<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 March 31, 2002
----------------
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
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>
MARCH 31, DECEMBER 31,
2002 2001
(unaudited)
--------------- ---------------
ASSETS
Investment in MM LLC $ 11,983,944 $ 12,802,184
Receivable from investment in MM LLC 172,757 93,869
--------------- ---------------
TOTAL $ 12,156,701 $ 12,896,053
=============== ===============
LIABILITY AND PARTNERS' CAPITAL
Redemptions payable $ 172,757 $ 93,869
--------------- ---------------
Total liabilities 172,757 93,869
--------------- ---------------
PARTNERS' CAPITAL:
General Partner (540 and 540 Units) 131,392 136,997
Limited Partners (48,712 and 49,922 Units) 11,852,552 12,665,187
--------------- ---------------
Total partners' capital 11,983,944 12,802,184
--------------- ---------------
TOTAL $ 12,156,701 $ 12,896,053
=============== ===============
NET ASSET VALUE PER UNIT
(Based on 49,252 and 50,462 Units outstanding) $ 243.32 $ 253.70
=============== ===============
</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
MONTHS ENDED MONTHS ENDED
MARCH 31, MARCH 31,
2002 2001
------------------ ------------------
Income (loss) from investment $ (524,647) $ 681,787
------------------ ------------------
NET INCOME (LOSS) $ (524,647) $ 681,787
================== ==================
NET INCOME (LOSS) PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 50,246 55,820
================== ==================
Net income (loss) per weighted average
General Partner and Limited Partner Unit $ (10.44) $ 12.21
================== ==================
</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 THREE MONTHS ENDED MARCH 31, 2002 AND 2001
(unaudited)
<Table>
<Caption>
UNITS GENERAL PARTNER LIMITED PARTNERS TOTAL
--------------- --------------- --------------- ---------------
PARTNERS' CAPITAL,
December 31, 2000 56,721 $ 154,104 $ 14,106,785 $ 14,260,889
Net income - 7,633 674,154 681,787
Redemptions (1,954) - (492,645) (492,645)
--------------- --------------- --------------- ---------------
PARTNERS' CAPITAL,
March 31, 2001 54,767 $ 161,737 $ 14,288,294 $ 14,450,031
=============== =============== =============== ===============
PARTNERS' CAPITAL,
December 31, 2001 50,462 $ 136,997 $ 12,665,187 $ 12,802,184
Net loss - (5,605) (519,042) (524,647)
Redemptions (1,210) - (293,593) (293,593)
--------------- --------------- --------------- ---------------
PARTNERS' CAPITAL,
March 31, 2002 49,252 $ 131,392 $ 11,852,552 $ 11,983,944
=============== =============== =============== ===============
</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 March 31, 2002, and the
results of its operations for the three months ended March 31, 2002 and 2001.
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 accordance 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, 2001
(the "Annual Report").
2. INVESTMENT IN MM LLC
As of March 31, 2002 and December 31, 2001, the Partnership had an investment in
ML Multi-Manager Portfolio LLC ("MM LLC") of $11,983,944 and $12,802,184,
respectively. As of March 31, 2002, and December 31, 2001, the Partnership's
percentage ownerhsip share of MM LLC was 6.44% and 6.35%, respectively.
Total revenues and fees with respect to the Partnership's investment are set
forth as follows:
<Table>
<Caption>
FOR THE THREE MONTHS FOR THE THREE MONTHS
ENDED MARCH 31, 2002 ENDED MARCH 31, 2001
(unaudited) (unaudited)
------------------------ ------------------------
Realized profit (loss) $ (322,229) $ 1,334,099
Change in unrealized profit/loss 17,068 (275,551)
Interest income 66,226 169,835
Brokerage commissions 269,642 288,177
Administrative fees 7,704 8,234
Profit shares 8,366 250,185
------------------------ ------------------------
Income (loss) from investment $ (524,647) $ 681,787
======================== ========================
</Table>
5
<Page>
Condensed statements of financial condition and statements of operations for MM
LLC are set forth as follows:
<Table>
<Caption>
MARCH 31, DECEMBER 31,
2002 2001
(unaudited)
-------------- --------------
Assets $ 193,183,798 $ 207,788,190
============== ==============
Liabilities $ 7,166,433 $ 6,324,407
Members' Capital 186,017,365 201,463,783
-------------- --------------
Total $ 193,183,798 $ 207,788,190
============== ==============
<Caption>
FOR THE THREE MONTHS FOR THE THREE MONTHS
ENDED MARCH 31, 2002 ENDED MARCH 31, 2001
(unaudited) (unaudited)
-------------------- --------------------
Revenues $ (1,913,688) $ 17,007,938
Expenses 2,151,469 6,927,429
-------------------- --------------------
Net Income (loss) $ (4,065,157) $ 10,080,509
==================== ====================
</Table>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Partnership has certain risks, which can not be presented in
the financial statements. The following summarizes some of those risks.
MARKET RISK
Derivative financial instruments involve varying degrees of off-balance sheet
market risk. Changes in the level or volatility of interest rates, foreign
currency exchange rates or the market values of the underlying financial
instruments or commodities underlying such derivative instruments frequently
resulted in changes in the Partnership's net unrealized profit (loss) on such
derivative instruments as reflected in the Statements of Financial Condition or,
with respect to Partnership assets invested in MM LLC, the net unrealized profit
as reflected in the respective Statements of Financial Condition of the 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 the
Partnership and MM LLC, as well as the volatility and liquidity of such markets
in which such derivative instruments are traded.
MLIM Alternative Strategies LLC ("MLIM AS LLC") 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 the
Partnership or MM LLC, and include calculating the Net Asset Value of the
Advisors' respective Partnership accounts and MM LLC accounts as of the close of
business on each day and reviewing outstanding positions for over-concentrations
both on an Advisor-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, MLIM AS LLC may urge Advisors to reallocate
positions, or itself reallocate Partnership assets among Advisors (although
typically only as of the end of a month) in an attempt to avoid
over-concentrations. However, such interventions are unusual. Except in cases in
which it appears that an Advisor has begun to deviate from past practice or
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.
6
<Page>
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, Pierce, Fenner & Smith Inc. ("MLPF&S")
acting as its commodity broker. Pursuant to the brokerage agreement 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 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.
----------------------------------
2001 $249.58 $251.97 $263.85
----------------------------------
2002 $246.27 $239.70 $243.32
----------------------------------
</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.
7
<Page>
January 1, 2002 to March 31, 2002
The energy sector was the only profitable trading strategy for the quarter.
Natural gas short positions were profitable as the positions benefited from
the mild weather in the United States. The sector experienced large declines
in February due to increased concerns of the health of world economies. This
lead to price instability. Gains were realized in March in the physical
commodity markets, as fears of increased conflicts in the Middle East could
potentially result in a shortage of oil supplies.
Trading in stock indices resulted in losses for the quarter. Long equity
exposures suffered losses in choppy market conditions as profit forecasts
fell short and concern over the Enron accounting situation deepened.
Uncertainty in the global market place prevailed, making for extremely
difficult trading conditions. Long positions appreciated in March, notably in
Japan, Germany and France, but not enough to offset earlier losses.
Conflicting economic reports was the cause for losses in the interest rate
sector. These reports prompted the Fund's managers to flip exposures from
long positions to short positions in most major international bond markets
during the quarter. European fixed income exposures posted losses under
particularly direction-less markets. Global bond prices declined on growing
optimism for as stronger economic outlook for the remainder of 2002.
Trading in the metals sector was down for the quarter. Short positions in
base metals were unsuccessful early on as base metals prices soared on the
hope that an economic recovery in the United States would boost demand.
Precious metal prices declined as the U. S. economy continued to show signs
of stabilizing and inflation concerns waned. Long gold positioning generated
gains as prices rose above $300 for the first time in two years.
Currency trading resulted in losses for the Partnership. In January, gains
were generated in short Japanese yen positions as the Japanese yen continued
to depreciate against the U. S. dollar due to continued deterioration of
economic fundamentals in Japan. In February, all of the futures traded
currencies appreciated against the U.S. dollar, except the Canadian dollar.
March was a relatively volatile month for G-7 currencies. The U.S. dollar
fell from 133 to 127.50 Japanese Yen during the first week, and then almost
completely reversed the move by month-end, causing losses.
Agricultural trading was the least successful strategy. During January and
February, coffee prices were in a downward trend. This trend sharply reversed
in March as reduced exports from Mexico and Central America trimmed
inventories of exchange-approved beans in U.S. warehouses. As prices rose,
the Partnership's short positions sustained losses.
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-bond
cross futures trading produced gains for the sector.
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 corrected back to the 90 cent
level, despite strong fundamentals. This resulted in losses for the
Partnership's long positions. The sector rebounded strongly on March on
substantial gains from short Japanese yen positions.
Trading in the metals market was successful. Losses from 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 weighted 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 by both a seasonal downturn in
global oil usage and heavier than normal refinery maintenance work, reducing
demand. Short natural gas positions were unprofitable in March on concerns over
supply availability.
8
<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 March 1, 2002, Mr. Robert Alderman was elected a manager
of MLIM Alternative Strategies LLC, the Partnership's General
Partner. Mr. Alderman is a Managing Director of MLIM and global
head of Retail Sales and Business Management for Alternative
Investments. In this capacity, he is responsible for coordinating a
global sales effort and managing the retail product line, which
includes hedge fund, private equity opportunities, managed futures
and exchange funds.
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 three
months of fiscal 2002.
9
<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
(General Partner)
Date: May 15, 2002 By /s/ FABIO P. SAVOLDELLI
------------------------
Fabio P. Savoldelli
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)
Date: May 15, 2002 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
10