<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 June 30, 2003

                        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 Merrill Lynch Investment Managers LLC
                                  222 Broadway
                                   27th Floor
                             New York, NY 10038-2510
                             -----------------------
                    (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>
                                                            JUNE 30,
                                                              2003        DECEMBER 31,
                                                          (UNAUDITED)         2002
                                                        --------------   --------------
                                                                    
ASSETS
Investment in MM LLC                                     $  55,451,137    $  11,852,508
Receivable from investment in MM LLC                           564,644           17,205
                                                        --------------   --------------

          TOTAL                                          $  56,015,781    $  11,869,713
                                                        ==============   ==============

LIABILITY AND PARTNERS' CAPITAL

  Redemptions payable                                    $     564,644    $      17,205
                                                        --------------   --------------

      Total liabilities                                        564,644           17,205
                                                        --------------   --------------

PARTNERS' CAPITAL:

  General Partners (584,496 and 468 Units)                     616,949          123,877
  Limited Partners (51,949,800 and 44,310 Units)            54,834,188       11,728,631
                                                        --------------   --------------

      Total partners' capital                               55,451,137       11,852,508
                                                        --------------   --------------

          TOTAL                                          $  56,015,781    $  11,869,713
                                                        ==============   ==============

NET ASSET VALUE PER UNIT

    (Based on 52,534,296 and 44,778 Units outstanding)   $      1.0555    $      264.69
                                                        ==============   ==============
</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 SIX      FOR THE SIX
                                                         MONTHS ENDED     MONTHS ENDED     MONTHS ENDED     MONTHS ENDED
                                                           JUNE 30,         JUNE 30,         JUNE 30,         JUNE 30,
                                                             2003             2002             2003             2002
                                                        --------------   --------------   --------------   --------------
                                                                                                
REVENUES:
  Trading profits (loss):
    Realized                                             $   3,191,836    $     387,266    $   8,520,079    $      65,037
    Change in unrealized                                       450,510          261,621       (2,467,231)         278,689
                                                        --------------   --------------   --------------   --------------

      Total trading results                                  3,642,346          648,887        6,052,848          343,726
                                                        --------------   --------------   --------------   --------------

  Interest income                                              160,434           64,337          330,237          130,563
                                                        --------------   --------------   --------------   --------------

      Total revenues                                         3,802,780          713,224        6,383,085          474,289
                                                        --------------   --------------   --------------   --------------

EXPENSES:
  Brokerage commissions                                      1,218,638          262,067        2,427,174          531,709
  Administrative fees                                           35,843            7,487           71,388           15,191
  Profit shares                                                430,168          108,949          810,207          117,315
                                                        --------------   --------------   --------------   --------------

      Total expenses                                         1,684,649          378,503        3,308,769          664,215
                                                        --------------   --------------   --------------   --------------

NET INCOME (LOSS)                                        $   2,118,131    $     334,721    $   3,074,316    $    (189,926)
                                                        ==============   ==============   ==============   ==============

NET INCOME (LOSS) PER UNIT:
  Weighted average number of General Partner
  and Limited Partner units outstanding                     53,542,915           48,510       54,553,199           49,378
                                                        ==============   ==============   ==============   ==============

  Net income (loss) per weighted
  average Limited Partner and
  General Partner Unit                                   $      0.0396    $        6.90    $      0.0564    $       (3.85)
                                                        ==============   ==============   ==============   ==============
</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 six months ended June 30, 2003 and June 30, 2002
            --------------------------------------------------------
                                   (unaudited)

<Table>
<Caption>
                                                             UNITS       GENERAL PARTNER    LIMITED PARTNERS        TOTAL
                                                        --------------   ----------------  -----------------   --------------
                                                                                                    
PARTNERS' CAPITAL,
  December 31, 2001                                             50,462     $     136,997      $  12,665,187     $  12,802,184

Net loss                                                             -            (1,793)          (188,133)         (189,926)

Redemptions                                                     (2,915)                -           (707,515)         (707,515)
                                                        --------------   ---------------   ----------------    --------------

PARTNERS' CAPITAL,
  June 30, 2002                                                 47,547     $     135,204      $  11,769,539     $  11,904,743
                                                        ==============   ===============   ================    ==============

PARTNERS' CAPITAL,
  December 31, 2002                                             44,778     $     123,877      $  11,728,631     $  11,852,508

Partnership combination                                     56,013,115           460,679         43,744,706        44,205,385

Net income                                                           -            32,457          3,041,859         3,074,316

Redemptions                                                 (3,523,597)              (64)        (3,681,008)       (3,681,072)
                                                        --------------   ---------------   ----------------    --------------

PARTNERS' CAPITAL,
  June 30, 2003                                             52,534,296     $     616,949      $  54,834,188     $  55,451,137
                                                        ==============   ===============   ================    ==============
</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 June 30, 2003, and the
results of its operations for the three and six months ended June 30, 2003 and
2002. However, the operating results for the interim periods may not be
indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in 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,
2002.

2. COMBINATION OF MULTI-ADVISOR FUNDS

After the close of business on December 31, 2002, the Partnership combined its
assets with five other similar Multi-Advisor Funds to form a new ML Futures
Investments L.P. (the "Combined Partnership") in a tax free reorganization. All
of the affected investors received new units of the Combined Partnership with an
initial Net Asset Value per Unit of $1.00 in exchange for each of their original
units. The aggregate Net Asset Value of the investor's new units is equal to
the aggregate Net Asset Value of their original Units. The ratio of the Unit
exchange by entity is listed below.

<Table>
                                                                   
ML Futures Investments L.P.                                           264.694900
ML Futures Investments II L.P.                                        205.193438
The S.E.C.T.O.R. Strategy Fund L.P.                                   207.382494
The Sector Strategy Fund II L.P.                                      172.917074
The Sector Strategy Fund II L.P. Sector III Units                     182.523103
The Sector Strategy Fund V L.P.                                       147.310123
The Sector Strategy Fund VI L.P.                                      134.331163
</Table>

Conversion of the shares had no adverse economic effect on investors in any of
the Multi-Advisor Funds. Merrill Lynch Investment Managers LLC ("MLIM LLC")
contributed $1,560 to the Combined Partnership, the amount necessary due to the
effects of rounding, to insure all investors received shares equal in value to
their original holdings. The Combined Partnership will continue to invest
through ML Multi-Manager Portfolio ("MM LLC") and the combination of the
Multi-Advisor Funds did not change the operations of MM LLC. The Combined
Partnership's percentage of ownership of MM LLC was 32.32% immediately after the
combination. After the combination of the Multi-Advisor Funds, the brokerage
commission rate was reduced to 0.7083 of 1% (an 8.5% annual rate).

3. INVESTMENTS

As of June 30, 2003 and December 31, 2002, the Partnership had an investment in
MM LLC of $55,451,137 and $11,852,508, respectively. As of June 30, 2003, and
December 31, 2002, the Partnership's percentage ownership share of MM LLC was
35.28% and 6.83%, respectively.

                                        5
<Page>

Condensed statements of financial condition and statements of operations for MM
LLC are set forth as follows:

<Table>
<Caption>
                           JUNE 30,
                             2003              DECEMBER 31,
                         (UNAUDITED)               2002
                     --------------------  --------------------
                                      
Assets                $       160,592,732   $       177,485,585
                     ====================  ====================

Liabilities           $         3,434,981   $         4,031,107
Members' Capital              157,157,751           173,454,478
                     --------------------  --------------------

Total                 $       160,592,732   $       177,485,585
                     ====================  ====================
</Table>

<Table>
<Caption>
                        FOR THE THREE MONTHS    FOR THE THREE MONTHS    FOR THE SIX MONTHS      FOR THE SIX MONTHS
                        ENDED JUNE 30, 2003     ENDED JUNE 30, 2002     ENDED JUNE 30, 2003     ENDED JUNE 30, 2002
                            (UNAUDITED)             (UNAUDITED)             (UNAUDITED)             (UNAUDITED)
                       ---------------------   ---------------------   ---------------------   ---------------------
                                                                                    
Revenues                $          5,969,103    $          5,972,065    $         10,541,402    $          4,058,377

Expenses                           2,459,957               2,807,537               5,054,477               4,959,006
                       ---------------------   ---------------------   ---------------------   ---------------------

Net Income (Loss)       $          3,509,146    $          3,164,528    $          5,486,925    $           (900,629)
                       =====================   =====================   =====================   =====================
</Table>

4. 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 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.

The General Partner, MLIM 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 LLC does not
itself intervene in the markets to hedge or diversify the Partnership's market
exposure, MLIM LLC may urge Advisors to reallocate positions, or itself
reallocate Partnership assets, through MM LLC, 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

                                        6
<Page>

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
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.       APR.       MAY.       JUN.
     -----------------------------------------------------------------------------
                                                       
     2002         $246.27    $239.70    $243.32    $239.74    $242.38    $250.38
     -----------------------------------------------------------------------------
     2003         $1.0317    $1.0629    $1.0162    $1.0217    $1.0734    $1.0555
     -----------------------------------------------------------------------------
</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, 2003 TO JUNE 30, 2003

January 1, 2003 to March 31, 2003

The Partnership experienced gains in the currency, energy, interest rate and
stock index sectors and losses in the agricultural commodity and metals sectors.
Overall, for the quarter, the Partnership experienced gains.

The currency forward and futures trading had the most significant gains for the
quarter. The weakening U.S. dollar was continuing to decline as it has for over
a year and the Partnership was well positioned to capitalize on its U.S. dollar
positions against other currencies. The largest gains versus the U.S. dollar
during January and February were with the Australian dollar and Canadian dollar.
In March, on hopes that the war with Iraq would be short, the U.S. dollar
strengthened and returned some of the profits earned early in the year.

                                        7
<Page>

Energy was a profitable sector for the quarter. With the continuation of the
strike in Venezuela, the tensions with Iraq and the cold winter, long positions
in oil and natural gas were profitable in the beginning of the year. In
February, the best performing month, natural gas prices rose nearly 40% in a
single day citing expected severely cold weather and supply shortages. The
Partnership profited from this event but such volatility caused many of the
Advisors to reduce their long positions. This helped the Partnership retain
profits as prices declined in crude oil and natural gas in March.

Interest rate futures were also profitable for the quarter. February had
significant gains offsetting losses in both January and March. U.S. and European
bonds rallied amid concerns of a global economic slowdown benefiting the
Partnership's long exposures. Selective long/short rate exposure globally was
the main driver to gains generated in the sector. The global fixed income
markets continued their upward climb until mid-March when expectations of a
short conflict triggered the liquidation of many fixed income investments
hurting long exposures.

Trading in stock indices posted slight gains for the quarter. The market was
choppy throughout the quarter making trading difficult. The Partnership was able
to realize some gains in January on short positions as most indices recorded
three-month lows. During the rest of the quarter, choppy markets caused short
positions to be covered to protect against the risk of significant losses.

The metals sector had losses for the quarter. Gold drove profits in January as
it continued its run up. The general perception of risks in the financial
markets and the geopolitical situation unfolding was the main driver for the
gold market in January. The Partnership sustained losses in February and March
as the long bias in precious metals hurt the portfolio when gold reversed its
rising trend in February and continued to decline. Gold's appeal as a safe
investment diminished.

Trading in agricultural commodities posted losses for the quarter. The
Partnership held positions in sugar, livestock and the soybean complex.
Livestock markets were off in February as Russia imposed an import limit to help
its domestic production. Sugar was to blame for losses in March as prices
reversed and hit a two-month low.

April 1, 2003 to June 30, 2003

The Partnership was profitable in the financial futures, currencies, interest
rates and stock index sectors, and incurred losses in the physical commodity
sectors, energy, agriculture and metals.

The currency sector was the strongest performer for the Partnership. The U.S.
dollar depreciated against most major currencies throughout most of the second
quarter. The currency markets judged the developments in the Middle East as
negative for the U.S. economy and trade, and the U.S. dollar sold off against
most major currencies. The U.S. dollar continued to weaken significantly during
the month of May when Treasury Secretary Snow indicated he was comfortable with
current declines and that a cheaper U.S. dollar would increase exports. The U.S.
dollar strengthened against most major currencies late June, reversing some
earlier profits.

The interest rate sector generated strong gains during the second quarter
producing significant profits in May. After a mixed start in April, the bond
market rally continued through May despite the stock market recovery. The U.S.,
European and Japanese bond markets reached new highs in June, as investors were
convinced the Federal Reserve would cut short-term rates by 50 basis points. A
stronger Consumer Price Index and a rate cut of only 25 basis points
disappointed the markets causing bond prices to reverse sharply by the end of
the month.

The stock index sector posted gains for the quarter. Gains were generated in
short-term trading in the U.S. and Europe, primarily the S&P 500 and selected
European indices. Overall exposure to the sector remains relatively light.

                                        8
<Page>

The energy markets posted losses for the quarter. The markets in April and May
were dominated by the developments in the Middle East, especially OPEC's
reaction to the developments in Iraq. Production was not being resumed as
initially estimated even though the destruction of the oilfields was smaller
than expected. The SARS epidemic was expected to reduce the demand for jet fuel,
which the markets extrapolated to affect crude oil prices. Natural gas was very
volatile during June.

Trading in agricultural commodities had losses for the quarter. Gains in April,
mainly from soybeans, which rallied due to revisions crop estimates and weather
overseas, were overshadowed by losses in May and June due to changes in crop
estimates and a volatile livestock market. Losses were posted in livestock,
oil seed and grains.

The metals sector generated the greatest losses for the Partnership this
quarter. Short positions in base metals and precious metals contributed to
losses in the sector. Gold generated losses in June reacting to the U.S. dollar
sell off.

JANUARY 1, 2002 TO JUNE 30, 2002

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 marketplace 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 Advisors 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 a
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.

                                        9
<Page>

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 soybeans in U.S. warehouses. As prices rose, the Partnership's
short positions sustained losses.

April 1, 2002 to June 30, 2002

Profits resulting from trading in the currency sector provided the Partnership
with the majority of its gains in the second quarter. The decline in the U.S.
dollar continued through June unabated fueled by the decline in the U.S. equity
markets.

The interest rate sector was profitable for the Partnership despite its slow
start. Yields on major debt-instruments continued to decline. U.S. fixed income
markets have rallied sharply due to the flight-to-safety effect as well as the
conviction that the U.S. Federal Reserve will raise rates later rather than
sooner.

The agricultural commodities sector posted small gains for the quarter. Strong
gains were posted in livestock and grains in April as prices trended downward.
Soybean by-products positions also contributed to the profits in this sector.
The continued weakness in the U.S. dollar and low stockpiles in grains and
soybeans should aid in sustaining a price rally in the summer months.

The metals sector sustained slight losses for the quarter. In June, the uptrend
in gold and silver reversed and losses were sustained on long position
eliminating profits earned earlier in the quarter.

Energy futures experienced whipsaw markets and trading brought in losses for the
Partnership. The market was volatile during the quarter due to continued turmoil
in the Middle East.

Losses were experienced in the stock indices sector. The quarter began with the
stall of the appreciation in the U.S. and European equity markets in April due
to weak recovery expectations. The continued erosion of confidence in the
quarter about corporate earnings and the timing of recovery caused both the U.S.
and European markets to fall back.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

     Not applicable

Item 4. Controls and Procedures

Merrill Lynch Investment Managers LLC, the General Partner of ML Futures
Investments L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this quarterly report, and, based on their evaluation, have concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

                                       10
<Page>

                           PART II - OTHER INFORMATION

Item 1.   Legal Proceedings

          There are no pending proceedings to which the Partnership or MLIM 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

          None.

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 six months of
          fiscal 2003.

                                       11
<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: MERRILL LYNCH INVESTMENT
                                                       MANAGERS LLC
                                                      General Partner


Date: August 14, 2003                         By /s/ FABIO P. SAVOLDELLI
                                                 -----------------------
                                                 Fabio P. Savoldelli
                                                 Executive Vice President,
                                                 Chief Investment Officer and
                                                 Managing Director - Alternative
                                                 Strategies Division
                                                 (Principal Executive Officer)


Date: August 14, 2003                         By /s/ PATRICK HAYWARD
                                                 -------------------
                                                 Patrick Hayward
                                                 Chief Financial Officer
                                                 (Principal Financial and
                                                 Accounting Officer)

                                       12
<Page>

                                   EXHIBIT 99

          Form of Certification Pursuant to Section 1350 of Chapter 63
          ------------------------------------------------------------
                     of Title 180 of the United States Code
                     --------------------------------------

I, Fabio P. Savoldelli, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Futures Investments
L.P.;

2. Based on my knowledge, this quarterly 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 quarterly
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly 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 quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

   a) designed such disclosure controls and procedures 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 quarterly report is being
   prepared;

   b) evaluated the effectiveness of the registrant's disclosure controls and
   procedures as of a date within 90 days prior to the filing date of this
   quarterly report (the "Evaluation Date"); and

   c) presented in this quarterly report our conclusions about the effectiveness
   of the disclosure controls and procedures based on our evaluation as of the
   Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent function):

   a) all significant deficiencies in the design or operation of internal
   controls which could adversely affect the registrant's ability to record,
   process, summarize and report financial data and have identified for the
   registrant's auditors any material weaknesses in internal controls; and

   b) any fraud, whether or not material, that involves management or other
   employees who have a significant role in the registrant's internal controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.


Date: August 14, 2003
- -----------------------

By /s/ FABIO P. SAVOLDELLI
   -----------------------
Fabio P. Savoldelli
Executive Vice President, Chief Investment Officer and Managing Director -
Alternative Strategies Division
(Principal Executive Officer)

                                       13
<Page>

                                 EXHIBIT 99 (a)

                                 AS ADOPTED TO
                                 -------------
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
                  ---------------------------------------------

In connection with this quarterly report of ML Futures Investments L.P. on Form
10-Q for the period ended June 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Fabio P. Savoldelli certify, pursuant
to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of
2002, that:

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

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Futures Investments L.P.


Date: August 14, 2003
- -----------------------

By /s/ FABIO P. SAVOLDELLI
   -----------------------
Fabio P. Savoldelli
Executive Vice President, Chief Investment Officer and Managing Director -
Alternative Strategies Division
(Principal Executive Officer)

                                       14
<Page>

                                   EXHIBIT 99

          Form of Certification Pursuant to Section 1350 of Chapter 63
          ------------------------------------------------------------
                     of Title 180 of the United States Code
                     --------------------------------------

I, Patrick Hayward, certify that:

1. I have reviewed this quarterly report on Form 10-Q of ML Futures Investments
L.P.;

2. Based on my knowledge, this quarterly 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 quarterly
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly 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 quarterly report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

   a) designed such disclosure controls and procedures 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 quarterly report is being
   prepared;

   b) evaluated the effectiveness of the registrant's disclosure controls and
   procedures as of a date within 90 days prior to the filing date of this
   quarterly report (the "Evaluation Date"); and

   c) presented in this quarterly report our conclusions about the effectiveness
   of the disclosure controls and procedures based on our evaluation as of the
   Evaluation Date;

5. The registrant's other certifying officers and I have disclosed, based on our
most recent evaluation, to the registrant's auditors and the audit committee of
registrant's board of directors (or persons performing the equivalent function):

   a) all significant deficiencies, in the design or operation of internal
   controls which could adversely affect the registrant's ability to record,
   process, summarize and report financial data and have identified for the
   registrant's auditors any material weaknesses in internal controls; and

   b) any fraud, whether or not material, that involves management or other
   employees who have a significant role in the registrant's internal controls;

6. The registrant's other certifying officers and I have indicated in this
quarterly report whether there were significant changes in internal controls or
in other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.


Date: August 14, 2003
- -----------------------

By /s/ PATRICK HAYWARD
   -------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

                                       15
<Page>

                                 EXHIBIT 99 (a)

                                  AS ADOPTED TO
                                  -------------
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
                  ---------------------------------------------

In connection with this quarterly report of ML Futures Investments L.P. on Form
10-Q for the period ended June 30, 2003 as filed with the Securities and
Exchange Commission on the date hereof, I, Patrick Hayward certify, pursuant to
18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

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

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Futures Investments L.P.


Date: August 14, 2003
- -----------------------

By /s/ PATRICK HAYWARD
   -------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

                                       16