,703	1.5829
Feb-09	5,081,580		3,191,747	1.5921

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-08	$	20,000	15,084	$	1.3259
Feb-08	219,396		159,387	1.3765
Mar-08	—		—	1.4836
Apr-08	1,004,998		684,091	1.4691
May-08	10,013,998		6,867,841	1.4581
Jun-08	4,999,998		3,374,046	1.4819
Jul-08	12,998,995		8,376,181	1.5519
Aug-08	5,000,000		3,355,028	1.4903
Sep-08	—		—	1.4548
Oct-08	499,998		342,418	1.4602
Nov-08	858,549		565,653	1.5178
Dec-08	—		—	1.5787
Jan-09	5,367,524		3,341,129	1.6065
Feb-09	1,990,000		1,228,926	1.6193

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-08	$	2,820,899	2,039,991	$	1.3828
Feb-08	790,980		551,475	1.4343
Mar-08	259,837		168,244	1.5444
Apr-08	871,988		570,710	1.5279
May-08	67,415		44,496	1.5151
Jun-08	105,619		68,652	1.5385
Jul-08	1,376,561		855,113	1.6098
Aug-08	9,432,829		6,108,554	1.5442
Sep-08	1,428,745		948,763	1.5059
Oct-08	889,997		589,324	1.5102
Nov-08	334,333		213,168	1.5684
Dec-08	697,547		427,969	1.6299
Jan-09	837,729		505,539	1.6571
Feb-09	3,674,993		2,202,309	1.6687

CLASS DS

	Subscription
	Amount		Units	NAV (1)
Jan-08	$	1,810,547	1,365,626	$	1.3258
Feb-08	1,356,925		985,779	1.3765
Mar-08	3,310,268		2,231,391	1.4835
Apr-08	10,150,741		6,909,967	1.4690
May-08	8,173,371		5,605,110	1.4582
Jun-08	7,319,384		4,939,855	1.4817
Jul-08	6,156,293		3,969,497	1.5509
Aug-08	7,111,047		4,772,515	1.4900
Sep-08	14,776,061		10,156,067	1.4549
Oct-08	11,272,719		7,719,983	1.4602
Nov-08	3,093,540		2,039,114	1.5171
Dec-08	12,292,033		7,793,084	1.5773
Jan-09	1,242,710		774,467	1.6046
Feb-09	5,628,413		3,480,129	1.6173

CLASS DT

	Subscription
	Amount		Units	NAV (1)
Jan-08	$	—	—	$	1.3357
Feb-08	—		—	1.3901
Mar-08	—		—	1.5051
Apr-08	—		—	1.4899
May-08	—		—	1.4785
Jun-08	—		—	1.5045
Jul-08	—		—	1.5802
Aug-08	—		—	1.5141
Sep-08	—		—	1.4761
Oct-08	—		—	1.4824
Nov-08	—		—	1.5452
Dec-08	—		—	1.6117
Jan-09	—		—	1.6423
Feb-09	—		—	1.6568

(1) Beginning of the month Net Asset Value for all other purposes

Class A Units are subject to a sales commission paid to Merrill Lynch ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C, Class DS and Class DT Units are not subject to any sales commissions.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6: Selected Financial Data

The following selected financial data has been derived from the financial statements of the Fund.

Statements of Operations	For the year ended December 31, 2008			For the year ended December 31, 2007			For the year ended December 31, 2006

Trading profit (loss)
Realized	$	168,699,930		$	89,611,147		$	22,914,555
Change in unrealized	6,796,965			(3,491,204		)	8,672,148
Brokerage commissions	(1,087,424		)	(1,996,947		)	(1,603,878		)
Total trading profit (loss)	174,409,471			84,122,996			29,982,825

INVESTMENT INCOME:
Interest	12,915,952			24,566,411			10,650,742

EXPENSES:
Management fees	14,943,538			9,953,107			4,555,234
Performance fees	30,491,051			14,101,642			5,417,903
Sponsor fees	10,272,451			7,766,920			4,248,731
Other	1,848,834			1,060,592			996,583
Total Expenses	57,555,874			32,882,261			15,218,451

NET INVESTMENT LOSS	(44,639,922		)	(8,315,850		)	(4,567,709		)

NET INCOME (LOSS)	$	129,769,549		$	75,807,146		$	25,415,116

Balance Sheet Data	December 31, 2008		December 31, 2007		December 31, 2006

Members’ Capital	$	803,988,560	$	607,047,689	$	323,050,144
Net Asset Value per Class A Unit	1.6440		1.3772		1.2076
Net Asset Value per Class C Unit	1.5827		1.3391		1.1859
Net Asset Value per Class D Unit	1.6066		1.3258		1.1460
Net Asset Value per Class I Unit	1.6566		1.3821		1.2069
Net Asset Value per Class DS Unit	1.6046		1.3258
Net Asset Value per Class DT Unit	1.6425		1.3357

For financial reporting purposes in conformity with U.S. GAAP, the Fund deducted the total initial offering costs payable to MLAI at inception from Members’ Capital for purposes of determining Net Asset Value. For all other purposes, including computing Net Asset Value for purposes of member subscription and redemption activity, such payment is amortized over 60 months. Consequently, as of December 31, 2008 and 2007, the Net Asset Value and Net Asset Value per Unit of the different Classes for financial reporting purposes and for all other purposes are as follows:

December 31, 2008

	Net Asset Value					Net Asset Value per Unit
	All Other Purposes (unaudited)		Financial Reporting		Number of Units	All Other Purposes (unaudited)		Financial Reporting
Class A	$	75,408,044	$	75,393,264	45,859,129	$	1.6443	$	1.6440
Class C	340,596,360		340,557,702		215,178,830	1.5829		1.5827
Class D	117,361,002		117,366,051		73,051,567	1.6065		1.6066
Class I	71,377,362		71,357,222		43,073,827	1.6571		1.6566
Class DS	111,014,511		111,018,099		69,186,442	1.6046		1.6046
Class DT	88,290,271		88,296,222		53,758,785	1.6423		1.6425
	$	804,047,550	$	803,988,560	500,108,580

December 31, 2007

	Net Asset Value					Net Asset Value per Unit
	All Other Purposes (unaudited)		Financial Reporting		Number of Units	All Other Purposes (unaudited)		Financial Reporting
Class A	$	55,269,166	$	55,249,882	40,117,768	$	1.3777	$	1.3772
Class C	286,151,621		286,091,149		213,652,153	1.3393		1.3391
Class D	103,239,603		103,236,597		77,864,803	1.3259		1.3258
Class I	52,156,427		52,132,196		37,718,572	1.3828		1.3821
Class DS	17,829,738		17,829,738		13,447,784	1.3258		1.3258
Class DT	92,508,127		92,508,127		69,259,318	1.3357		1.3357
	$	607,154,682	$	607,047,689	452,060,398

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and report performance to investors throughout the year is the most valuable information to the Members of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for “all other purposes”.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.	Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2005	n/a	$	1.0223	$	1.0633	$	1.0295	$	1.0836	$	1.1068	$	1.0828	$	1.1560	$	1.0872	$	1.0553	$	1.1191	$	1.0717

2006	$	1.1029	$	1.0768	$	1.1124	$	1.1783	$	1.1326	$	1.1180	$	1.1124	$	1.1577	$	1.1428	$	1.1565	$	1.1869	$	1.2084
2007	$	1.2584	$	1.1800	$	1.1279	$	1.1924	$	1.2488	$	1.2678	$	1.2516	$	1.2421	$	1.3172	$	1.3458	$	1.3769	$	1.3777
2008	$	1.4285	$	1.5377	$	1.5208	$	1.5075	$	1.5302	$	1.6005	$	1.5348	$	1.4963	$	1.5000	$	1.5573	$	1.6179	$	1.6443

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2005	n/a		$	1.0214	$	1.0618	$	1.0249	$	1.0779	$	1.1000	$	1.0783	$	1.1508	$	1.0817	$	1.0490	$	1.1115	$	1.0642
2006	$	1.0943	$	1.0675	$	1.1018	$	1.1659	$	1.1191	$	1.1041	$	1.0975	$	1.1413	$	1.1256	$	1.1381	$	1.1668	$	1.1864
2007	$	1.2345	$	1.1568	$	1.1047	$	1.1670	$	1.2212	$	1.2387	$	1.2219	$	1.2116	$	1.2837	$	1.3105	$	1.3397	$	1.3393
2008	$	1.3876	$	1.4924	$	1.4747	$	1.4607	$	1.4814	$	1.5482	$	1.4835	$	1.4450	$	1.4474	$	1.5015	$	1.5587	$	1.5829

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2005	n/a		n/a		n/a		$	0.9601	$	1.0118	$	1.0366	$	1.0202	$	1.0920	$	1.0150	$	0.9862	$	1.0471	$	1.0054
2006	$	1.0360	$	1.0131	$	1.0479	$	1.1113	$	1.0646	$	1.0528	$	1.0489	$	1.0932	$	1.0808	$	1.0955	$	1.1255	$	1.1463
2007	$	1.1952	$	1.1216	$	1.0733	$	1.1362	$	1.1914	$	1.2110	$	1.1971	$	1.1894	$	1.2629	$	1.2919	$	1.3235	$	1.3259
2008	$	1.3765	$	1.4836	$	1.4691	$	1.4581	$	1.4819	$	1.5519	$	1.4903	$	1.4548	$	1.4602	$	1.5178	$	1.5787	$	1.6065

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2005	n/a		$	1.0226	$	1.0633	$	1.0265	$	1.0808	$	1.1014	$	1.0742	$	1.1485	$	1.0792	$	1.0478	$	1.1115	$	1.0658
2006	$	1.0972	$	1.0715	$	1.1073	$	1.1732	$	1.1283	$	1.1154	$	1.1100	$	1.1558	$	1.1414	$	1.1553	$	1.1862	$	1.2079
2007	$	1.2583	$	1.1805	$	1.1287	$	1.1937	$	1.2505	$	1.2699	$	1.2542	$	1.2450	$	1.3207	$	1.3499	$	1.3816	$	1.3828
2008	$	1.4343	$	1.5444	$	1.5279	$	1.5151	$	1.5385	$	1.6098	$	1.5442	$	1.5059	$	1.5102	$	1.5684	$	1.6299	$	1.6571

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007	n/a		n/a		$	1.0733	$	1.1362	$	1.1914	$	1.2109	$	1.1970	$	1.1894	$	1.2629	$	1.2919	$	1.3235	$	1.3258
2008	$	1.3765	$	1.4835	$	1.4690	$	1.4582	$	1.4817	$	1.5509	$	1.4900	$	1.4549	$	1.4602	$	1.5171	$	1.5773	$	1.6046

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2007	n/a		n/a		n/a		n/a		$	1.1914	$	1.2123	$	1.1971	$	1.1867	$	1.2679	$	1.2991	$	1.3330	$	1.3357
2008	$	1.3901	$	1.5051	$	1.4899	$	1.4785	$	1.5045	$	1.5802	$	1.5141	$	1.4761	$	1.4824	$	1.5452	$	1.6117	$	1.6423

ML WINTON FUTURESACCESS LLC

(CLASS A UNITS) (5)

December 31, 2008

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: February 2005

Aggregate Subscriptions: $84,951,008

Current Capitalization: $75,408,044

Worst Monthly Drawdown(2): (6.23)% (February 2007)

Worst Peak-to-Valley Drawdown(3): (10.37)% (February-March 2007)

Net Asset Value per Unit Class A, December 31, 2008: $1.6443

Monthly Rates of Return (4)

Month	2008		2007		2006
January	3.69	%	4.14	%	2.91	%
February	7.64		(6.23	)	(2.37	)
March	(1.10	)	(4.42	)	3.31
April	(0.87	)	5.72		5.92
May	1.51		4.73		(3.88	)
June	4.59		1.52		(1.29	)
July	(4.10	)	(1.27	)	(0.50	)
August	(2.51	)	(0.76	)	4.07
September	0.25		6.04		(1.29	)
October	3.82		2.17		1.20
November	3.89		2.32		2.63
December	1.63		0.05		1.81
Compound Annual Rate of Return	19.36	%	14.01	%	12.76	%

(1) Certain funds, including funds sponsored by MLAI, are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since February 1, 2005 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since February 1, 2005 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit for all other purposes. The inception to date total return based on U.S. GAAP is 64.40%.

ML WINTON FUTURESACCESS LLC

(CLASS C UNITS) (5)

December 31, 2008

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: February 2005

Aggregate Subscriptions: $396,770,448

Current Capitalization: $340,596,360

Worst Monthly Drawdown(2): (6.29)% (February 2007)

Worst Peak-to-Valley Drawdown(3): (10.51)% (February-March 2007)

Net Asset Value per Unit Class C, December 31, 2008: $1.5829

Monthly Rates of Return (4)

Month	2008		2007		2006
January	3.61	%	4.05	%	2.83	%
February	7.55		(6.29	)	(2.45	)
March	(1.19	)	(4.50	)	3.21
April	(0.95	)	5.64		5.82
May	1.42		4.64		(4.01	)
June	4.51		1.43		(1.34	)
July	(4.18	)	(1.36	)	(0.60	)
August	(2.60	)	(0.84	)	3.99
September	0.17		5.95		(1.38	)
October	3.74		2.09		1.11
November	3.81		2.23		2.52
December	1.55		(0.03	)	1.68
Compound Annual Rate of Return	18.19	%	12.89	%	11.48	%

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit for all other purposes. The inception to date total return based on U.S. GAAP is 58.27%.

ML WINTON FUTURESACCESS LLC

(CLASS D UNITS) (5)

December 31, 2008

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: April 2005

Aggregate Subscriptions: $132,254,743

Current Capitalization: $117,361,002

Worst Monthly Drawdown(2): (7.06)% (September 2005)

Worst Peak-to-Valley Drawdown(3): (10.20)% (February-March 2007)

Net Asset Value per Unit Class D, December 31, 2008: $1.6065

Monthly Rates of Return (4)

Month	2008		2007		2006
January	3.82		4.27	%	3.04	%
February	7.78		(6.16	)	(2.21	)
March	(0.98	)	(4.30	)	3.44
April	(0.75	)	5.86		6.05
May	1.63		4.74		(4.20	)
June	4.72		1.79		(1.11	)
July	(3.97	)	(1.15	)	(0.37	)
August	(2.38	)	(0.64	)	4.22
September	0.37		6.18		(1.13	)
October	3.94		2.30		1.36
November	4.01		2.45		2.74
December	1.76		0.18		1.85
Compound Annual Rate of Return	21.15	%	15.64	%	14.01	%

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since April 1, 2005 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit for all other purposes. The inception to date total return based on U.S. GAAP is 60.66%.

ML WINTON FUTURESACCESS LLC

(CLASS I UNITS) (5)

December 31, 2008

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: February 2005

Aggregate Subscriptions: $73,680,256

Current Capitalization: $71,377,362

Worst Monthly Drawdown(2): (6.19)% (February 2007)

Worst Peak-to-Valley Drawdown(3): (10.30)% (February-March 2007)

Net Asset Value per Unit Class I, December 31, 2008: $1.6571

Monthly Rates of Return (4)

Month	2008		2007		2006
January	3.72	%	4.17	%	2.95	%
February	7.68		(6.19	)	(2.34	)
March	(1.07	)	(4.39	)	3.34
April	(0.84	)	5.76		5.95
May	1.54		4.76		(3.83	)
June	4.63		1.55		(1.14	)
July	(4.08	)	(1.24	)	(0.48	)
August	(2.48	)	(0.73	)	4.13
September	0.29		6.08		(1.25	)
October	3.85		2.21		1.22
November	3.92		2.35		2.67
December	1.67		0.09		1.83
Compound Annual Rate of Return	19.82	%	14.48	%	13.33	%

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit for all other purposes. The inception to date total return based on U.S.GAAP is 65.66%.

ML WINTON FUTURESACCESS LLC

(CLASS DS UNITS) (5) (6)

December 31, 2008

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: April 2007

Aggregate Subscriptions: $103,148,246

Current Capitalization: $111,014,511

Worst Monthly Drawdown(2): (3.93)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (6.20)% (July-August 2008)

Net Asset Value per Unit Class DS, December 31, 2008: $1.6046

Monthly Rates of Return (4)

Month	2008		2007
January	3.82	%	—
February	7.77		—
March	(0.98	)	—
April	(0.74	)	5.86	%
May	1.61		5.50
June	4.67		1.03
July	(3.93	)	(1.15	)
August	(2.36	)	(0.64	)
September	0.36		6.18
October	3.90		2.30
November	3.97		2.44
December	1.73		0.18
Compound Annual Rate of Return	21.02	%	23.53	%

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since April 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit for all other purposes. The inception to date total return based on U.S.GAAP is 49.50%.

(6) Class DS was previously known as Class D-SM.

ML WINTON FUTURESACCESS LLC

(CLASS DT UNITS) (5) (6)

December 31, 2008

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: July 2007

Aggregate Subscriptions: $116,913,460

Current Capitalization: $88,290,271

Worst Monthly Drawdown(2): (4.18)% (July 2008)

Worst Peak-to-Valley Drawdown(3): (6.59)% (July-August 2008)

Net Asset Value per Unit Class DT, December 31, 2008: $1.6423

Monthly Rates of Return (4)

Month	2008		2007
January	4.07	%	—
February	8.27		—
March	(1.01	)	—
April	(0.77	)	—
May	1.76		—
June	5.03		1.76	%
July	(4.18	)	(1.25	)
August	(2.51	)	(0.87	)
September	0.43		6.85
October	4.24		2.46
November	4.30		2.61
December	1.90		0.20
Compound Annual Rate of Return	22.96	%	12.11	%

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since July 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since July 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit for all other purposes. The inception to date total return based on U.S.GAAP is 37.85%.

(6) Class DT was previously known as Class D-TF.

Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Operational Overview

This performance summary is an outline description of how the Fund performed in the past, not necessarily any indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply occurred at or about the same time.

The Fund is unlikely to be profitable in markets in which such trends do not occur. Static or erratic prices are likely to result in losses. Similarly, unexpected events (for example, a political upheaval, natural disaster or governmental intervention) can lead to major short-term losses, as well as gains.

While there can be no assurance that the Fund will be profitable under any given market condition, markets in which substantial and sustained price movements occur typically offer the best profit potential for the Fund.

Results of Operations/Performance Summary

December 31, 2008

	Total Trading
	Profit (Loss)
Interest Rates	$	78,006,545
Agricultural	677,429
Currencies	14,971,254
Energy	17,240,490
Metals	8,194,946
Stock Indices	55,223,686
	174,314,350
Change in Brokerage Commission Payable	95,121
	$	174,409,471

The Fund posted gains for the year in all sectors which are interest rates, stock indices, energy, currencies, metals and agriculture. Despite the disastrous market conditions in the financial markets during the fourth quarter, the Fund posted profits as it continued to operate a below normal level of risk out of respect for the market’s extreme behaviors.

The interest rates sector posted profits for the Fund. The Fund profited at the beginning of the year by rises in bonds and interest rate futures, led by the aggressive U.S. Federal Reserve cutting interest rates by a total of 125 basis points. Profits continued to be posted for the Fund through mid-quarter. The first quarter ended with profits being posted to the fund due to the U.S. Federal Reserve lowering overnight rates by 75 basis points to 2.25% which was the sixth reduction since September 2007. Losses were posted to the Fund at the beginning of the second quarter due to the Fund’s position in long term bonds. Small profits in short term interest rates were offset by equivalent losses in other bond positions in the middle of the quarter. Profits were posted to the Fund at the end of the second quarter. Losses were posted to the Fund at the beginning of the third quarter only to be reversed in the middle of the quarter due to the Fund’s position in long term bonds. The Fund profited from a long bias in bond futures as the 10 year bond yields declined. Profits continued to be posted to the Fund at the end of the third quarter as there was a renewed strength in Government bonds worldwide. The year ended with profits being posted to the Fund throughout the fourth quarter. In December, the 10 year note yields in the United States fell which helped the bond sector post profits to the Fund.

The stock indices posted profits for the Fund. The stock sector suffered the largest losses among the financial sectors as global equities experienced sharp losses to begin the New Year. Despite the overall volatility in global equities, the stock sector posted gains for the Fund mid-quarter through the end of the quarter. Losses were posted to the Fund at the beginning of the second quarter through mid-quarter as financial markets continued to be range bound. June saw a further crystallization of market ranges which had been threatening to break out of their ranges for some time. There was a sharp decline in global equity markets, as the cumulative weight of poor financial figures, inflationary fears and an increase in negative sentiment combined to depress both G7 (seven industrialized nations of the world: Canada, France, Germany, Italy, Japan, United Kingdom, and the United States of America) and the global markets. Most markets fell between 5-10% in June and a technical bear market looks to be in place in the United States where a 20% peak to trough decline has occurred. The Fund was well positioned to benefit from these conditions, with equity indices accounting for nearly half the monthly return as the quarter ended with profits being posted to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to intervention from the Securities and Exchange Commission to restrict short selling and to prop up beleaguered institutions caused some short term effects, however, equity indices stabilized against the recent bear trend. Due to market volatility, losses were posted to the Fund in the middle of the third quarter. High volatility continued to cause the Fund to reduce positions so that the Fund’s margin exposure was at a record low which produced profits being posted to the Fund at the end of the quarter. The Fund’s short positions in the equity indices posted profits to the Fund in October and November. The year ended with the stock indices sector posting profits to the Fund in spite of the market volatility.

The energy sector posted profits for the Fund. Losses were posted for the Fund at the beginning of the first. quarter from the falling back of energy prices from recent highs. The Fund experienced renewed strength in the commodity markets with long positions in the energy sectors posting profits for the Fund at the middle of the quarter which continued through the end of the quarter. The energy sector was the stand out performer for the Fund at the beginning of the second quarter with crude oil, unleaded gasoline and natural gas markets all contributing to the profit. The continued boom in crude oil prices dominated the mid-quarter as the price has increased over 50% from the first week of February. Profits continued to be posted to the Fund at the end of the second quarter ended in particular with the renewed surge in crude oil. Losses were posted to the Fund at the beginning of the third quarter due to the fluctuation of crude oil moving from $140 per barrel up to $147 per barrel and then down to $125 per barrel . Losses continued to be posted to the Fund in the middle of the third quarter to the end as crude oil continued to fall in price. Losses were posted to the Fund at the beginning of the fourth quarter as crude oil continues to fluctuate in price. Profits were posted to the Fund mid-quarter through the end of the quarter in spite of the crude oil continuing its sharp decline. Profits were posted to the Fund as the year ended due to the Fund’s short positions in the Energy sector.

The currency sector posted profits for the Fund. Profits were posted for the Fund throughout the first quarter. The U.S. dollar renewed its overall decline mid-quarter with the Fund’s long positions in the Euro benefiting resulting in profits being posted for the Fund. The dominant theme at the end of the first quarter was the continued weakness of the U.S. dollar which the Fund exploited primarily with the U.S. dollar versus the Euro and the U.S. dollar versus the Japanese yen posting profits for the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the United States dollar becoming range bound, albeit near its recent lows. Profits were posted to the Fund mid-quarter through the end of the quarter due to the Fund’s long positions in currencies. Losses were posted to the Fund at the beginning of the third quarter as currencies were in a state of flux, as the Euro, the Japanese yen and the British pound all softened with the U.S. dollar rising. Losses continued to be posted to the Fund in the middle of the third quarter as the long standing negative trend in the U.S. dollar reversed and the U.S. dollar posted a significant recovery with the U.S. dollar index being up. The U.S. dollar continued to rally as the quarter ended posting losses for the Fund. Profits were posted to the Fund at the beginning of the fourth quarter due to the Fund’s long positions in the U.S. dollar versus the British pound and the Canadian dollar. Profits continued to be posted to the Fund mid-quarter in lieu of a volatile market. Currency markets were more erratic in December, with certain pairs reversing recent trends such as the British pound versus the Euro which caused a reduction in profits and losses in this sector.

The metals sector posted profits for the Fund. Profits were posted to the Fund at the beginning of the year. The Fund’s long positions in precious metals accounted for much of the gains posted for the Fund in the middle of the quarter. The Fund struggled in the final weeks of the first quarter with losses posted for the Fund from precious metals by the subsequent largest one day drop in gold since 1981. Losses were posted to the Fund at the beginning of the second quarter as trends in the markets ebbed and flowed. Gold resumed its uptrend mid-quarter as did a number of base metals posting profits to the Fund through the end of the second quarter. Losses were posted to the Fund at the

beginning through the middle of the third quarter as precious metals slipped under downward pressure. Profits were posted to the Fund at the end of the quarter in lieu of the global market volatility. Profits continued to be posted to the Fund at the beginning through the middle of the fourth quarter as gold prices were up in November. A small loss was posted to the Fund at the end of the year due to the volatility in the global markets.

The agriculture sector posted profits for the Fund. Profits were posted for the Fund at the beginning of the first quarter through the middle of the quarter due to the Fund’s long positions in the sector. The reversal of the recent up trends in grains caused losses being posted for the Fund at the end of the first quarter. Profits were posted for the Fund at the beginning of the second quarter as grains were the top performer for the sector. Losses were posted to the Fund mid-quarter as grains were mixed, tending to net off against each other. Due to the escalation of grain prices profits were posted to the Fund at the end of the quarter. Losses were posted to the Fund at the beginning through the middle of the third quarter as grains sectors experienced dramatic price fluctuations. In the grain sector both corn and the soy complex fell significantly. Losses were posted to the Fund at the end of the third quarter due to the extreme volatility in the market. The year ended with profits being posted to the Fund in November only due to extreme global market volatility.

December 31, 2007

	Total Trading
	Profit (Loss)
Interest Rates	$	27,987,381
Agricultural	22,980,789
Currencies	22,469,708
Energy	12,855,981
Metals	2,040,598
Stock Indices	(4,200,844		)
	84,133,613
Change in Brokerage Commission Payable	(10,617		)
	$	84,122,996

The Fund posted gains for the year with the interest rates, agricultural, currencies, energy, and metals sectors posting gains while the stock indices posted losses.

The interest rates sector posted profits for the Fund. The year began with gains being posted to the Fund in connection with an increase in the United Kingdom interest rates by the Monetary Policy Committee which led to a strong performance in the short term interest rate positions. However, mid-quarter through the end of the first quarter the sector posted losses for the Fund due to high levels of market volatility. A growing appetite for risk mid-year led to an increase demand not only for stocks across the globe, but also fed through into the fixed income markets, as bonds sold off and short term interest rate expectations increased in both the United States and Europe. Strong returns were also posted to the Fund in the fixed income markets as both short and long term interest rate expectations rose. Profits continued through the middle of the third quarter due to the net long positions in the short term interest rate. However, at the end of the third quarter losses were posted for the Fund due to a number of small losses in short rates which contributed to an overall modest loss. Further credit market problems, a continued housing slow down and increased expectation of further rate cuts from the United States Federal Reserve resulted in U.S. treasuries rallying with the Fund posting strong gains in bonds and short term interest rates in November. This was reversed at year’s end as losses were posted to the Fund due to global bond markets selling off strongly in part to the strong U.S. economic data and also as a result of the Federal Reserve decision to cut rates by twenty five basis points and not by fifty, which some in the market had expected.

The agricultural sector posted profits for the Fund. The agriculture market was soft which attributed to the difficult trading environment resulting in the Fund posting overall losses at the beginning of the year. However, losses were offset with gains being posted for the Fund mid-quarter through the end of the second quarter. Gains continued to be posted for the Fund mid-quarter through the end of the third quarter as the grain markets outperformed due to global supply constraints supported rising commodity prices. Due to the strong grain markets, the year ended with gains being posted to the Fund.

The currency sector posted profits for the Fund. The year began with gains being posted to the Fund which were offset with losses mid-quarter through the end of the first quarter.

The strength in both the Euro and British Pounds currencies were the main drivers behind profits being posted to the Fund which continued through the second quarter. Also, market volatility increased at the end of the second quarter leading to strong returns in the currencies markets. In the third quarter the currencies sector posted losses to the Fund due to significant volatility in the market. The New Zealand dollar and the Australian dollar in particular were under severe pressure which produced losses being posted for the Fund at the beginning of the third through the middle of the third quarter. However, the quarter ended with profits being posted to the Fund due to the continued weakness in the U.S. dollar which led to strong gains in the currencies sector. The continuing weakening of the U.S. dollar was the dominating theme in the currency markets for October. This led to strong gains in both the Euro and British Pounds positions. The fourth quarter ended with losses being posted for the Fund due to market volatility.

The energy sector posted profits for the Fund. In a continuation of the priced action occurring at the end of 2006, the rise in the U.S. equity markets and the decline in crude oil prices led to significant gains at the beginning of the year. However, losses were posted mid-quarter through the end of the first quarter due to volatility in the market. Profits were posted at the beginning through the middle of the second quarter only to be offset at quarter’s end due to the difficulty in trading because of weather conditions and geopolitical pressure. Profits were posted for the Fund at the beginning of the third quarter and at the end due to purchases of crude oil and derived fuels. Strong gains were posted for the Fund in October due a 17% rally in crude oil. Profits continued to be posted for the Fund through the end of the year.

The metals sector posted profits for the Fund. Profits were generated the middle part of the first quarter which offset losses posted for the Fund at the beginning of the year. Profits continued to be posted for the Fund at the beginning of the second quarter as metals benefited from the re-emergence of stable trends as prices driven by tightening fundamentals and demand growth rallied. Mid-quarter prices were driven down due to profit taking and concerns over the strength of future Chinese demand. The quarter ended with losses due to supply tightness and bouts of increased risk aversion. Gold rallied 6% in October which ensured strong performances in precious metals posting profits for the Fund. Profits continued to be posted for the Fund as the year ended.

The stock indices posted losses for the Fund. Profits were posted for the Fund at the beginning of the year due to the rise in the U.S. equity markets The steady gains made through the middle part of the first quarter were erased in several volatile trading sessions as a sharp drop in the Chinese stock market sparked a sell off in global equities which fed through into the fixed income markets. The first quarter ended as high levels of market volatility together with increased correlation across asset classes posted losses for the Fund. A recovery in global equity markets at the beginning of the second quarter was one of the main drivers in strong gains being posted for the Fund. Equity markets continued to rally posting profits for the Fund mid-quarter through the end of the second quarter due to a combination of merger and acquisition activity and a growing appetite for risk led to an increased demand for stocks across the globe. However, losses were posted to the Fund at the beginning of the third quarter as investors began scaling back risk tolerance which led to a 3.6% drop in the Standard and Poors 500 Index. The stock market was distinguished by increasing risk awareness and aversion as financial stocks had an especially difficult time due to uncertainties of potential sub-prime related losses. The fourth quarter ended with losses being posted for the Fund.

December 31, 2006

	Total Trading
	Profit (Loss)

Stock Indices	$	21,154,405
Currencies	16,389,622
Metals	12,195,775
Agricultural Commodities	(4,398,858		)
Energy	(4,946,763		)
Interest Rates	(10,337,684		)
Total	30,056,497
Change in Brokerage Commission Payable	(73,672		)
	$	29,982,825

The Fund posted gains for the year with stock indices, currencies and the metals sectors posting gains while agricultural commodities, energy and interest rates sectors posted losses.

Stock indices were the most profitable for the Fund. The year began with higher equity and lower fixed income prices due to better than expected sentiment indicators and company earnings reports. Equity markets continued through the first quarter with their bullish run, with the European bourses leading the charge. A combination of strong corporate earnings and solid consumer demand led to several indices posting four to five year highs. The disappointing U.S. retail sales and consumer price figures coupled with a bout of profit taking led to a somewhat exaggerated spike in fixed income markets. However, this was steadily erased by the continuation of the drift down in bond prices as a subsequent succession of stronger than expected consumer confidence indicators which led to increased expectations of a lengthening cycle of the U.S. Federal interest rate rises. Mid-year Far East indices were pushed higher driven by the inflow of new domestic investment linked with the beginning of the financial year. Having reached local highs, global equity markets tumbled sharply and stocks rallied due to the U.S. Federal Reserve comments, that an end of the rate-hike cycle environment would lift the damper on growth. Global markets traded in a relatively low volume environment towards the end of the year with short term price volatility continuing to create periods of intense activity. The year ended with significant gains produced in the equity sector primarily due to intra month volatility. Despite the strong October, rally in stock, the main indices were able to hold onto these gains as investors continued to support the market after periods of falling prices, which led to short term volatility which was exacerbated by the serious weakening in the U.S. dollar.

The currency sector posted profits for the Fund. Currencies remained mostly without direction throughout the beginning of the year as financial markets were somewhat range bound with foreign exchange markets in particular enjoying a period of relative calm. The long awaited breaching of the 116 level in the U.S. dollar/Japanese yen led to some volatile price action mid-year as the Japanese yen began to strengthen, heading towards a 113 handle as speculators and domestic end-users repositioned themselves accordingly. There was also a sharp sell-off seen in several emerging market currencies as the market activity declined due to recent increase in volatility in global financial markets which led to risk reduction in portfolios across the board. The weakening Japanese industrial production and lower retail sales data also assisted the strong gains in fixed income as Japanese bonds surged. Fixed income returns were further bolstered as U.S. and European bonds moved higher. The ongoing backdrop of the Chinese stance towards its currency bands came to the forefront which led to some short term volatility in the Japanese yen valuations. Currency markets dominated activity the end of the year, as the U.S. dollar came under significant pressure. A steady flow of disappointing economic data led to concerns over a U.S. economic slowdown and the prospects of a further US. Federal rate hike became more remote. Foreign exchange volatility increased with the euro leading the charge against the U.S. dollar the resulting market reaction was to push the euro to a 20 month high, while the British sterling rose to its highest level against the U.S. dollar for more than 14 years.

The metals sector also posted profits for the Fund. Base metal prices were bolstered by continuing demand from China’s expanding economy and short covering ahead of the Chinese New Year. Both aluminum and zinc reached all time highs beginning of the year as precious metals and energies endured a volatile period on the Iran/U.S./Europe “nuclear standoff”, with gold reaching a 25 year high and silver continuing to surge upwards posting a 22 year high. Large gains continued to be posted mid-year in both the base and precious metal markets. As prices

surged higher, there were some predictable bouts of profit taking, but the overall upward trend still remained strong. Headline grabbing moves was the equity market sell-off and the continued surge in base metal markets. However, the prevailing mood in the markets turned negative during several trading sessions. This was led by the sudden pull back in base metals, with copper generating much of the momentum. Having rallied 23% in eight trading sessions, bouts of profit taking led to growing concern of price exuberance and copper proceeded to decline by around 12% in a week. This volatility unnerved many investors and affected other metal markets. This coincided with a growing concern that the U.S. Federal Reserve would continue to raise short term rates, as inflationary fears mounted. As a result, the equity positions suffered across all geographical sectors, wherein the long metals positions posted strong gains despite the intra month price volatility. Base metals continued to exhibit significant short term price swings at the end of the year as trading volumes weakened. Gains were posted as nickel prices reached their highest level in 19 years on speculation that global inventories will be eroded by rising demand from makers of stainless steel and precious metals declined across the board with gold down 5% and silver falling 12%. The year ended with base metals taking a backseat with the high volatility seen in recent months replaced by a steadier gradual increase in prices, while gold and silver reported strong increases of 6% and 13% respectively as the weak U.S. dollar contributed to higher prices in these generally safe commodities.

The agricultural sector posted losses for the Fund. The agricultural market was soft which attributed to the difficult trading environment resulting in the Fund posting losses for the sector.

The energy sector posted losses for the Fund. The beginning of the year the energy sector endured a very volatile period partly resulting from the Iran/U.S./Europe “nuclear standoff”. This also forced the sector into a period of increased volatility, as both military and terrorist activities in the key energy production areas led to rising energy prices. Prices fell at the end of the year due to the news that British Petroleum would drop plans to shut the largest U.S. oil field and also tropical storm Ernesto veered away from the Gulf of Mexico. A combination of factors, including the calming of the situation in the Middle East and growing levels of inventories, led to a strong decline in the price of oil trading below the $60 level for the first time since March of 2006. The year ended with a slide in energy prices, with crude oil down 5.3% and heating oil down 12.1%.

The interest rate sector was the least profitable for the Fund. Gains were made in short end rates the beginning of the year due to the on-going strength of the U.S. economy which led to a flattening of the yield curve. Expectations of further European Central Bank rate hikes led to a twenty basis point decline in Euribor futures which proved to be the main profit driver in the interest rate sector. Gains were also recorded in the fixed income markets, as they continued to sell off during mid-year which was driven by the continued strength of the U.S. economy. A succession of solid economic data releases underpinned this price action and short end U.S. interest rates were pushed higher as traders became more hawkish. However, in Europe there was more stability in rates as the front end of the yield curve held firm. Bond markets rallied as investors’ “flight to quality” took hold; although this was then counteracted by growing inflationary fears leading to a stalemate at the longer end of the curve. Negative returns for the fourth quarter were largely driven by the Federal Open Market Committee decision, which delivered the anticipated 25 basis point increase in rates along with dovish comments, suggesting economic growth in the U.S. has been slowing. The Fund returned all profits in the sector during the month of December amid uncertain market conditions. This increase in the uncertainty forced many market participants to reduce positions and wait for the dust to settle before re-entering the market. The year ended as the growing perception that the interest rate cycle has turned in the U.S. was the dominant theme as the year ended which was driven by the slowing U.S. housing market and the ensuing drag on consumer spending.

Variables Affecting Performance

The principal variables that determine the net performance of the Fund are gross profitability from the Fund’s trading activities and interest income.

During all periods set forth above “Selected Financial Data”, the interest rates in many countries were at unusually low levels. The low interest rates in the United States negatively impacted revenues because interest income is typically a major component of the Fund’s profitability. In addition, low interest rates are frequently associated with reduced fixed income market volatility, and in static markets the Fund’s profit potential generally tends

to be diminished. On the other hand, during periods of higher interest rates, the relative attractiveness of a high risk investment such as the Fund may be reduced as compared to high yielding and much lower risk fixed-income investments.

The Fund’s Management fees and Sponsor Fees are a constant percentage of the Fund’s assets. Brokerage Commissions, which are not based on a percentage of the Fund’s assets, are based on actual round turns. Performance fees payable to Winton and MLAI are based on the new Trading Profits generated by the Fund excluding interest and after reduction of the Brokerage Commissions.

Unlike many investment fields, there is no meaningful distinction in the operation of the Fund between realized and unrealized profits. Most of the contracts traded by the Fund are highly liquid and can be closed out at any time.

Except in unusual circumstances, factors—regulatory approvals, cost of goods sold, employee relations and the like—which often materially affect an operating business have no material impact on the Fund.

Liquidity; 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 generally increases. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.

Because substantially all of the Fund’s assets are held in cash, the Fund should be able to close out any or all of its open trading positions and liquidate any or all of its securities holdings quickly and at market prices, except in very unusual circumstances. This permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so. In addition, because there is a readily available market value for the Fund’s positions and assets, the Fund’s monthly Net Asset Value calculations are precise, and investors need to provide ten business days notice to receive the full redemption proceeds of their Units on the last business day of any month.

(The Fund has no applicable off-balance sheet arrangements or contractual obligations and tabular disclosures of the type described in Items 3.03(a)(4) and 3.03(a)(5) of Regulation S-K.)

Item 7A: 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 Winton, 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 statement” within the meaning of the safe harbor form 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 and Section 21E of the Securities Exchange Act of 1934). 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 Winton is quantified below in terms of Value at Risk. Due to the Fund’s mark-to-market 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 (at least 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 periods. During the years ended December 31, 2008, 2007 and 2006, the Fund’s average month-end Net Asset Value for all other purposes was $725,896,624, $487,404,368 and $216,130,543, respectively.

December 31, 2008

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	1,555,708	0.21	%	$	3,763,862	$	135,712
Currencies/FX	4,584,934		0.63	%	10,325,792		348,541
Energy	1,633,598		0.23	%	4,313,519		183,431
Interest Rates	26,875,457		3.70	%	39,784,252		17,648,522
Metals	1,030,926		0.14	%	2,479,475		16,372
Stock Indices	2,585,955		0.36	%	10,586,469		95,514

TOTAL	$	38,266,578	5.27	%	$	71,253,369	$	18,428,092

December 31, 2007

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	746,897	0.15	%	$	1,816,968	$	33,930
Currencies/FX	3,442,041		0.71	%	7,026,378		293,029
Energy	493,022		0.10	%	1,349,934		57,256
Interest Rates	34,357,195		7.05	%	58,968,343		19,875,531
Metals	584,155		0.12	%	1,163,017		227,208
Stock Indices	2,431,704		0.50	%	4,289,811		568,124

TOTAL	$	42,055,014	8.63	%	$	74,614,450	$	21,055,077

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

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 the approximately 90%-95% 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. This cash flow risk is immaterial.

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 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 Winton 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, and 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, 2008, by market sector.

Interest Rates.

Interest rate risk is the principal market exposure of the Fund. 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 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 also takes positions in the government debt of smaller nations e.g., Australia. 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. 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 both 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, grains, livestock, cotton, corn and coffee accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of December 31, 2008.

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 and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of December 31, 2008.

Foreign Currency Balances.

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

U.S. Dollar Cash Balance.

The Fund holds U.S. dollars only in cash at MLPF&S. 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 they will, in fact, succeed in doing so. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Winton to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that Winton has begun to deviate from past practice and trading policies or to be trading erratically, MLAI’s basic control procedures consist of simply of ongoing process of monitoring Winton with the market risk controls being applied by Winton.

Risk Management

Winton attempts to control risk in all aspects of Winton’s investment process — from confirmation of a trend to determining the optimal exposure in a given market, and to money management issues such as the startup or upgrade of investor accounts. Winton double checks the accuracy of market data, and will not trade a market without multiple price sources for analytical input. In constructing a portfolio, Winton seeks to control overall risk as well as the risk of any one position, and Winton trades only markets that have been identified as having positive performance characteristics. Trading discipline requires plans for the exit of a market as well as for entry. Winton factors the point of exit into the decision to enter (stop loss). The size of Winton’s positions in a particular market is not a matter of how large a return can be generated but of how much risk it is willing to take relative to that expected return.

To attempt to reduce the risk of volatility while maintaining the potential for excellent performance, proprietary research is conducted on an ongoing basis to refine the Winton investment strategies. Research may suggest substitution of alternative investment methodologies with respect to particular contracts; this may occur, for example, when the testing of a new methodology has indicated that its use might have resulted in different historical performance. In addition, risk management research and analysis may suggest modifications regarding the relative weighting among various contracts, the addition or deletion of particular contracts for a program, or a change in position size in relation to account equity. The weighting of capital committed to various markets in the investment programs is dynamic, and Winton may vary the weighting at its discretion as market conditions, liquidity, position limit considerations and other factors warrant.

Winton may determine that risks arise when markets are illiquid or erratic, which may occur cyclically during holiday seasons, or on the basis of irregularly occurring market events. In such cases, Winton at its sole discretion may override computer-generated signals and may at times use discretion in the application of its quantitative models, which may affect performance positively or negatively.

Adjustments in position size in relation to account equity have been and continue to be an integral part of Winton’s investment strategy. At its discretion, Winton may adjust the size of a position in relation to equity in certain markets or entire programs. Such adjustments may be made at certain times for some programs but not for others. Factors which may affect the decision to adjust the size of a position in relation to account equity include ongoing research, program volatility, assessments of current market volatility and risk exposure, subjective judgment, and evaluation of these and other general market conditions.

Non-Trading Risk

The Fund controls the non-trading exchange rate risk by regularly converting foreign 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 8: Financial Statements and Supplementary Data

Net Income (Loss) per quarter

Eight quarters through December 31, 2008

	Fourth		Third			Second		First		Fourth		Third		Second		First
	Quarter		Quarter			Quarter		Quarter		Quarter		Quarter		Quarter		Quarter
	2008		2008			2008		2008		2007		2007		2007		2007
Total Income (Loss)	$	102,008,626	$	(55,832,516	)	$	54,559,292	$	86,590,021	$	39,133,610	$	32,557,515	$	59,216,727	$	(22,218,445	)
Total Expenses	26,423,040		(5,615,460		)	15,604,319		21,143,974		11,053,977		9,391,617		8,820,169		3,616,498
Net Income (Loss)	$	75,585,586	$	(50,217,056	)	$	38,954,973	$	65,446,047	$	28,079,633	$	23,165,898	$	50,396,558	$	(25,834,943	)

Net Income (Loss) per weighted average Unit (a)	$	0.1433	$	(0.0965	)	$	0.0804	$	0.1406	$	0.0605	$	0.0483	$	0.1282	$	(0.0844	)

(a) The Net Income (Loss) per weighted average Unit is based on the weighted average of the total Units for each quarter.

The financial statements required by this Item are included in Exhibit 13.01.

The supplementary financial information specified by Item 302 of Regulation S-K is not applicable.

Item 9: Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

There were no changes in or disagreements with the Fund’s independent registered public accounting firm on accounting and financial disclosure.

Item 9A(T): Controls and Procedures

MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Fund as of and for the year which ended December 31, 2008, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. Additionally, there were no significant changes in the Fund’s internal controls over financial reporting which materially affect such internal control.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (as defined in Rule 13a-15(f) under the Exchange Act ) occurred during the year ended December 31, 2008 that has materially affected, or is reasonable likely to materially affect, the Fund’s internal control, over financial reporting.

Management’s Report on Internal Control over Financial Reporting:

The Fund’s management is responsible for establishing and maintaining adequate internal control over financial reporting. The Fund’s internal control over financial reporting is a process designed under the supervision of MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund and is effected by management, other personnel and service providers to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles and included those policy and procedures that:

· Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Fund.

· Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Fund are being made only in accordance with authorizations of management and directors of the Fund; and

· Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisitions, use or disposition of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation and presentation. Projections of any evaluation of effectiveness to future periods are subject to the risks that controls may become inadequate because of changes in condition, or that the degree of compliance with the policies or procedures may deteriorate.

The Fund’s management assessed the effectiveness of the Funds’ internal control over financial reporting at December 31, 2008. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in “Internal Control-Integrated Framework”.

Based on its assessment the Fund’s management concluded that at December 31, 2008, the Fund’s internal control over financial report was effective.

This annual report does not include an attestation report of the Fund’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Fund’s registered public accounting firm pursuant to temporary rules of the Securities and Exchange Commission that permit the Fund to provide only management’s report for this annual report.

Item 9B: Other Information

Not applicable.

PART III

Item 10: Directors, Executive Officers and Corporate Governance

10(a) and 10(b) Identification of Directors and Executive Officers:

As a limited liability company, the Fund has no officers or directors and is managed by MLAI. Trading decisions are made by Winton on behalf of the Fund.

The managers and executive officers of MLAI and their respective business backgrounds are as follows:

Paul Morton		Chief Executive Officer, President and Manager

Barbra E. Kocsis		Chief Financial Officer

Thomas W. Lee		Vice President and Manager

Justin C. Ferri		Vice President and Manager

Paul Morton is the Chief Executive Officer, President, and Manager of MLAI. He also serves as the Chief Operating Officer for the Global Investment and Insurance Solutions (GIIS) group for Merrill Lynch. As Chief Operating Officer of GIIS, Mr. Morton leads the market investments business within the group, which includes secondary equity, debt, listed options, futures and FX for Merrill Lynch’s Global Wealth Management division. Prior to serving as Chief Operating Officer of GIIS, Mr. Morton worked in the equity and debt trading management of Merrill Lynch. Prior to joining Merrill Lynch in 1996, Mr. Morton worked in the equity derivatives at Paine Webber. From 1988-1993, Mr. Morton served as an officer in the US Army for five years. Mr. Morton holds a BS (Aerospace Engineering) from the United States Military Academy at West Point (1988) and a MBA (Finance) from the Wharton School at the University of Pennsylvania (1995).

Barbra E. Kocsis is Chief Financial Officer for MLAI. She is also a Director within the Merrill Lynch Global Private Client Global Infrastructure Solutions group. Prior to that, she was the Fund Controller of MLAI. Before coming to MLAI, Ms Kocsis held various accounting and tax positions at Derivatives Portfolio Management LLC from May 1992 until May 1999, at which time she held the position of accounting director. Prior to that, she was an associate at Coopers & Lybrand in both the audit and tax practices. She graduated cum laude from Monmouth College in 1988 with a Bachelor of Science in Business Administration — Accounting.

Thomas W. Lee is Vice President and Manager of MLAI. He is also a Managing Director in Merrill Lynch’s Market Investments and Origination Group, responsible for Global Private Client’s equity and debt new issue businesses, and is a Vice President and Manager of the Manager, and his registration as a principal of the Manager is pending with NFA. Prior to joining Merrill Lynch in 1998, Mr. Lee was a corporate securities attorney at the law firm of Brown & Wood. Mr. Lee received his J.D. from Emory University School of Law and a B.S. from Cornell University.

Justin C. Ferri is Vice President and Manager of MLAI. He is also a Managing Director within the MLPF&S Structured and Alternative Solutions (SAS) group and is a Vice President of IQ Investment Advisors LLC. Prior to his role in SAS, Mr. Ferri was a Director in the MLPF&S Global Private Client Market Investments & Origination group, and before that, he served as a Vice President and Head of Global Private Client Rampart Equity Derivatives group. Prior to joining Merrill Lynch in 2002, Mr. Ferri was a Vice President within the Quantitative Development group of MPower Advisors LLC from 1999 to 2002. He graduated with a Bachelor of Arts Degree from Loyola College in Baltimore, Maryland.

MLAI acts as the sponsor, general partner or manager to seven public futures funds whose units of limited partner or member interests are registered under the Securities Exchange Act of 1934: ML Apect Futures Access LLC, ML Select Futures I L.P., ML Systematic Momentum FuturesAccess LLC, Systematic Momentum FuturesAccess II LLC, ML Transtrend DTP Enhanced FuturesAccess LLC, ML Trend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAI serves as the sole sponsor, general partner or manager of each of these funds, the officers and managers of MLAI effectively manage them as officers and directors of such funds.

None.

(d) Family Relationships:

None.

(e) Business Experience:

See Item 10(a) and (b) above.

(f) Involvement in Certain Legal Proceedings:

None.

(g) Promoters and Control Persons:

Not applicable.

Section 16(a) Beneficial Ownership Reporting Compliance:

Not applicable.

Code of Ethics:

MLAI and Merrill Lynch have adopted a code of ethics which applies to the Fund’s (MLAI’s) principal executive officer and principal financial officer or persons performing similar functions on behalf of the Fund. A copy of the code of ethics is available to any person, without charge, upon request by calling 1-866-MER-ALTS.

Nominating Committee:

Not applicable. (Neither the Fund nor MLAI has a nominating committee.)

Audit Committee; Audit Committee Financial Expert:

Not applicable. (Neither the Fund nor MLAI has an audit committee. There are no listed shares of the Fund or MLAI.)

Item 11: Executive Compensation

The managers and officers of MLAI are remunerated by Merrill Lynch in their respective positions. The Fund does not itself have any officers, managers or employees. The Fund pays Brokerage Commissions to an affiliate of MLAI and Sponsor Fees to MLAI. MLAI or its affiliates may also receive certain economic benefits from possession of the Fund’s U.S. dollar assets. The managers and officers receive no “other compensation” from the Fund, and the managers receive no compensation for serving as managers of MLAI. There are no compensation plans or arrangements relating to a change in control of either the Fund or MLAI.

Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

(a) Security Ownership of Certain Beneficial Owners:

Not applicable. (The Units represent limited liability company interests. The Fund is managed by its Manager, MLAI.)

(b) Security Ownership of Management:

As of December 31, 2008, MLAI owned 19,470 Unit-equivalent member interests, which constituted ..0039% of the total Units outstanding, and Winton did not own any Units.

c) Changes in Control:

None.

(d) Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

Item 13: Certain Relationships and Related Transactions and Director Independence

(a) Transactions between Merrill Lynch and the Fund

Some of the service providers to the Fund are affiliates of Merrill Lynch. However, none of the fees paid by the Fund to such Merrill Lynch affiliates were negotiated and such fees charged to the Fund might be higher than would have been obtained in arms-length negotiations.

The Fund pays MLAI and MLPF&S Brokerage Commissions, Sponsor Fees, and Management fees as well as bid-ask spreads on forward currency trades. The Fund also pays MLPF&S interest on short-term loans extended by MLPF&S to cover losses on foreign currency positions.

Within the Merrill Lynch organization, MLAI is the beneficiary of the revenues received by different Merrill Lynch entities from the Fund. MLAI controls the management of the Fund and serves as its promoter. Although MLAI has not sold any assets, directly or indirectly, to the Fund, MLAI makes substantial profits from the Fund due to the foregoing revenues.

No loans have been, are or will be outstanding between MLAI or any of its principals and the Fund.

MLAI pays substantial selling commissions and trailing commissions to MLPF&S for distributing the Units. MLAI is ultimately paid back for these expenditures from the revenues it receives from the Fund.

(b) Certain Business Relationships:

MLPF&S, an affiliate of MLAI, acts as the principal commodity broker for the Fund.

In 2008, the Fund expensed: (i) Brokerage Commissions of $1,087,424 to MLPF&S, $14,943,538 in management fees earned by Winton and MLAI; and (ii) Sponsor Fees of $10,272,451. In addition, MLAI and its affiliates may have derived certain economic benefits from possession of a portion of the Fund’s assets, as well as from foreign exchange and EFP trading.

See Item 1(c), “Narrative Description of Business — Charges” and “— Description of Current Charges” for a discussion of other business dealings between MLAI affiliates and the Fund.

None.

(d) Transactions with Promoters:

Not applicable.

(e) Director Independence:

No person who served as a manager of MLAI during 2008 would be considered independent (based on the definition of an independent director under the NASDAQ rules).

Item 14: Principal Accountant Fees and Services

(a) Audit Fees

Aggregate fees billed for professional services rendered by Deloitte & Touche LLP in connection with the audit of the Fund’s financial statements as of and for the years ended December 31, 2008 and 2007 were $55,500 and $55,500, respectively.

(b) Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, 2008 and 2007 related to the Fund.

Aggregate fees billed for professional services rendered by Deloitte Tax LLP, or any member firms of Deloitte Touche Tohmatsu and their respective affiliates in connection with the tax compliance, advice and preparation of the Fund’s tax returns for the years ended December 31, 2008 and 2007 were $72,000 and $72,000, respectively.

(d) All Other Fees

No fees were billed by Deloitte & Touche LLP, Deloitte Tax LLP, or any member firms of Deloitte Touche Tohmatsu and their respective affiliates during the years ended December 31, 2008 and 2007 for any other professional services in relation to the Fund.

Neither the Fund nor MLAI has an audit committee to pre-approve principal accountant fees and services. In lieu of an audit committee, the managers and the principal financial officer pre-approve all billings prior to the commencement of services.

PART IV

Item 15: Exhibits and Financial Statement Schedules

1.	Financial Statements (found in Exhibit 13.01):	Page:

	Report of Independent Registered Public Accounting Firm	1

	Statements of Financial Condition as of December 31, 2008 and 2007	2

	Statements of Operations for the years ended December 31, 2008, 2007 and 2006	3

	Statements of Changes in Members’ Capital for the years ended December 31, 2008, 2007 and 2006	4

	Financial Data Highlights for the years ended December 31, 2008, 2007 and 2006	6

	Notes to Financial Statements	9

2.	Financial Statement Schedules:

	Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial statements or notes thereto.

3.	Exhibits:

	The following exhibits are incorporated by reference or are filed herewith to this Annual Report on Form 10-K:

Designation		Description

3.01		Certificate of Formation of ML Winton FuturesAccess LLC.

Exhibit 3.01:		Is incorporated by reference from Exhibit 3.01 contained in the Registration Statement on Form 10 (File No. 000-51084) under the Securities Exchange Act of 1934, filed on December 20, 2004 (the “Registrant’s Initial Registration Statement”).

3.02		Limited Liability Company Operating Agreement of ML Winton Futures Access LLC.

Exhibit 3.02:		Is incorporated by reference from Exhibit 3.02 contained in the Registrant’s Initial Registration Statement.

10.01		Customer Agreement between ML Winton FuturesAccess LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated.

Exhibit 10.01:		Is incorporated by reference from Exhibit 10.01 contained in Amendment No. 2 to the Registrant’s Registration Statement on Form 10 (File No. 000-51084) under the Securities Exchange Act, filed on February 5, 2009.

10.02		Advisory Agreement by and among ML Winton FuturesAccess LLC, Winton FuturesAccess Ltd., Winton Capital Management Ltd., and Merrill Lynch Alternative Investments LLC.

Exhibit 10.02:		Is incorporated by reference from Exhibit 10.02 contained in the Registrant’s Initial Registration Statement.

13.01		2008 Annual Report and Report of Independent Registered Public Accounting Firm.

Exhibit 13.01:		Is filed herewith.

31.01 and 31.02		Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01 and 31.02:		Are filed herewith.

32.01 and 32.02		Section 1350 Certifications

Exhibit 32.01 and 32.02:		Are filed herewith.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

ML WINTON FUTURESACCESS LLC

By:	MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC MANAGER

By:	/s/Paul Morton
Paul Morton
Chief Executive Officer, President and Manager
(Principal Executive Officer)

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, this report has been signed on March 31, 2009 by the following persons on behalf of the Registrant and in the capacities indicated.

Signature	Title	Date

/s/ Paul Morton	Chief Executive Officer, President and Manager	March 31, 2009
Paul Morton

/s/ Barbra E. Kocsis	Chief Financial Officer	March 31, 2009
Barbra E. Kocsis	(Principal Financial and Accounting Officer)

/s/ Thomas W. Lee	Vice President and Manager	March 31, 2009
Thomas W. Lee

/s/ Justin C. Ferri	Vice President and Manager	March 31, 2009
Justin C. Ferri

(Being the principal executive officer, the principal financial and accounting officer and a majority of the managers of Merrill Lynch Alternative Investments LLC)

ML WINTON FUTURESACCESS LLC

2008 FORM 10-K

INDEX TO EXHIBITS

Exhibit

Exhibit 13.01		2008 Annual Report and Report of Independent Registered Public Accounting Firm

Exhibit 31.01 and 31.02		Rule 13a - 14(a) / 15d - 14(a) Certifications

Exhibit 32.01 and 32.02		Sections 1350 Certifications

EX-13.01 2 a09-5780_3ex13d01.htm EX-13.01

Exhibit 13.01

*ML WINTON FUTURESACCESS LLC*
*(A Delaware Limited Liability Company)*

		Financial Statements for the years ended
		December 31, 2008, 2007 and 2006
		and Report of Independent Registered Public Accounting Firm

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1

FINANCIAL STATEMENTS:

Statements of Financial Condition as of December 31, 2008 and 2007	2

Statements of Operations for the years ended December 31, 2008, 2007 and 2006	3

Statements of Changes in Members’ Capital for the years ended December 31, 2008, 2007 and 2006	4

Financial Data Highlights for the years ended December 31, 2008, 2007 and 2006	6

Notes to Financial Statements	9

Deloitte & Touche LLP

Two World Financial Center

New York, NY 10281-1414

USA

Tel: +1 212 436 2000

www.deloitte.com

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Members of

ML Winton FuturesAccess LLC:

We have audited the accompanying statements of financial condition of ML Winton FuturesAccess LLC (the “Fund”), as of December 31, 2008 and 2007, and the related statements of operations, changes in members’ capital, and the financial data highlights for each of the three years in the period ended December 31, 2008. These financial statements and financial data highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial data highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial data highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the financial position of ML Winton FuturesAccess LLC as of December 31, 2008 and 2007, the results of its operations, changes in its members’ capital, and the financial data highlights for each of the three years in the period ended December 31, 2008, in conformity with accounting principles generally accepted in the United States of America.

March 30, 2009

	A member firm of
	Deloitte Touche Tohmatsu

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2008 and 2007

	2008		2007
ASSETS:
Equity in commodity futures trading accounts:
Cash (including restricted cash of $40,230,744 for 2008 and $51,742,673 for 2007)	$	849,579,676	$	619,663,052
Net unrealized profit on open contracts	14,731,114		7,934,149
Cash	163,743		—
Accrued interest	39,428		2,238,652

TOTAL ASSETS	$	864,513,961	$	629,835,853

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	89,151	$	184,272
Management fee payable	1,400,958		986,432
Sponsor fee payable	902,258		724,472
Redemptions payable	27,903,546		6,907,980
Perfomance fee payable	29,843,518		13,693,607
Initial offering costs payable	58,993		106,994
Other	326,977		184,407

Total liabilities	60,525,401		22,788,164

MEMBERS’ CAPITAL:
Sponsor’s Interest (19,470 Units and 19,470 Units)	31,415		26,449
Members’ Interest (500,089,110 Units and 452,040,928 Units)	803,957,145		607,021,240
Total members’ capital	803,988,560		607,047,689

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	864,513,961	$	629,835,853

NET ASSET VALUE PER UNIT (SEE NOTE 6)

(Based on 500,108,580 and 452,060,398 Units outstanding, unlimited Units authorized)

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006

	2008			2007			2006
TRADING PROFIT (LOSS):

Realized	$	168,699,930		$	89,611,147		$	22,914,555
Change in unrealized	6,796,965			(3,491,204		)	8,672,148
Brokerage commissions	(1,087,424		)	(1,996,947		)	(1,603,878		)

Total trading profit (loss)	174,409,471			84,122,996			29,982,825

INVESTMENT INCOME:
Interest	12,915,952			24,566,411			10,650,742

EXPENSES:
Management fee	14,943,538			9,953,107			4,555,234
Sponsor fee	10,272,451			7,766,920			4,248,731
Performance fee	30,491,051			14,101,642			5,417,903
Other	1,848,834			1,060,592			996,583
Total expenses	57,555,874			32,882,261			15,218,451

NET INVESTMENT LOSS	(44,639,922		)	(8,315,850		)	(4,567,709		)

NET INCOME (LOSS)	$	129,769,549		$	75,807,146		$	25,415,116

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	45,671,837			38,654,024			25,243,561
Class C	228,198,956			209,605,792			123,144,172
Class D	84,449,914			66,453,273			26,745,338
Class I	41,268,952			37,583,741			25,587,259
Class DS*	38,738,811			11,479,777
Class DT**	61,195,917			85,438,228

Net income (loss) per weighted average Unit
Class A	$	0.2623		$	0.1769		$	0.1411
Class C	$	0.2389		$	0.1652		$	0.1249
Class D	$	0.2646		$	0.1936		$	0.1029
Class I	$	0.2784		$	0.1850		$	0.1455
Class DS*	$	0.2676		$	0.2436
Class DT**	$	0.3117		$	0.1372

*Class DS was previously known as Class D-SM. Units issued on April 2, 2007.

**Class DT was previously known as Class D-TF. Units issued on June 1, 2007.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006

	Members’ Capital				Members’ Capital				Members’ Capital				Members’ Capital
	December 31, 2005	Subscriptions	Redemptions		December 31, 2006	Subscriptions	Redemptions		December 31, 2007	Subscriptions	Redemptions		December 31, 2008
Class A	15,522,119	19,717,183	(3,192,816	)	32,046,486	15,602,742	(7,541,173	)	40,108,055	17,386,886	(11,645,525	)	45,849,416
Class C	62,583,887	119,771,646	(11,836,091	)	170,519,442	86,078,957	(42,956,003	)	213,642,396	60,897,518	(59,370,841	)	215,169,073
Class D	9,764,594	30,899,806	(1,439,055	)	39,225,345	42,664,247	(4,024,789	)	77,864,803	23,739,729	(28,552,965	)	73,051,567
Class I	17,936,086	15,273,298	(2,422,022	)	30,787,362	13,970,225	(7,039,015	)	37,718,572	12,586,459	(7,231,204	)	43,073,827
Class DS*	—	—	—		—	14,542,754	(1,094,970	)	13,447,784	58,487,988	(2,749,330	)	69,186,442
Class DT**	—	—	—		—	98,131,157	(28,871,839	)	69,259,318	—	(15,500,533	)	53,758,785

Total Members' Units	105,806,686	185,661,933	(18,889,984	)	272,578,635	270,990,082	(91,527,789	)	452,040,928	173,098,580	(125,050,398	)	500,089,110

Class A	9,713	—	—		9,713	—	—		9,713	—	—		9,713
Class C	9,757	—	—		9,757	—	—		9,757	—	—		9,757

Total Sponsor's Units	19,470	—	—		19,470	—	—		19,470	—	—		19,470

*Class DS was previously known as Class D-SM. Units issued on April 2, 2007.

**Class DT was previously known as Class D-TF. Units issued on June 1, 2007.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006


	Members’ Capital									Members’ Capital									Members’ Capital									Members’ Capital
	December 31, 2005		Subscriptions		Redemptions			Net Income		December 31, 2006		Subscriptions		Redemptions			Net Income		December 31, 2007		Subscriptions		Redemptions			Net Income		December 31, 2008
Class A	$	16,602,088	$	22,242,955	$	(3,704,770	)	$	3,559,465	$	38,699,738	$	19,375,017	$	(9,674,408	)	$	6,836,154	$	55,236,501	$	26,212,557	$	(18,049,428	)	$	11,977,663	$	75,377,293
Class C	66,470,039		133,755,451		(13,387,079		)	15,377,241		202,215,652		103,312,911		(54,082,928		)	34,632,446		286,078,081		89,405,799		(89,455,971		)	54,514,349		340,542,258
Class D	9,797,722		33,979,201		(1,576,485		)	2,752,208		44,952,646		50,306,937		(4,888,155		)	12,865,169		103,236,597		35,615,932		(43,832,109		)	22,345,631		117,366,051
Class I	19,077,399		17,103,221		(2,745,508		)	3,723,683		37,158,795		17,356,300		(9,334,899		)	6,952,000		52,132,196		19,076,750		(11,340,105		)	11,488,381		71,357,222
Class DS*	—		—		—			—		—		16,325,317		(1,291,973		)	2,796,394		17,829,738		86,822,929		(4,000,000		)	10,365,432		111,018,099
Class DT**	—		—		—			—		—		116,913,460		(36,127,180		)	11,721,847		92,508,127		—		(23,285,032		)	19,073,127		88,296,222

Total Members’ Interest	$	111,947,248	$	207,080,828	$	(21,413,842	)	$	25,412,597	$	323,026,831	$	323,589,942	$	(115,399,543	)	$	75,804,010	$	607,021,240	$	257,133,967	$	(189,962,645	)	$	129,764,583	$	803,957,145

Class A	$	10,410	$	—	$	—		$	1,327	$	11,737	$	—	$	—		$	1,644	$	13,381	$	—	$	—		$	2,590	$	15,971
Class C	10,384		—		—			1,192		11,576		—		—			1,492		13,068		—		—			2,376		15,444

Total Sponsor’s Interest	$	20,794	$	—	$	—		$	2,519	$	23,313	$	—	$	—		$	3,136	$	26,449	$	—	$	—		$	4,966	$	31,415
Total Members’ Capital	$	111,968,042	$	207,080,828	$	(21,413,842	)	$	25,415,116	$	323,050,144	$	323,589,942	$	(115,399,543	)	$	75,807,146	$	607,047,689	$	257,133,967	$	(189,962,645	)	$	129,769,549	$	803,988,560

*Class DS was previously known as Class D-SM. Units issued on April 2, 2007.

**Class DT was previously known as Class D-TF. Units issued on June 1, 2007.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2008

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 DS(a)			Class DT(b)

Per Unit Operating Performance:
Net asset valuet, beginning of period	$	1.3772		$	1.3391		$	1.3258		$	1.3821		$	1.3258		$	1.3357

Realized and change in unrealized trading profit	0.3662			0.3547			0.3547			0.3682			0.3521			0.3589
Brokerage commissions	(0.0023		)	(0.0022		)	(0.0022		)	(0.0023		)	(0.0022		)	(0.0022		)
Interest income	0.0271			0.0263			0.0262			0.0273			0.0260			0.0265
Expenses	(0.1242		)	(0.1352		)	(0.0979		)	(0.1187		)	(0.0971		)	(0.0764		)

Net asset value, end of period	$	1.6440		$	1.5827		$	1.6066		$	1.6566		$	1.6046		$	1.6425

Total Return: (c)

Total return before Performance fees	24.39		%	23.18		%	26.27		%	24.89		%	26.09		%	26.91		%
Performance fees	-4.48		%	-4.48		%	-4.48		%	-4.48		%	-4.45		%	-3.45		%
Total return after Performance fees	19.36		%	18.19		%	21.18		%	19.85		%	21.03		%	22.97		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	3.82		%	4.84		%	2.31		%	3.42		%	2.29		%	1.79		%
Performance fees	4.35		%	4.35		%	4.35		%	4.35		%	4.32		%	3.33		%
Expenses (including Performance fees)	8.17		%	9.19		%	6.66		%	7.77		%	6.61		%	5.12		%

Net investment income (loss)	-6.37		%	-7.38		%	-4.85		%	-5.96		%	-4.82		%	-3.32		%

(a) Class DS was previously known as Class D-SM.

(b) Class DT was previously known as Class D-TF.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2007

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 DS (a)			Class DT (b)

Per Unit Operating Performance:
Net asset value, beginning of period	$	1.2076		$	1.1859		$	1.1460		$	1.2069		$	1.0733		$	1.1914

Realized trading profit	0.1892			0.1843			0.1818			0.1898			0.2427			0.2012
Change in unrealized	0.0057			0.0058			0.0051			0.0056			0.0215			(0.0579		)
Brokerage commissions	(0.0052		)	(0.0051		)	(0.0050		)	(0.0052		)	(0.0031		)	(0.0024		)
Interest income	0.0611			0.0597			0.0583			0.0612			0.0442			0.0349
Expenses	(0.0812		)	(0.0915		)	(0.0604		)	(0.0762		)	(0.0528		)	(0.0315		)

Net asset value, end of period	$	1.3772		$	1.3391		$	1.3258		$	1.3821		$	1.3258		$	1.3357

Total Return:

Total return before Performance fees	16.90		%	15.74		%	18.66		%	17.36		%	26.53		%	13.70		%
Performance fees	-2.74		%	-2.73		%	-2.79		%	-2.73		%	-2.65		%	-1.54		%
Total return after Performance fees	14.03		%	12.90		%	15.68		%	14.49		%	23.53		%	12.11		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	3.84		%	4.89		%	2.31		%	3.43		%	2.28		%	1.76		%
Performance fees	2.84		%	2.87		%	2.99		%	2.85		%	2.53		%	1.49		%
Expenses (including Performance fees)	6.68		%	7.76		%	5.30		%	6.28		%	4.81		%	3.25		%

Net investment income (loss)	-1.71		%	-2.77		%	-0.30		%	-1.29		%	-0.77		%	0.60		%

(a) Class DS was previously known as Class D-SM. Units issued on April 2, 2007.

(b) Class DT was previously known as Class D-TF. Units issued on June 1, 2007.

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2006

	Class A			Class C			Class D			Class I

Per Unit Operating Performance:
Net asset value, beginning of period	$	1.0696		$	1.0621		$	1.0034		$	1.0636

Realized trading profit	0.1115			0.1102			0.1059			0.1110
Change in unrealized	0.0521			0.0516			0.0489			0.0519
Brokerage commissions	(0.0084		)	(0.0083		)	(0.0079		)	(0.0083		)
Interest income	0.0524			0.0518			0.0494			0.0523
Expenses	(0.0696		)	(0.0815		)	(0.0537		)	(0.0636		)

Net asset value, end of period	$	1.2076		$	1.1859		$	1.1460		$	1.2069

Total Return:

Total return before Performance fees	15.17		%	14.02		%	16.91		%	15.63		%
Performance fees	-2.22		%	-2.35		%	-2.59		%	-2.11		%
Total return after Performance fees	12.79		%	11.52		%	14.05		%	13.37		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	4.12		%	5.20		%	2.61		%	3.66		%
Performance fees	2.36		%	2.56		%	2.72		%	2.19		%
Expenses (including Performance fees)	6.48		%	7.76		%	5.33		%	5.85		%

Net investment loss	-1.60		%	-2.83		%	-0.29		%	-1.04		%

See notes to financial statements.

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

ML Winton FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, 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, options on futures and forward contracts on a wide range of commodities. Winton Capital Management (“Winton”) is the trading advisor of the Fund. Merrill Lynch Alternative Investments LLC (“MLAI”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker.

The Program is a group of commodity pools sponsored by MLAI (each a “Program Fund” or collectively, “Program Funds”) each of which places substantially all of its assets in a managed futures and forward trading account managed by a single or multiple commodity trading advisors. Each Program Fund is generally similar to the Fund in terms of fees, Classes of Units and redemption rights. Each of the Program Funds implements a different trading strategy.

The Fund offers six Classes of Units: Class A, Class C, Class D, Class DT, Class DS, and Class I. Each Class of Units except for Class DT and Class DS was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit for all other purposes (see Note 6). Class DS commenced on April 2, 2007 and was offered at $1.0733 and Class DT commenced on June 1, 2007 and was offered at $1.1914. The six Classes of Units are subject to different Sponsor fees.

Effective January 1, 2009, Merrill Lynch & Co., Inc. became a wholly-owned subsidiary of Bank of America Corporation pursuant to a merger agreement.

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, Bank of America Corporation or any of its affiliates or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Revenue Recognition

Commodity futures, options on futures and forward contract transactions are recorded on the trade date and open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss) in the Statements of Operations.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it transacts business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Profits and losses resulting from the translation to U.S. dollars are reported in Realized in the Statements of Operations.

Cash at Broker

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements. Included in cash deposits with the broker at December 31, 2008, and 2007 were restricted cash for margin requirements of $40,230,744 and $51,742,673, respectively.

Operating Expenses, Offering Costs and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemptions process, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and expenses) incurred by the Fund. The Fund also pays any extraordinary expenses.

MLAI paid all the expenses incurred in connection with the initial offering of the Units. The costs consist of offering costs at the Program level. The Fund is reimbursing MLAI for these costs in 60 monthly installments. For financial reporting purposes in conformity with U.S. GAAP, the Fund deducted the total initial offering costs of $272,445 from Members’ Capital at inception. For all other purposes, including determining the Net Asset Value per Unit for subscription and redemption purposes, the Fund amortizes offering costs over a 60 month period (see Note 6).

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C, Class DS and Class DT Units are not subject to any sales commissions.

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.

Distributions

The Members are entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2008, 2007 and 2006.

Subscriptions

Units are offered as of the close of business at the end of each month. Units are purchased as of the first business day of any month at Net Asset Value for all other purposes (see Note 6), but the subscription request must be submitted at least three calendar days before the end of the preceding month. Subscriptions submitted less than three days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

A Member may redeem or exchange some or all of such Member’s Units at Net Asset Value for all other purposes (see Note 6) as of the close of business, on the last business day of any month, upon ten calendar days’ notice (“notice period”).

An investor in the Fund can exchange these Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice. The minimum exchange amount is $10,000.

Redemption requests are accepted within the notice period. The Fund does not accept any redemption requests after the notice period. All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund

The Fund may terminate if certain circumstances occur as set forth in the offering memorandum, which include but are not limited to the following:

(a) Bankruptcy, dissolution, withdrawal or other termination of the trading advisor of this Fund.

(b) Any event which would make unlawful the continued existence of this Fund.

Indemnifications

In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund expects the risk of any future obligation under these indemnifications to be remote.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as of December 31, 2008 and 2007 are as follows:

2008

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

Agriculture	197	$	390,804		0.05	%	(2,131	)	$	(3,807,410	)	-0.47	%	$	(3,416,606	)	-0.42	%	January 09 - November 10
Currencies	759	1,426,021			0.18	%	(1,366	)	(4,720,175		)	-0.59	%	(3,294,154		)	-0.41	%	March 09
Energy	—	—			0.00	%	(313	)	1,169,490			0.15	%	1,169,490			0.15	%	January 09 - December 10
Interest rates	10,483	17,823,721			2.21	%	(88	)	(21,657		)	0.00	%	17,802,064			2.21	%	January 09 - June 10
Metals	238	(635,812		)	-0.08	%	(558	)	3,463,278			0.42	%	2,827,466			0.34	%	January 09 - April 09
Stock indices	10	1,903			0.00	%	(384	)	(359,049		)	-0.04	%	(357,146		)	-0.04	%	January 09 - March 09

Total		$	19,006,637		2.36	%			$	(4,275,523	)	-0.53	%	$	14,731,114		1.83	%

2007

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

Agriculture	4,103	$	6,450,316		1.06	%	(1,034	)	$	(913,220	)	-0.15	%	$	5,537,096		0.91	%	January 08 - December 08
Currencies	4,151	(1,783,738		)	-0.29	%	(247	)	(203,814		)	-0.03	%	(1,987,552		)	-0.32	%	March 08
Energy	726	3,242,466			0.53	%	(143	)	(434,080		)	-0.07	%	2,808,386			0.46	%	January 08 - April 08
Interest rates	15,236	1,015,377			0.17	%	(2,750	)	(255,156		)	-0.04	%	760,221			0.13	%	March 08 - December 08
Metals	1,375	(1,945,885		)	-0.32	%	(676	)	2,329,833			0.38	%	383,948			0.06	%	January 08 - March 08
Stock indices	2,153	299,696			0.05	%	(49	)	132,354			0.00	%	432,050			0.05	%	January 08 - March 08

Total		$	7,278,232		1.20	%			$	655,917		0.09	%	$	7,934,149		1.29	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2008 and 2007.

3. FAIR VALUE OF INVESTMENTS

In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The Fund adopted FAS 157 as of January 1, 2008. The adoption of FAS 157 did not have a material impact on the Fund’s financial statements.

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).

FAS 157 established 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 FAS 157, 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. Investments that are included in this category generally are privately held debt and equity securities.

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 table summarizes the valuation of the Fund’s investments by the above FAS 157 fair value hierarchy levels as of December 31, 2008:

	Total		Level I		Level II	Level III
Net unrealized profit (loss) on open contracts	$	14,731,114	$	14,731,114	N/A	N/A

4. RELATED PARTY TRANSACTIONS

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Fund with interest at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% of such prevailing rate. The Fund is credited with interest on any of its assets and net gains actually held by MLPF&S non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Fund, from possession of such assets.

Merrill Lynch charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.

The Fund charges Sponsor fees on the month-end net assets after all other charges at annual rates equal to 1.50% for Class A, 2.50% for Class C, 1.10% on Class I. Class D, DS, and DT are not charged a Sponsor Fee. Sponsor Fees are paid to MLAI.

The Fund pays brokerage commissions on actual cost per round turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2008, 2007 and 2006 was approximately $7.16, $9.58, and $9.82, respectively (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).

5. ADVISORY AGREEMENT

The Fund and Winton have entered into an Advisory Agreement. This agreement shall continue in effect until December 31, 2014. Thereafter, this agreement shall be automatically renewed for successive three-year periods, on the same terms, unless terminated by either Winton or the Fund upon 90 days’ notice to the other party. Winton determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.

The Fund charges annual management fees on the Fund’s average month-end net assets allocated to them after reduction for the brokerage commissions accrued with respect to such assets and are payable to Winton on a monthly basis. Management Fees are 2.0% for all classes except for Class DT which charges a 1.5% Fee. Winton pays MLAI 25% of the management fees on all classes except Class DT in return for sponsoring and providing ongoing administration and operational support to the fund.

Performance fees are charged by the Fund on any New Trading Profit, as defined, and are payable to Winton as of either the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The fund charges a 20% performance fee for all classes except Class DT which is charged a performance fee of 15%. Winton pays MLAI 25% of any Performance fees paid by the Fund not including Class DT.

6. NET ASSET VALUE PER UNIT

For financial reporting purposes, in conformity with U.S. GAAP, the Fund deducted the total initial offering costs payable to MLAI at inception from Members’ Capital for purposes of determining Net Asset Value. For all other purposes, including computing Net Asset Value for purposes of member subscription and redemption activity, such costs are amortized over 60 months. Consequently, as of December 31, 2008 and 2007, the Net Asset Value and Net Asset Value per Unit of the different Classes for financial reporting purposes and for all other purposes are as follows:

December 31, 2008

	Net Asset Value					Net Asset Value per Unit
	All Other Purposes (unaudited)		Financial Reporting		Number of Units	All Other Purposes (unaudited)		Financial Reporting
Class A	$	75,408,044	$	75,393,264	45,859,129	$	1.6443	$	1.6440
Class C	340,596,360		340,557,702		215,178,830	1.5829		1.5827
Class D	117,361,002		117,366,051		73,051,567	1.6065		1.6066
Class I	71,377,362		71,357,222		43,073,827	1.6571		1.6566
Class DS	111,014,511		111,018,099		69,186,442	1.6046		1.6046
Class DT	88,290,271		88,296,222		53,758,785	1.6423		1.6425
	$	804,047,550	$	803,988,560	500,108,580

December 31, 2008

	Net Asset Value					Net Asset Value per Unit
	All Other Purposes (unaudited)		Financial Reporting		Number of Units	All Other Purposes (unaudited)		Financial Reporting
Class A	$	55,269,166	$	55,249,882	40,117,768	$	1.3777	$	1.3772
Class C	286,151,621		286,091,149		213,652,153	1.3393		1.3391
Class D	103,239,603		103,236,597		77,864,803	1.3259		1.3258
Class I	52,156,427		52,132,196		37,718,572	1.3828		1.3821
Class DS	17,829,738		17,829,738		13,447,784	1.3258		1.3258
Class DT	92,508,127		92,508,127		69,259,318	1.3357		1.3357
	$	607,154,682	$	607,047,689	452,060,398

7. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit. The weighted average number of Units outstanding for the years ended December 31, 2008, 2007 and 2006 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period.

8. RECENT ACCOUNTING PRONOUNCEMENTS

In March 2008, the FASB released Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities – an amendment to FASB Statement No. 133 (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk related contingent features in derivative agreements. The application of FAS 161 is required for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. Currently, the Fund is evaluating the implications of FAS 161 on its financial statements.

In May 2008, the FASB issued Statement of Financial Accounting Standards No. 162, “The Hierarchy of Generally Accepted Accounting Principles” (“FAS 162”). FAS 162 identifies the sources of accounting principles and the framework for selecting the accounting principles used in preparing financial statements of nongovernmental entities that are presented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy is provided in the American Institute of Certified Public Accountants U.S. Auditing Standards (“AU”) Section 411, “The Meaning of Present Fairly in Conformity With Generally Accepted Accounting Principles”. The Fund does not expect the adoption of FAS 162 to have an impact on its financial statements.

9. MARKET AND CREDIT RISK

The nature of this Fund has certain risks, which cannot all be presented on 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 net 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 they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of Winton, 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 Winton 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 ongoing process of advisor monitoring, with the market risk controls being applied by Winton.

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 provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. 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 trading, and counterparties may also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty nonperformance is the Net unrealized profit on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity futures trading accounts in the Statements of Financial Condition.

* * * * * * * * * * *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

	/s/ Barbra E. Kocsis
	Barbra E. Kocsis
	Chief Financial Officer
	Merrill Lynch Alternative Investments LLC
	Sponsor of
	ML Winton FuturesAccess LLC

EX-31.01 3 a09-5780_3ex31d01.htm EX-31.01

EXHIBIT 31.01

Rule 13a-14(a)/15d-14(a) Certifications

I, Paul Morton, Chief Executive Officer, President and Manager of Merrill Lynch Alternative Investments LLC, the manager of ML Winton FuturesAccess LLC, certify that:

1. I have reviewed this report on Form 10-K of ML Winton FuturesAccess LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 31, 2009

By	/s/ PAUL MORTON
Paul Morton
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-31.02 4 a09-5780_3ex31d02.htm EX-31.02

EXHIBIT 31.02

Rule 13a-14(a)/15d-14(a) Certifications

I, Barbra E. Kocsis, Chief Financial Officer of Merrill Lynch Alternative Investments LLC, the manager of ML Winton FuturesAccess LLC, certify that:

1. I have reviewed this report on Form 10-K of ML Winton FuturesAccess LLC;

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation, of internal control over financial reporting to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 31, 2009

By	/s/ BARBRA E. KOCSIS
Barbra E. Kocsis
Chief Financial Officer
(Principal Financial Officer)

EX-32.01 5 a09-5780_3ex32d01.htm EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this annual report of ML Winton FuturesAccess LLC (the “Company”) on Form 10-K for the year ended December 31, 2008 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Paul Morton, Chief Executive Officer, President and Manager of Merrill Lynch Alternative Investments LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 31, 2009

By	/s/ PAUL MORTON
Paul Morton
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-32.02 6 a09-5780_3ex32d02.htm EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this annual report of ML Winton FuturesAccess LLC (the “Company”) on Form 10-K for the year ended December 31, 2008 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Barbra E. Kocsis Chief Financial Officer of Merrill Lynch Alternative Investments LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 31, 2009

By	/s/ BARBRA E. KOCSIS
Barbra E. Kocsis
Chief Financial Officer
(Principal Financial Officer)

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