<Page>
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended SEPTEMBER 30, 2001
OR
( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
---------------- ----------------
Commission File Number 33-22864
ML FUTURES INVESTMENTS L.P.
---------------------------
(Exact Name of Registrant as
specified in its charter)
Delaware 36-3590615
- ----------------------------------- -----------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)
c/o MLIM Alternative Strategies LLC
(formerly Merrill Lynch Investment Partners,Inc.)
Princeton Corporate Campus
800 Scudders Mill Road - Section 2G
Plainsboro, New Jersey 08536
----------------------------
(Address of principal executive offices)
(Zip Code)
609-282-6996
----------------------------------------
(Registrant's telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days. Yes X No
--- ---
<Page>
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
SEPTEMBER 30, DECEMBER 31,
2001 2000
(UNAUDITED)
------------- -------------
ASSETS
Investment in MM LLC $ 13,218,177 $ 14,260,889
Receivable from investment in MM LLC 56,472 250,414
------------- -------------
TOTAL $ 13,274,649 $ 14,511,303
============= =============
LIABILITY AND PARTNERS' CAPITAL
Redemptions payable $ 56,472 $ 250,414
------------- -------------
Total liabilities 56,472 250,414
------------- -------------
PARTNERS' CAPITAL:
General Partner (613 and 613 Units) 157,350 154,104
Limited Partners (50,882 and 56,108 Units) 13,060,827 14,106,785
------------- -------------
Total partners' capital 13,218,177 14,260,889
------------- -------------
TOTAL $ 13,274,649 $ 14,511,303
============= =============
NET ASSET VALUE PER UNIT
(Based on 51,495 and 56,721 Units outstanding) $ 256.69 $ 251.42
============= =============
</Table>
See notes to financial statements.
2
<Page>
ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF OPERATIONS
(unaudited)
<Table>
<Caption>
FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2001 2000 2001 2000
------------- ------------- ------------- -------------
REVENUES:
Income (loss) from investment in MM LLC $ 155,507 $ (583,171) $ 282,065 $ (871,228)
------------- ------------- ------------- -------------
NET INCOME (LOSS) $ 155,507 $ (583,171) $ 282,065 $ (871,228)
============= ============= ============= =============
NET INCOME (LOSS) PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 52,026 61,379 54,029 65,650
============= ============= ============= =============
Net income (loss) per weighted average
General Partner and Limited Partner Unit $ 2.99 $ (9.50) $ 5.22 $ (13.27)
============= ============= ============= =============
</Table>
See notes to financial statements.
3
<Page>
ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2001 AND 2000
(unaudited)
<Table>
<Caption>
UNITS GENERAL PARTNER LIMITED PARTNERS TOTAL
--------------- --------------- ---------------- ---------------
PARTNERS' CAPITAL,
December 31, 1999 71,633 $ 244,458 $ 16,807,496 $ 17,051,954
Net loss -- (11,001) (860,227) (871,228)
Redemptions (12,537) (59,265) (2,871,842) (2,931,107)
--------------- --------------- --------------- ---------------
PARTNERS' CAPITAL,
September 30, 2000 59,096 $ 174,192 $ 13,075,427 $ 13,249,619
=============== =============== =============== ===============
PARTNERS' CAPITAL,
December 31, 2000 56,721 $ 154,104 $ 14,106,785 $ 14,260,889
Net income -- 3,246 278,819 282,065
Redemptions (5,226) -- (1,324,777) (1,324,777)
--------------- --------------- --------------- ---------------
PARTNERS' CAPITAL,
September 30, 2001 51,495 $ 157,350 $ 13,060,827 $ 13,218,177
=============== =============== =============== ===============
</Table>
See notes to financial statements.
4
<Page>
ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In the opinion of
management, the financial statements contain all adjustments (consisting of
only normal recurring adjustments) necessary to present fairly the financial
position of ML Futures Investments L.P. (the "Partnership") as of September
30, 2001, and the results of its operations for the three and nine months
ended September 30, 2001 and 2000. However, the operating results for the
interim periods may not be indicative of the results expected for the full
year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in conformity with accounting principles
generally accepted in the United States of America have been omitted. It is
suggested that these financial statements be read in conjunction with the
financial statements and notes thereto included in the Partnership's Annual
Report on Form 10-K filed with the Securities and Exchange Commission for the
year ended December 31, 2000 (the "Annual Report").
2. INVESTMENTS
As of September 30, 2001 and December 31, 2000, the Partnership had an
investment in ML Multi Manager Portfolio LLC ("MM LLC") of $13,218,177 and
$14,260,889, respectively.
Total revenues and fees with respect to the Partnership's investment are set
forth as follows:
<Table>
<Caption>
For the three months TOTAL BROKERAGE ADMINISTRATIVE PROFIT INCOME FROM
ended September 30, 2001 REVENUE COMMISSIONS FEES SHARES INVESTMENT
-------------- --------------- ----------------- ------------- -------------------
MM LLC (unaudited) $ 570,263 $ 294,119 $ 8,403 $ 112,234 $ 155,507
-------------- --------------- ----------------- ------------- -------------------
</Table>
<Table>
<Caption>
For the three months TOTAL BROKERAGE ADMINISTRATIVE PROFIT LOSS FROM
ended September 30, 2000 REVENUE COMMISSIONS FEES SHARES INVESTMENT
-------------- --------------- ----------------- ------------- -------------------
MM LLC (unaudited) $ (304,491) $ 283,053 $ 8,087 $ (12,460) $ (583,171)
-------------- --------------- ----------------- ------------- -------------------
</Table>
<Table>
<Caption>
For the nine months TOTAL BROKERAGE ADMINISTRATIVE PROFIT INCOME FROM
ended September 30, 2001 REVENUE COMMISSIONS FEES SHARES INVESTMENT
-------------- --------------- ----------------- ------------- -------------------
MM LLC (unaudited) $ 1,501,174 $ 888,071 $ 25,373 $ 305,665 $ 282,065
-------------- --------------- ----------------- ------------- -------------------
</Table>
<Table>
<Caption>
For the nine months TOTAL BROKERAGE ADMINISTRATIVE PROFIT LOSS FROM
ended September 30, 2000 REVENUE COMMISSIONS FEES SHARES INVESTMENT
-------------- --------------- ----------------- ------------- -------------------
MM LLC (unaudited) $ 127,015 $ 964,429 $ 27,555 $ 6,259 $ (871,228)
-------------- --------------- ----------------- ------------- -------------------
</Table>
5
<Page>
Condensed statements of financial condition and statements of operations for
MM LLC are set forth as follows:
<Table>
<Caption>
MM LLC MM LLC
----------------------- ---------------------
SEPTEMBER 30, DECEMBER 31,
2001 2000
(UNAUDITED)
----------------------- ---------------------
Assets $ 222,849,008 $ 252,995,756
======================= =====================
Liabilities $ 8,721,675 $ 5,383,789
Members' Capital 214,127,333 247,611,967
----------------------- ---------------------
Total $ 222,849,008 $ 252,995,756
======================= =====================
</Table>
<Table>
<Caption>
FOR THE THREE MONTHS FOR THE THREE MONTHS FOR THE NINE MONTHS FOR THE NINE MONTHS
ENDED SEPTEMBER 30, 2001 ENDED SEPTEMBER 30, 2000 ENDED SEPTEMBER 30, 2001 ENDED SEPTEMBER 30, 2000
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
------------------------ ------------------------ ------------------------ ------------------------
Revenues $ 7,879,447 $ (4,176,959) $ 21,504,537 $ (1,725,034)
Expenses 4,976,570 2,411,044 14,968,692 6,397,178
------------------------ ------------------------ ------------------------ ------------------------
Net Income (Loss) $ 2,902,877 $ (6,588,003) $ 6,535,845 $ (8,122,212)
======================== ======================== ======================== ========================
</Table>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The Partnership invests all of its assets in MM LLC. Accordingly, the
Partnership invests indirectly in derivative instruments, but does not itself
hold any derivative instrument positions. The application of the provisions of
Statement of Financial Accounting Standards ("SFAS") No. 133, as amended by
SFAS No. 137 and SFAS No. 138, did not have a significant effect on the
financial statements of the Partnership.
MARKET RISK
Derivative instruments involve varying degrees of off-balance sheet market
risk. Changes in the level or volatility of interest rates, foreign currency
exchange rates or market values of the financial instruments or commodities
underlying such derivative instruments frequently result in changes in the
Partnership's net unrealized profit on such derivative instruments as
reflected in the Statements of Financial Condition or, with respect to
Partnership assets invested in MM LLC, the unrealized profit (loss) as
reflected in the respective Statements of Financial Condition of MM LLC. The
Partnership's exposure to market risk is influenced by a number of factors,
including the relationships among the derivative instruments held by MM LLC,
as well as the volatility and liquidity of the markets in which such
derivative instruments are traded.
The General Partner, MLIM Alternative Strategies LLC, ("MLIM AS LLC")
(formerly Merrill Lynch Investment Partners, Inc.) 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 the Advisors selected from time to time for MM
LLC, and include calculating the Net Asset Value of the Advisors' respective
MM LLC accounts as of the close of business on each day and reviewing
outstanding positions for over-concentrations both on an Advisor-
6
<Page>
by-Advisor and on an overall Partnership basis. While MLIM AS LLC does not
itself intervene in the markets to hedge or diversify the Partnership's market
exposure through MM LLC, MLIM AS LLC may urge Advisors to reallocate
positions, or itself reallocate Partnership assets among Advisors through
Advisors (although typically only as of the end of a month) in an attempt to
avoid over-concentration. However, such interventions are unusual. Except in
cases in which it appears that an Advisor has begun to deviate from past
practice and trading policies or to be trading erratically, MLIM AS LLC's
basic risk control procedures consist simply of the ongoing process of advisor
monitoring and selection, with the market risk controls being applied by the
Advisors themselves.
CREDIT RISK
The risks associated with exchange-traded contracts are typically perceived to
be less than those associated with over-the-counter (non-exchange-traded)
transactions, because exchanges typically (but not universally) provide
clearinghouse arrangements in which the collective credit (in some cases
limited in amount, in some cases not) of the members of the exchange 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 require margin in the
over-the-counter markets.
The Partnership, through MM LLC, has credit risk in respect of its
counterparties and brokers, but attempts to mitigate this risk by dealing
almost exclusively with Merrill Lynch entities as clearing brokers.
The Partnership, through MM LLC, in its normal course of business, enters into
various contracts, with Merrill Lynch Futures ("MLF") acting as its commodity
broker. Pursuant to the brokerage agreement with MLF (which includes a netting
arrangement), to the extent that such trading results in receivables from and
payables to MLF, these receivables and payables are offset and reported as a
net receivable or payable in the financial statements of MM LLC in the Equity
in commodity futures trading accounts in the Statements of Financial
Condition.
Item 2. Management's Discussion and Analysis of
Financial Condition and Results of Operations
MONTH-END NET ASSET VALUE PER UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP.
- ------------------------------------------------------------------------------------------------
2000 $238.86 $237.06 $232.93 $233.23 $236.68 $233.78 $230.43 $231.18 $224.21
- ------------------------------------------------------------------------------------------------
2001 $249.58 $251.97 $263.85 $256.16 $253.51 $253.68 $253.09 $254.51 $256.69
- ------------------------------------------------------------------------------------------------
</Table>
Performance Summary
All of the Partnership's assets are invested in MM LLC. The Partnership
recognizes trading profits or losses as an investor in MM LLC. The following
commentary describes the trading results of MM LLC.
JANUARY 1, 2001 TO SEPTEMBER 30, 2001
-------------------------------------
January 1, 2001 to March 31, 2001
Trading in the interest rate sector was highly profitable for the Partnership
during the quarter. Long positions in the Euro resulted in gains in January.
The impact of the weakening U.S. economy and the Federal Reserve's move to cut
interest rates was felt throughout the interest rate futures market, as Euro
futures contracts rose dramatically since December 2000. Euro-yen and
Euro-bund cross futures trading produced gains for the sector.
7
<Page>
Agricultural trading was profitable despite losses sustained early in the
quarter. During January, the agricultural sector faced weak grain and oilseed
prices. Excellent growing weather in the U.S., Argentina and Brazil, concerns
about U.S. export potential and inventories at historically high levels, kept
the markets on the defensive. Contract lows in cotton produced gains for short
positions. The cotton market sank to a 15 year low as a result of short supply
and increased demand. Potential increased planting, paired with a drop in
demand, forced prices lower.
Currency trading resulted in gains for the Partnership. Losses were realized
during January and February on long Euro and Swiss franc trading. After
rallying from a low of 82--83 cents to 96 cents, the Euro fell back to the 90
cent level, despite strong fundamentals. This resulted in losses for the
Partnership's long positions. The sector rebounded strongly in March on
substantial gains from short Japanese yen positions.
Trading in the metals markets was successful. Losses from short silver
positions were sustained in January as silver had a minor technical run as it
reached it's four month high. Short silver positions were profitable in
February as silver prices reversed its earlier trend and declined as the
market was generally weak. Gold's failure to rally also weighed on the
market. March was a volatile trading month as another attempted gold rally
failed, resulting in gains in short positions.
Stock index trading was moderately successful despite uncertainty in equity
markets. Short S&P 500 and NASDAQ positions resulted in gains as global equity
markets remain caught between negative news about earnings and the potential
positive effects of further monetary easing.
Energy trading was the only unprofitable sector during the quarter. Natural
gas prices pulled back in January after rallying during the last few months,
resulting in losses. Crude oil prices were driven lower by both a seasonal
downturn in global oil usage and heavier than normal refinery maintenance
work, reducing the demand. Short natural gas positions were unprofitable in
March on concerns over supply availability.
April 1, 2001 to June 30, 2001
Trading in agricultural commodities was profitable despite a sluggish start to
the quarter. The market for grains has been weak throughout the beginning of
2001. Excellent crops in Argentina and Brazil and a good start to the U.S.
growing season has resulted in weakness in the grain complex. Also, during the
quarter, profits from short corn and cotton positions outweighed losses from
soybeans.
Stock index trading was profitable for the Partnership as long NASDAQ 100
positions outweighed losses from DAX German Stock Index trading. Trading in
S&P contracts was successful despite continued volatility.
Trading in the energy sector was down slightly. Despite profitable unleaded
gas trading, losses were posted on long light crude oil and heating oil
positions. Crude prices fell due to increased total inventories, stemming from
the effects of crude oil stores rising more than 42 million barrels over the
last few months. The energy sector faded from downside pressure from a slowing
global economy, inventory surplus and OPEC's decision to leave production
levels unchanged.
Currency trading suffered losses, particularly in Euro and Japanese yen
positions. The further weakening of the Euro and Japanese yen displayed how
the global economy is not immune to the slowdown of the U.S. economy. Gains
were posted in the Canadian dollar at quarter end due to a healthy trade
surplus and a favorable short-term interest rate differential.
8
<Page>
The metals sector performed poorly. Weakness in the Euro, a decline in the
Australian dollar to all time lows and producer and central bank selling sent
gold prices lower. Silver trading was volatile. China's silver exports have
been high due to poor domestic demand, adversely affecting prices.
Trading in the interest rate markets accounted for most of the Partnership's
trading losses for the quarter. Positions in Euro-bund futures, three-month
Euribor futures and U.S. 10-year notes were unprofitable.
July 1, 2001 to September 30, 2001
Trading in the interest rate sector was very successful as significant
gains were realized throughout the quarter on Euro dollar positions.
These gains more than offset losses on U.S. Treasury and Japanese
10-year bonds. Swiss franc short term interest rate contract trading and
short Sterling 500 positions offset losses on long Gilt positions in
September.
Metals trading was profitable throughout the quarter. Positions in
aluminum, copper, silver and nickel produced profits. Long gold
positions were profitable as investors flocked to gold for safety in the
aftermath of the terrorist attacks.
Stock index trading was also successful as the Partnership's various
short positions were profitable. Major indices in the world markets fell
as corporate earnings, in general, were poor and the global economic
slump would worsen as a result of the terrorist attacks.
Trading in the energy sector was moderately unsuccessful. The sector
continued to face downside pressure as in the prior months. Natural gas
prices fell as the heat wave in the Northeast dissipated. Oil prices
sank, as traders feared the attacks would not only cripple the airline
industry (a major consumer of oil), but would also trigger a global
economic recession, cutting the demand for oil.
Agricultural trading was unprofitable during the quarter. Early gains
from coffee failed to outpace losses from corn and short wheat
positions. Grain prices rose in July on concerns that hot and dry
weather would cause lower 2001 production. Soybeans fell on fears of
larger than expected crop outputs. Cotton fell to a 15-year low due to
abundant crops. Cattle fell to a one year low on demand concerns.
Trading in the currency markets was unprofitable. Losses were sustained
from Canadian dollar and Swiss franc positions early on. Short Japanese
yen positions were unprofitable in August. Long British pound positions
were profitable in September as the currency appreciated versus the U.S.
dollar on concerns over the negative economic implications from the
September 11 terrorist attacks.
JANUARY 1, 2000 TO SEPTEMBER 30, 2000
-------------------------------------
January 1, 2000 to March 31, 2000
Energy trading was profitable for the quarter due to long crude oil and
unleaded gas positions. Despite the possibility of OPEC increasing oil
production by 5%, crude oil prices continued to rise as such a hike would
still leave oil inventories at levels much below normal during the balance of
the year. Prices began to decline in mid-March as Iran backed down from its
position on the point of "no increase" and again later in the month as OPEC
announced a production increase of 1.716 million barrels per day offsetting
some gains from the previous two months.
Stock index trading was profitable for the quarter. During the month of
January, the Hang Seng Index found market conditions to be difficult. Stock
index trading returned in February and March with gains in positions in CAC 40
Euro futures, DAX German Stock Index and long S&P 500 positions resulted in
gains as investors focused more on value stocks near the end of the quarter.
Metals trading alternated from profitable to unprofitable during the quarter.
In January, gains in aluminum positions outweighed losses in zinc and copper.
Losses in aluminum and gold positions outweighed gains in nickel positions
during February. In March, metals trading was slightly profitable as gains in
silver positions outweighed losses in zinc and copper.
Short Swiss franc and Euro positions launched the quarter with gains after
officials from the Group of Seven met and failed to express concern about the
low levels of the European currency, however, the positions were unprofitable
in February offsetting gains in Japanese yen positions. Short Euro positions
then bounced back in March but were outweighed by losses in Japanese yen and
British pound positions.
Agriculture trading resulted in losses for the quarter. In January and
February, gains in sugar positions were outweighed by losses in corn
positions. In March, corn positions were profitable as prices rose, but were
outweighed by unprofitable soyoil and sugar positions. Corn prices fluctuated
as changes in weather forecasts occurred throughout the quarter.
Short Eurodollar trading was profitable as the currency continued to decline
in January. The European Union ministers blamed the currency's slide in
January on rapid U.S. growth and fears that the Federal Reserve will increase
U.S. interest rates. These profits were far outweighed by losses in the
Japanese 10-year bond, U.S. 10-year Treasury note positions and long U.S.
Treasury positions as the yield curve fluctuated widely during the quarter.
April 1, 2000 to June 30, 2000
Long natural gas positions proved to be profitable throughout the
quarter; however, crude oil faced whipsaw market conditions. Prices on
crude oil declined early in the quarter in the wake of OPEC's March
decision to increase production; however, prices later rose as the
International Energy Agency reported the need for additional OPEC
oil to prevent a shortage in inventory. In June, long positions of
9
<Page>
light crude oil resulted in profits despite OPEC's agreement to raise the
production ceiling effective July 1. Prices sustained their levels because
the market was looking for a larger production hike.
Agriculture trading was profitable in the quarter as sugar and live hog
positions outweighed losses from soybean trading. An exporter made the first
sale of U.S. pork to China under a 1999 bilateral agricultural agreement,
providing a new avenue of opportunity for U.S. pork producers. The mid-month
USDA grain crop report projected a 12% rise in soybean inventories from last
season. This resulted in fears of an abundance of supply and therefore, lower
prices for the commodity. Forecasts of reduced Brazilian exports and crop
damage in China and Pakistan combined with greater than expected demand from
Russia, resulted in gains for the Partnership's long sugar positions.
Currency trading proved profitable for the Partnership. Gains from short Euro
currency and long Swiss franc positions outweighed losses sustained in other
currencies. Despite the dramatic interest rate hikes by the Swiss National
Bank ("SNB") and the weakness of the Euro, the SNB said it will not keep the
Swiss franc from rising. Short positions in the British pound and Canadian
dollar resulted in gains for the sector during May. The British pound was
particularly weak in the wake of the Bank of England's references to "sterling
overvaluation." The Euro rallied to U.S. $0.97 early in the month, but faced
profit-taking after news of some capital outflow from Euroland.
Stock index trading was unprofitable due to losses sustained in Nikkei 225 and
S&P 500 positions early in the quarter. Signs of rising inflation fueled fears
that the Federal Reserve will continue to raise interest rates aggressively to
slow the robust economy. However, the Nikkei 225 trading showed gains at the
end of the quarter as well as did the All Ordinaries Index as the Australian
index finished higher in June.
In metals trading, short aluminum positions were profitable early in the
quarter as a refinery indicated that it will return to operation this year,
adding supply to the market. During the middle of the quarter, copper trading
resulted in losses for the sector. A Freeport, Indonesia mine announced output
cuts would not be as large as the Indonesian government had forecast,
resulting in losses for the Partnership's long positions. Losses continued
through the quarter as trading in both base and precious metals was
unprofitable as losses were sustained in gold and aluminum positions. As has
been the ongoing pattern, gold showed virtually no response to activities in
the financial and equity markets, including the surge in energy prices.
Interest rate trading results were unprofitable for the quarter. Early on
losses were incurred from U.S. Treasury bond and Euro 10-year bond trading.
U.S. bond yields fell during the month as investors shifted to Treasuries due
to increased volatility in the NASDAQ and other equity markets. The Euro
traded higher during May on reports that the European Central Bank may buy the
currency to boost its value, but finally trading was again unprofitable as
losses were incurred in Euro dollar and Japanese government bond positions.
Short positions resulted in losses as the Euro dollar improved after the
European Central Bank's 50 basis point repo rate hike.
July 1, 2000 to September 30, 2000
Metals trading was moderately profitable. Long copper positions profited from
reports that China increased production during the first half of the year due
to increased demand. The metals sector sustained losses in mid quarter as
nickel prices declined from slowing demand for stainless steel in Europe and
Asia. In September, higher copper prices resulting from strong demand in Asia,
particularly China, produced gains for long copper positions.
Currency trading posted gains early in the quarter on short Japanese yen and
British pound positions. The Japanese yen finished July weaker against the
U.S. dollar in anticipation that the U.S. Federal Reserve would continue to
raise interest rates. Trading was flat in August as gains from British pound
and Swiss franc positions countered losses from Japanese yen positions. The
British pound has been in a clear downtrend since the beginning of the year.
Short positions were profitable as uncertainty surrounded the September
10
<Page>
7 Bank of England meeting. Investors feared the Bank of England had finished
raising interest rates, resulting in concern for the currency. Losses were
realized from the Euro in September despite European economic conditions
remaining positive. Moderation in U.S. activity suggests no surprises on
the upside in the coming quarters, indicating potential strength in the Euro.
Trading in the energy sector was unprofitable during the quarter. Early on,
losses were sustained on long crude oil and natural gas positions. Higher
retail prices resulted in less demand for gasoline, pushing prices lower. In
August, long light crude oil positions profited as the oil balance faced a
significant inventory deficit, shrinking oil production capacity, limited
prospects for material non-OPEC supply growth and OPEC's key countries' desire
for a higher average oil price. Crude oil faced whipsaw market conditions in
September. It reached new highs mid month on comments from Venezuela's oil
minister that OPEC would not likely change its production target before their
November meeting. However, President Clinton's September 22 authorization of a
30 million barrel release of oil from the Strategic Petroleum Reserve sent
prices lower at month end.
Agricultural commodity trading resulted in losses for the quarter. Short wheat
trading was beneficial during July as drought warnings issued by the U.S.
National Weather Service in the early spring proved inaccurate. Sufficient
rains resulted in favorable growing conditions leading to dramatic price
declines for wheat. However, trading on sugar and live cattle positions was
unprofitable in September, erasing previous gains. Brazil, the world's largest
sugar producer, reduced output and the Asian post crisis recovery period has
improved demand, resulting in a supply/demand imbalance. Sugar prices rose
late in August as a result of a large quantity of Asian buying.
Interest rate trading incurred losses throughout the quarter. Trading in
Euro-Bund futures and Japanese 10 year bond positions was unprofitable.
Stock index trading was not profitable during the quarter. CAC 40 Euro futures
and FTSE Financial Times Stock Index trading sustained losses early in the
quarter. This trend continued in August as losses were realized from Nikkei
225 and DAX German Stock Index trading. September was also unprofitable on S&P
500 positions as it finished the month lower as buyers retreated due to fears
of an economic slowdown in the U.S.
11
<Page>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Partnership or MLIM
AS LLC is a party.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information
Effective May 31, 2001, Merrill Lynch Investment Partners Inc.
("MLIP"), a Delaware corporation and General Partner of the
Partnership, converted to a Delaware limited liability company. In
connection with the conversion, MLIP's name was changed to MLIM
Alternative Strategies LLC ("MLIM AS LLC"). This step was taken in
connection with the ongoing reorganization of the various
alternative investment groups under the Merrill Lynch Investment
Managers umbrella. Effective August 14, 2001, Merrill Lynch Group,
Inc. contributed all of the issued and outstanding shares of
MLIM AS LLC to its affiliate Merrill Lynch Investment Managers in
a tax free reorganization. The changes will have no impact on the
Partnership's investors.
All of the officers of MLIP continue in their former roles
with MLIM AS LLC, except that also effective May 31, 2001,
Ronald S. Rosenberg, formerly Chief Executive Officer of MLIP,
became President of MLIM AS LLC and Fabio P. Savoldelli,
formerly President of MLIP, became Chairman and Chief
Executive Officer of MLIM AS LLC. In addition, each of the
four directors of MLIP now serve on the board of managers of
MLIM AS LLC.
Item 6. Exhibits and Reports on Form 8-K.
(a) EXHIBITS.
There are no exhibits required to be filed with this report.
(b) REPORTS ON FORM 8-K.
There were no reports on Form 8-K filed during the first nine
months of fiscal 2001.
12
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
ML FUTURES INVESTMENTS L.P.
By:: MLIM ALTERNATIVE STRATEGIES LLC
(formerly Merrill Lynch Investment Partners, Inc.)
(General Partner)
Date: November 15, 2001 By /s/ FABIO P. SAVOLDELLI
-----------------------
Fabio P. Savoldelli
Chairman, Chief Executive Officer and Manager
Date: November 15, 2001 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
13