ML FUTURES INVESTMENTS LP - 10-K Annual Report

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended: December 31, 2002
or
/ / Transition Report Pursuant to Section 13
or 15(d) of the Securities Exchange Act of 1934

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 (I.R.S. Employer
incorporation or organization) Identification No.)

C/O MERRILL LYNCH INVESTMENT MANAGERS LLC
222 BROADWAY
27TH FLOOR
NEW YORK, NY 10038-2510
-----------------------
(Address of principal executive offices)

Registrant's telephone number, including area code: (609) 282-6996

SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT: None

SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT: Limited Partnership
Units

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 / /

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

Aggregate market value of the voting and non-voting common equity held by
non-affiliates of the registrant: the registrant is a limited partnership: as of
February 1, 2003, limited partnership units with an aggregate value of
$55,585,203 were outstanding and held by non-affiliates.

DOCUMENTS INCORPORATED BY REFERENCE
The registrant's "2002 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2002,
is incorporated by reference into Part II, Item 8 and Part IV hereof and filed
as an Exhibit herewith.

ML FUTURES INVESTMENTS L.P.

ANNUAL REPORT FOR 2002 ON FORM 10-K

TABLE OF CONTENTS

PART I

ITEM 1: BUSINESS

(a) General Development of Business:

ML Futures Investments L.P. (the "Partnership") was organized
under the Delaware Revised Uniform Limited Partnership Act on November 14, 1988
and began trading operations on March 1, 1989. The Partnership made a single
offering of its units of limited partnership interest ("Units"). Units may be
redeemed as of the end of each calendar month. The Partnership engages
currently, through an investment in a limited liability company (see below) in
the speculative trading of a portfolio of futures, options on futures, forwards
and options on forward contracts and related options in the currencies, interest
rates, stock index, metals, agricultural and energy sectors of the world futures
markets. The Partnership's objective is achieving, through speculative trading,
substantial capital appreciation, over time.

MLIM Alternative Strategies LLC ("MLIM AS LLC"), a wholly-owned
subsidiary of Merrill Lynch Investment Managers, LP ("MLIM") which, in turn, is
an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("Merrill
Lynch"), was the general partner of the Partnership. As of February 28, 2003 the
general partner interest and the management authority of the Partnership was
assigned from MLIM AS LLC to Merrill Lynch Investment Managers LLC ("MLIM LLC"),
a wholly-owned subsidiary of MLIM, as part of an internal Merrill Lynch
reorganization. This change did not affect the personnel involved in the
management of the Partnership. Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), is the Partnership's commodity broker.

Prior to October 1, 1996, the Partnership placed assets with
the commodity trading advisors (the "Advisors") by opening individual managed
accounts with them. For the period from October 1, 1996 to May 31, 1998, the
Partnership placed assets with certain of the Advisors through investing in
private funds ("Trading LLCs") sponsored by MLIM AS LLC, through which the
trading accounts of different MLIM AS LLC-sponsored funds managed by the same
Advisor pursuant to the same strategy were consolidated. The only members of the
Trading LLCs were commodity pools sponsored by MLIM AS LLC. Placing assets with
an Advisor through investing in a Trading LLC rather than a managed account had
no economic effect on the Partnership, except to the extent that the Partnership
benefited from the Advisor not having to allocate trades among a number of
different accounts (rather than acquiring a single position for the Trading LLC
as a whole). As of June 1, 1998, MLIM AS LLC consolidated the trading accounts
of nine of its multi-advisor funds (the "Multi-Advisor Funds"), including the
Partnership. The consolidation was achieved by having these Multi-Advisor Funds
invest in a single Delaware limited liability company, ML Multi-Manager
Portfolio LLC ("MM LLC"), which opened a single account with each Advisor
selected. MM LLC has been managed by MLIM AS LLC, and is now being managed by
MLIM LLC, has no investors other than the Multi-Advisor Funds and serves solely
as the vehicle through which the assets of such Multi-Advisor Funds are combined
in order to be managed through single rather than multiple accounts. The
placement of assets into MM LLC did not change the operations or fee structure
of the Partnership. The administrative authority over the Partnership, as well
as MM LLC, remains with MLIM LLC.

Effective after the close of business on December 31, 2002, the
Partnership combined its net 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 Partnership's 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 each
investor's new Units is equal to the aggregate Net Asset Value of their original
Units. Conversion of the shares had no adverse economic effect on investors in
any of the Multi-Advisor Funds. The Combined Partnership will continue to invest
through 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.

As of December 31, 2002, the Combined Partnership's
capitalization was $56,057,893, and the Net Asset Value of a Unit was $1.00.
Unless otherwise noted, financial information provided in this report for 2002
is for the Combined Partnership.

Through December 31, 2002, prior to combination, the highest
month-end Net Asset Value per Unit was $267.42 (October 31, 2001) and the lowest
was $99.88 (March 31, 1989).

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(b) Financial Information about Segments:

The Partnership's business constitutes only one segment for
financial reporting purposes, I.E., a speculative "commodity pool." The
Partnership does not engage in sales of goods or services.

(c) Narrative Description of Business:

GENERAL

The Partnership trades, through its investment in MM LLC, in
futures, options on futures, forwards and options on forward contracts in the
major sectors of the world economy with the objective of achieving substantial
capital appreciation over time.

MLIM LLC is the Partnership's trading manager, with
responsibility for selecting Advisors to manage MM LLC's assets, allocating and
reallocating MM LLC assets among different Advisors.

Considered as a whole, the Partnership, through its investment
in MM LLC, trades in a diversified range of international markets. Certain
Advisors, considered individually, concentrate primarily on trading in a limited
portfolio of markets. The composition of the "sectors" included in the
Partnership's portfolio varies substantially over time.

MLIM LLC may, from time to time, direct certain individual
Advisors to manage their Partnership accounts as if they were managing more
equity than the actual capital allocated to them.

One of the objectives of the Partnership is to provide
diversification for a limited portion of the risk segment of the Limited
Partners' portfolios. Commodity pool performance has historically demonstrated a
low degree of performance correlation with traditional stock and bond holdings.
Since it began trading, the Partnership's returns have, in fact, frequently been
non-correlated with the United States stock and bond markets.

Use of Proceeds and Interest Income

Market Sectors.
The Partnership, through its investment in MM LLC, trades in a
diversified group of markets under the direction of multiple independent
Advisors. These Advisors from time to time materially alter the allocation of
their overall trading commitments among different market sectors. Except in the
case of certain trading programs which are purposefully limited in the markets
which they trade, there is essentially no restriction on the commodity interests
which may be traded by any Advisor or the rapidity with which an Advisor may
alter its market sector allocations.

Market Types.
The Partnership trades, through its investment in MM LLC, on a
variety of United States and foreign futures exchanges. Substantially all of the
Partnership's non-exchange trading takes place in the highly liquid,
institutionally-based currency forward markets.

Many of the Partnership's currency trades are executed in the
spot and forward foreign exchange markets (the "FX Markets") where there are no
direct execution costs. Instead, the participants, banks and dealers in the FX
Markets take a "spread" between the prices at which they are prepared to buy and
sell particular currencies and such spreads are built into the pricing of the
spot or forward contracts with the Partnership. In its exchange of futures for
physical ("EFP") trading, the Partnership acquires cash currency positions
through banks and dealers, including Merrill Lynch. The Partnership pays a
spread when it exchanges these positions for futures. This spread reflects, in
part, the different settlement dates of the cash and the futures contracts, as
well as prevailing interest rates, but also includes a pricing spread in favor
of the banks and dealers, which may include a Merrill Lynch entity.

As in the case of its market sector allocations, the
Partnership's commitments to different types of markets -- U.S. and non-U.S.,
regulated and non-regulated -- differ substantially from time to time as well as
over time.

2

Custody of Assets.

The majority of the Partnership's assets are currently held in
customer accounts at Merrill Lynch.

Interest paid by Merrill Lynch on the Partnership's U.S. Dollar
and non U.S. Dollar Assets

A majority of the Partnership's U.S. dollar assets invested in
MM LLC are maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch
credits MM LLC with interest at the prevailing 91-day U.S. Treasury bill rate.
MM LLC is credited with interest on any of its assets and net gains actually
held by Merrill Lynch in non-U.S. dollar currencies at a prevailing local rate
received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in
excess of the interest which Merrill Lynch pays to MM LLC, from possession of
such assets.

Merrill Lynch charges the Partnership, through MM LLC, Merrill
Lynch's cost of financing realized and unrealized losses on MM LLC's non-U.S.
dollar-denominated positions.

Charges

The following table summarizes the charges incurred by the
Partnership during 2002, 2001 and 2000 through MM LLC.

The Partnership's average month-end Net Assets, during 2002,
2001 and 2000 equaled $57,994,094, $13,558,376, and $14,783,696, respectively.

3

DESCRIPTION OF CURRENT CHARGES

4

Regulation

MLIM LLC, the Advisors and MLPF&S are each subject to
regulation by the Commodity Futures Trading Commission, (the "CFTC") and the
National Futures Association ("NFA"). Other than in respect of its periodic
reporting requirements under the Securities Exchange Act of 1934, the
Partnership itself is generally not subject to regulation by the Securities and
Exchange Commission (the "SEC"). However, MLIM AS LLC itself is registered as an
"investment adviser" under the Investment Advisers Act of 1940. MLPF&S is also
regulated by the SEC and the National Association of Securities Dealers.

(i) through (xii) -- not applicable.

(xiii) The Partnership has no employees.

(d) Financial Information about Foreign and Domestic Operations and
Export Sales:

The Partnership does not engage in material operations in
foreign countries, nor is a material portion of the Partnership's revenue
derived from customers in foreign countries. However, the Partnership trades,
through its investment MM LLC, on a number of foreign commodity exchanges. The
Partnership does not engage in the sales of goods or services.

ITEM 2: PROPERTIES

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

The Partnership's administrative offices are the administrative
offices of MLIM LLC (Merrill Lynch Investment Managers LLC, 222 Broadway, 27th
Floor, New York, NY 10038-2510). MLIM LLC performs all administrative services
for the Partnership from MLIM LLC's offices.

ITEM 3: LEGAL PROCEEDINGS

Merrill Lynch -- a partner of MLIM, which is the sole member of
MLIM LLC -- as well as certain of its subsidiaries and affiliates have been
named as defendants in civil actions, arbitration proceedings and claims arising
out of their respective business activities. Although the ultimate outcome of
these actions cannot be predicted at this time and the results of legal
proceedings cannot be predicted with certainty, it is the opinion of management
that the result of these matters will not be materially adverse to the business
operations or financial condition of MLIM LLC or the Partnership.

MLIM LLC or the Partnership itself has never been the subject
of any material litigation.

ITEM 4: SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

The Partnership has never submitted any matter to a vote of its
Limited Partners.

PART II

ITEM 5: MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS

Item 5(a)

(a) Market Information:

There is no established public trading market for the Units,
nor will one develop. Limited Partners may redeem Units as of the end of each
month at Net Asset Value.

(b) Holders:

As of December 31, 2002, there were 2,798 holders of Units,
including MLIM LLC.

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(c) Dividends:

The Partnership has made no distributions, nor does MLIM LLC
presently intend to make any distributions in the future.

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

Not applicable.

Item 5(b)

Not applicable.

ITEM 6: SELECTED FINANCIAL DATA

The following selected financial data has been derived from the audited
financial statements of the Partnership:

The variations in income statement line items are primarily due to investing in
Trading LLCs and in MM LLC.

6

Pursuant to CFTC policy, monthly performance is presented only
from January 1, 1998 even though Units were outstanding prior to such date.

After the close of business on December 31, 2002, the
Partnership combined its assets with five other similar Multi Advisor Funds to
form the Combined Partnership. 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 of
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.

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

ML FUTURES INVESTMENTS L.P.
DECEMBER 31, 2002

TYPE OF POOL: SELECTED-ADVISOR/PUBLICLY-OFFERED/"PRINCIPAL PROTECTED"(1)
INCEPTION OF TRADING: March 1, 1989
AGGREGATE SUBSCRIPTIONS: $130,705,893
CURRENT CAPITALIZATION: $56,057,893
WORST MONTHLY DRAWDOWN(2): (5.43)% (4/98)
WORST PEAK-TO-VALLEY DRAWDOWN(3): (10.31)% (11/01-2/02)

-------------

NET ASSET VALUE PER UNIT, DECEMBER 31, 2002: $1.00

(1) Pursuant to applicable CFTC regulations, a "Multi-Advisor"
fund is defined as one that allocates no more than 25% of its trading assets to
any single manager. As the Partnership may allocate more than 25% of its trading
assets to one or more Advisors, it is referred to as a "Selected-Advisor" fund.
Certain funds, including funds sponsored by MLIM LLC, are structured so as to
guarantee to investors that their investment will be worth no less than a
specified amount (typically, the initial purchase price) as of a date certain
after the date of investment. The CFTC refers to such funds as "Principal
Protected". The Partnership has no such feature.

(2) Worst Monthly Drawdown represents the largest negative
Monthly Rate of Return experienced since January 1, 1998 by the Partnership; a
Drawdown is measured on the basis of month-end Net Asset Value only, and does
not reflect intra-month figures.

7

(3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline since January 1, 1998 from a month-end cumulative Monthly
Rate of Return without such cumulative Monthly Rate of Return being equaled or
exceeded as of a subsequent month-end. For example, if the Monthly Rate of
Return was (1)% in each of January and February, 1% in March and (2)% in April,
the Peak-to-Valley Drawdown would still be continuing at the end of April in the
amount of approximately (3)%, whereas if the Monthly Rate of Return had been
approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

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

ITEM 7: MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

RESULTS OF OPERATIONS

Advisor Selections

The Partnership's results of operations depend on MLIM LLC's
ability to select Advisors and the Advisors' ability to trade profitably. MLIM
LLC's selection procedures and trading leveraging analysis, as well as the
Advisors' trading methods, are confidential, so that substantially the only
available information relevant to the Partnership's results of operations is its
actual performance record to date. Because of the speculative nature of its
trading, the Partnership's past performance is not necessarily indicative of its
future results.

MLIM AS LLC has made and MLIM LLC expects to continue making
frequent changes to both trading asset allocations among Advisors and Advisor
combinations.

MLIM LLC's decision to terminate or reallocate assets among
Advisors is based on a combination of numerous factors. Advisors are, in
general, terminated primarily for unsatisfactory performance, but other factors
- -- for example, a change in MLIM LLC's or an Advisor's market outlook, apparent
deviation from announced risk control policies, excessive turnover of positions,
changes in principals, commitment of resources to other business activities,
etc. -- may also have a role in the termination or reallocation decision. The
market judgment and experience of MLIM LLC's principals is an important factor
in its asset allocation decisions.

MLIM LLC has no timetable or schedule for making Advisor
changes or reallocations, and generally makes a medium- to long-term commitment
to all Advisors selected. There can be no assurance as to the frequency or
number of Advisor changes that may take place in the future, or as to how long
any of the current Advisors will continue to manage assets for the Partnership.

General

A number of the Advisors are trend-following traders, whose
programs do not attempt to predict price movements. No fundamental economic
supply or demand analyses are used by these Advisors, and no macroeconomic
assessments of the relative strengths of different national economies or
economic sectors are evaluated. Instead, the programs apply proprietary computer
models to analyze past market data, and from this data alone attempt to
determine whether market prices are trending. These technical traders base their
strategies on the theory that market prices reflect the collective judgment of
numerous different traders and are, accordingly, the best and most efficient
indication of market movements. However, there are frequent periods during which
fundamental factors external to the market dominate prices.

If a trend-following Advisor's models identify a trend, they
signal positions which follow it. When these models identify the trend as having
ended or reversed, these positions are either closed out or reversed. Due to
their trend-following character, these Advisors' programs do not predict either
the commencement or the end of a price movement. Rather, their objective is to
identify a trend early enough to profit from it and detect its end or reversal
in time to close out the Partnership's positions while retaining most of the
profits made from following the trend.

8

In analyzing the performance of trend-following programs,
economic conditions, political events, weather factors, etc., are not directly
relevant because only market data has any input into trading results.
Furthermore, there is no direct connection between particular market conditions
and price trends. There are so many influences on the markets that the same
general type of economic event may lead to a price trend in some cases but not
in others. The analysis is further complicated by the fact that the programs are
designed to recognize only certain types of trends and to apply only certain
criteria of when a trend has begun. Consequently, even though significant price
trends may occur, if these trends are not comprised of the type of intra-period
price movements which the programs are designed to identify, a trend-following
Advisor may miss the trend altogether.

In the case of the Advisors which implement strategies who rely
more on discretion and market judgment, it is not possible to predict, from
their performance during past market cycles, how they will respond to future
market events.

Performance Summary

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

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

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

2002

During 2002, all of the Partnership's assets were invested in
MM LLC. The Partnership received trading profits as an investor in MM LLC. The
following commentary of 2002 describes the trading results for MM LLC during the
year.

The Partnership's overall trading performance was successful
with gains in interest rates and currency sectors contributing the most profits.

Results from the interest rate sector provided solid positive
performance for the Partnership. Most profits were generated in the third
quarter and the month of December. The yield curve on major debt instruments
declined throughout the third quarter. This market environment was supported by
the increased risk aversion, the continued U.S. stock market decline and the
conflicting reports regarding the pace of the U.S. economic recovery. The
economic news from Europe also pointed to a weak recovery overseas. During
December, trading strategies capitalized on the lowered interest rates by the
European Central Bank, causing the Euribor rates to trend higher.

Profits resulting from trading in the currency sector provided
the Partnership with gains in the second quarter and December, which outweighed
losses sustained during other periods in the year. The decline in the U.S.
dollar during the first half of the year continued through June unabated, fueled
by the decline in the U.S. equity markets. The trading strategies were able to
capitalize on the declining U.S. dollar in December and weather the volatility
of the currency market during the last two weeks of the year.

Agricultural commodities brought in slight trading gains for
the year. A second and third quarter run up was able to offset the losses
sustained in the first quarter and in December. The beginning of the year
brought uncertainty in the global market place creating a difficult trading
environment. The continued weakness in the U.S. dollar and low stockpiles in
grains and soybeans aided in sustaining a price rally in the summer months.
Grains and soybeans rallied due to weather and supply concerns. The summer
drought produced expectations of a reduced harvest this season. The sector
returned some gains later in September, as harvests were not as bad as was
feared. The fourth quarter showed some significant profits in the short sugar
positions as prices dropped hard in October. In December, soybeans had a large
sell-off, which had a large impact on the soybean oil spread trade being held by
the

9

Partnership.

The energy sector brought in losses for the year. Recoveries
being made in August and September were completely reversed and worsened in
October and November. Crude oil led the gains in August and September as
continued talk of military action against Iraq built a risk premium into prices.
In October, crude oil reversed sharply as fears over a war with Iraq subsided
and reversed its long trend going from $31 a barrel to $27 during the month. In
November, news of the Iraqi acceptance of the UN resolution for arms inspections
was expected to further drive prices down but unexpectedly failed to do so,
resulting in continued losses in the portfolio of short crude positions.

The metals sector incurred losses for the Partnership despite a
settlement payment in August relating to certain copper trades made by a number
of investors, including the Partnership, during a period in the mid-1990s.
Members of the class were those who purchased or sold Comex copper futures or
options contracts between June 24, 1993 and June 15, 1996. The effect of the
settlement payment was included in the Partnership's performance in August.

The trading in stock indices found profits from its short
positions during the second and third quarters of the year but were unable to
offset losses in the first and last quarter. The strength of U.S. economic data
continued to surprise on the upside, pointing toward a stronger recovery than
expected, but the equity markets remained weak. The downward trending market
created a good environment for the trend following traders, as investors in the
equity markets were still liquidating equity exposure during the third quarter.

2001

During 2001, all of the Partnership's assets were invested in
MM LLC. The Partnership received trading profits as an investor in MM LLC. The
following commentary of 2001 describes the trading results for MM LLC during the
year.

Trading in the interest rate sector was the most successful
strategy for 2001. The impact of the weakening U.S. economy and the Federal
Reserve's move to cut interest rates was felt throughout the futures market, as
Euro futures contracts rose dramatically since December 2000. Eurodollar
positions continued to post gains later in the year. Swiss franc short term
interest rate contract trading and short Sterling 500 positions were also
profitable. In October, the U.S. Treasury's announcement to stop issuing 30 year
debt, coupled with worldwide governments easing of monetary policy, benefited
long positions across the global yield curve.

Despite year long volatility, stock index trading was
profitable. Short positions resulted in gains as global equity markets remained
caught between negative news about corporate earnings, the potential effects of
further monetary easing and the global economic slump would worsen as an
aftermath of the September 11 attacks. The global equity markets improved by
year end, driven by the rebounding technology sector.

Agricultural commodities trading was successful despite losses
sustained early in the year. Excellent growing weather in the U.S., Argentina
and Brazil, concerns about the U.S. export potential and inventories at
historically high levels, kept the markets on the defensive. The cotton market
sank to a 15 year low on short supply and increased demand. Short corn and
cotton positions were profitable at mid year. By October, the soybean complex
posted gains as the crushing capacity tightened up, driving spreads up to
between $0.80-$1.00 in nearby delivery months, crushing spreads had been near
the $0.60 range.

Trading in the metals markets was successful. Silver prices
reversed their earlier trend in February, as short positions were profitable.
Silver trading continued to be volatile as China exports were high due to poor
domestic demand, adversely affecting prices. Short positions in base metals
posted gains in October as a weak economic outlook kept prices depressed. By
year end, base metals reversed their downward trend on expectations of a quick
economic recovery, generating losses on short positions.

Currency trading suffered losses for the Partnership. Long Euro
positions realized losses as the Euro fell back to the $0.90 level, despite
strong fundamentals. The further weakening of the Euro and Japanese yen
displayed how the global economy is not immune to the U.S. economic slowdown.
Long British pound positions were profitable in September as it appreciated
versus the U.S. dollar on concerns of the negative economic implications from
the September 11 attacks.

10

Energy trading was the most unprofitable strategy in 2001.
Early on, crude oil prices were driven lower by both a seasonal downturn in
global energy usage and heavier than normal refinery maintenance work, reducing
demand. The sector continued to fade from downside pressure from a slowing
global economy, inventory surplus and OPEC's decision to leave production levels
unchanged. Oil prices sank in the last quarter as traders feared the attacks
would cripple the airline industry, a major consumer of oil.

2000

During 2000, all of the Partnership's assets were invested in
MM LLC. The Partnership received trading profits as an investor in MM LLC. The
following commentary of 2000 describes the trading results for MM LLC during the
year.

The Partnership's overall trading strategy was profitable for
2000. Gains were realized by trading in the interest rate, currency and energy
markets. Losses were sustained in the agricultural, metals and stock index
sectors. Trading was volatile and unprofitable through September. However, gains
realized in the interest rate and currency markets in November and December
eradicated those losses.

Interest rate trading was profitable for the Partnership. Short
Eurodollar trading was profitable early in the year as the European Union
ministers blamed the Euro's decline on rapid U.S. growth and fears that the
Federal Reserve would continue to increase interest rates. By mid year, losses
were incurred from U.S. Treasury bond and Euro ten-year bond trading as
investors shifted to U.S. Treasuries due to increased volatility in the NASDAQ
and other equity markets. Short Eurodollar turned unprofitable as the Euro
improved after the European Central Bank's 50 basis point repo rate hike.
Uncertainty surrounding the U.S. Presidential election caused investors to favor
the bond markets over equities, resulting in significant gains for the
Partnership's various long positions.

Trading in the currency markets was also successful. Short Euro
positions were profitable after officials from the Group of Seven met in January
and failed to express concern about the low levels of the currency. Despite
steep interest rate hikes by the Swiss National Bank ("SNB") and the general
weakness of the Euro, the SNB said it will not keep the Swiss franc from rising.
Short British pound positions were profitable as the British pound was weak in
the wake of the Bank of England's references to "sterling overvaluation". Short
Japanese yen trading yielded gains in July as the Japanese yen finished weaker
against the U.S. dollar in anticipation that the U.S. Federal Reserve would
continue to raise interest rates. Short positions in the Canadian dollar
resulted in gains as the currency weakened during November despite worsening
U.S. dollar fundamentals, a large Canadian budget surplus and plans for tax cuts
in Canada.

Energy trading was profitable throughout the year as prices
continued to surge. Despite the possibility of OPEC increasing oil production,
crude oil prices continued to rise as such a hike would still leave oil
inventories much below normal. Light crude oil prices continued to rise in June
even though OPEC agreed to increase production on July 1. The market was looking
for a larger production hike. By November, oil prices were pushed higher as a
result of temperatures significantly lower than the previous year combined with
a large inventory deficit.

Agriculture trading sustained modest losses for the year. Corn
prices fluctuated early on numerous changes in weather forecasts. A USDA grain
crop report projected a 12% rise in soybean inventories from the previous
season. This led to fears of an abundance of supply, lowering prices. Short
wheat trading was beneficial in July as drought warnings issued in early spring
proved inaccurate. As a result of good global grain and oilseed crops, supply
exceeded demand, resulting in profits in short soyoil positions at year-end.

Metals trading alternated between profitability and
unprofitability during the year. Copper trading resulted in losses after a
Freeport, Indonesia mine announced output cuts would not be as severe, damaging
the Partnership's long positions. Gold prices declined for most of 2000 as
investors were discouraged from the drop in the Euro, severe weakness in the
Australian dollar along with sharp decreases in the South African Rand and
Indian rupee. Nickel prices declined from slowing demand for stainless steel in
Europe and Asia.

Stock index markets trading was unprofitable during a volatile
year. Signs of rising inflation fueled fears that the Federal Reserve would
continue to raise interest rates aggressively to slow the economy. S&P

11

500 positions sustained losses as buyers retreated due to fears of a U.S.
economic slowdown. Long positions were generally unprofitable throughout the
year, with minimal gains realized from the Partnership's short positions.

Variables Affecting Performance

The principal variables which determine the net performance of
the Partnership are gross profitability and interest income.

During all periods set forth under "Selected Financial Data,"
the interest rates in many countries were at unusually low levels. The low
interest rates in the United States (although higher than in many other
countries) negatively impacted revenues because interest income is typically a
major component of the Partnership's profitability. In addition, low interest
rates are frequently associated with reduced fixed income market volatility, and
in static markets the Partnership's profit potential generally tends to be
diminished. On the other hand, during periods of higher interest rates, the
relative attractiveness of a high risk investment such as the Partnership may be
reduced as compared to high yielding and much lower risk fixed-income
investments.

The Partnership's Brokerage Commissions and Administrative Fees
are a constant percentage of the Partnership's assets allocated to trading. The
only Partnership costs (other than the insignificant currency trading costs)
which are not based on a percentage of the Partnership's assets (allocated to
trading or total) are the Profit Shares payable to the Advisors on an
Advisor-by-Advisor basis. Gross profitability is in turn affected by the
percentages of the Partnership's assets allocated to trading. During periods
when Profit Shares are a high percentage of net trading gains, it is likely that
there has been substantial performance non-correlation among the Advisors (so
that the total Profit Shares paid to those Advisors which have traded profitably
are a high percentage, or perhaps even in excess, of the total profits
recognized, as other Advisors have incurred offsetting losses, reducing overall
trading gains but not the Profit Shares paid to the successful Advisors) --
suggesting the likelihood of generally trendless, non-consensus markets.

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

Except in unusual circumstances, factors (e.g. regulatory
approvals, cost of goods sold, employee relations and the like) which often
materially affect an operating business have virtually no impact on the
Partnership.

LIQUIDITY; CAPITAL RESOURCES

The Partnership sells no securities other than the Units. The
Partnership borrows only to a limited extent and only on a strictly short-term
basis in order to finance losses on non-U.S. dollar denominated trading
positions pending the conversion of the Partnership's U.S. dollar deposits.
These borrowings are at a prevailing short-term rate in the relevant currency.
They have been immaterial to the Partnership's operation to date and are
expected to continue to be so.

Substantially all of the Partnership's assets are held in cash.
The Net Asset Value of the Partnership's cash is not affected by inflation.
However, changes in interest rates could cause periods of strong up or down
price trends, during which the Partnership's profit potential generally
increases. Inflation in commodity prices could also generate price movements
which the strategies might successfully follow.

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

12

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

Past Performance Not Necessarily Indicative of Future Results

The Partnership trades, through its investment in MM LLC.
The following commentary describes the Partnership's investment in MM LLC.

The Partnership is a speculative commodity pool. Unlike an
operating company, the risk of market sensitive instruments traded by it is
integral, not incidental, to the Partnership's main line of business.

Market movements result in frequent changes in the fair market
value of the Partnership's open positions and, consequently, in its earnings and
cash flows. The Partnership's market risk is influenced by a wide variety of
factors, including the level and volatility of interest rates, exchange rates,
equity price levels, the market value of financial instruments and contracts,
the diversification effects among the Partnership's open positions and the
liquidity of the markets in which it trades.

The Partnership, under the direction of its Advisors, rapidly
acquires and liquidates both long and short positions in a wide range of
different markets. Consequently, it is not possible to predict how a possible
future market scenario will affect performance, and the Partnership's past
performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the
Partnership could reasonably be expected to lose in a given market sector.
However, the inherent uncertainty of the Partnership's speculative trading and
the recurrence in the markets traded by the Partnership of market movements far
exceeding expectations could result in actual trading or non-trading losses far
beyond the indicated Value at Risk or the Partnership's experience to date
(i.e., "risk of ruin"). In light of the foregoing, as well as the risks and
uncertainties intrinsic to all future projections, the inclusion of the
quantification in this section should not be considered to constitute any
assurance or representations that the Partnership's losses in any market sector
will be limited to Value at Risk or by the Partnership's attempt to manage
market risk.

Quantifying the Partnership's Trading Value at Risk

QUANTITATIVE FORWARD-LOOKING STATEMENTS

The following quantitative disclosures regarding the
Partnership's market risk exposures contain "forward-looking statements" within
the meaning of the safe harbor from civil liability provided for such statements
by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act
of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for
statements of historical fact.

The Partnership's risk exposure in the various market sectors
traded by the Advisors is quantified below in terms of Value at Risk. Due to the
Partnership's mark-to-market accounting, any loss in the fair value of the
Partnership's open positions is directly reflected in the Partnership's earnings
(realized or unrealized) and cash flows (at least in the case of exchange-traded
contracts in which profits and losses on open positions are settled daily
through variation margin).

Exchange maintenance margin requirements have been used by the
Partnership as the measure of its Value at Risk. Maintenance margin requirements
are set by exchanges to equal or exceed the maximum loss in the fair value of
any given contract incurred in 95% - 99% of the one-day time periods included in
the historical sample (generally approximately one year) researched for purposes
of establishing margin levels. Maintenance margin levels are established by
dealers and exchanges using historical price studies, as well as an assessment
of current market volatility and economic fundamentals to provide a
probabilistic estimate of the maximum expected near-term one-day price
fluctuation.

13

In the case of market sensitive instruments which are not
exchange-traded (almost exclusively currencies in the case of the Partnership),
the margin requirements for the equivalent futures positions have been used as
Value at Risk. In those rare cases in which a futures-equivalent margin is not
available, dealers' margins have been used.

The fair value of the Partnership's futures and forward
positions does not have any optionality component. However, certain of the
Advisors trade commodity options. The Value at Risk associated with options is
reflected in the following table as the margin requirement attributable to the
instrument underlying each option.

100% positive correlation in the different positions held in
each market risk category has been assumed. Consequently, the margin
requirements applicable to the open contracts have been aggregated to determine
each trading category's aggregate Value at Risk. The diversification effects
resulting from the fact that the Partnership's positions are rarely, if ever,
100% positively correlated have not been reflected.

THE PARTNERSHIP'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS

The following table indicates the average, highest and lowest
trading Value at Risk associated with MM LLC's open positions by market category
for the fiscal years. During the fiscal year 2002, MM LLC's average
capitalization was approximately $183,710,108.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

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

14

Selected Quarterly Financial Data
ML Futures Investments LP (before combination)

Net Income by Quarter
Eight Quarters through December 31, 2002

The supplementary financial information ("information about oil
and gas producing activities") specified by Item 302 of Regulation S-K is not
applicable.

ITEM 9: CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
FINANCIAL DISCLOSURE

There were no changes in or disagreements with independent
auditors on accounting or financial disclosure.

15

PART III

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

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

As a limited partnership, the Partnership itself has no
officers or directors and is managed by MLIM LLC. Trading decisions are made by
the Advisors on behalf of the Partnership. MLIM LLC promotes the Partnership and
is its controlling person.

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

FABIO P. SAVOLDELLI Executive Vice President, Chief Investment Officer
and Managing Director - Alternative Strategies Division

JAMES KASE President

PHILIP L. KIRSTEIN General Counsel

PATRICK HAYWARD Chief Financial Officer

VINAY MENDIRATTA Vice President and Chief Operatons Officer - Alternative
Strategies Division

Fabio P. Savoldelli was born in 1961. Mr. Savoldelli is
Executive Vice President, Chief Investment Officer and Managing Director -
Alternative Strategies Division of MLIM LLC. He oversees the Partnership's
investments. Most recently, Mr. Savoldelli was Chief Investment Officer for the
Americas at the Chase Manhattan Private Bank, responsible for managers investing
assets in international and domestic institutional, private client and ERISA
funds. Previously, he was Deputy Chief Investment Officer and Head of Fixed
Income and Foreign Exchange at Swiss Bank Corp. London Portfolio Management
International. Mr. Savoldelli was educated at the University of Windsor, Canada,
and the London School of Economics.

James Kase was born in 1960. Mr. Kase is President of MLIM LLC
and Managing Director & Head of Distribution of Merrill Lynch Investment
Managers L.P. His previous position at Merrill Lynch was selling
quantitative-based equity products to institutional investors for 17 years.
Prior to joining Merrill Lynch, he was Head of Equity Sales and Research for
Lehman Brothers, Asia. He also managed equity derivative sales in the Americas
for Lehman from 1995-1998. From 1986-1993, Mr. Kase was in Capital Market Sales
at Bankers Trust. He received his Bachelor of Arts in Political Science from
Brown University.

Philip L. Kirstein was born in 1945. Mr. Kirstein has served as
General Council of MLIM LLC since August 2001. He also serves as General Counsel
of MLIM and Fund Asset Management, a position he has held since 1984. He
received his Bachelor of Science from the University of North Carolina, He
received his Juris Doctor from the Syracuse University School of Law and his LLB
from the New York University School of Law.

Patrick Hayward was born in 1967. He has served as Chief
Financial Officer for MLIM Americas Institutional and MLIM LLC since June 2002.
Mr. Hayward previously served as Vice President and Divisional Financial Officer
for Societe Generale. He received his Bachelor of Arts from College of William &
Mary.

Vinay Mendiratta was born in 1967. Mr. Mendiratta is Managing
Director & Chief Operating Officer for Alternative Strategies Division of MLIM
LLC. He is responsible management of MLIM's Hedge Fund of Funds business. Most
recently he was MLIM's Alternative Investments product specialist based in
London responsible for the marketing hedge fund products to clients in Europe
and the Middle East. Prior to joining MLIM, Mr. Mendiratta was a product
specialist for Bankers Trust's quantitaive investment team. He worked with the
portfolio management team to structure and market a variety of quantitatively
managed investment products to institutional and retail investors. Mr.
Mendiratta obtained his Bachelor of Arts in Economics from Duke University and
his MBA in Finance from Columbia University.

As of December 31, 2002, the principals of MLIM LLC had no
investment in the Partnership, and

16

MLIM LLC's general partner interest in the Partnership was valued at $584,556.

Since February 28, 2003, MLIM LLC has acted as general partner
to three public futures funds whose units of limited partnership interest are
registered under the Securities Exchange Act of 1934: ML Global Horizons L.P.,
ML Principal Protection L.P., and the Partnership. Because MLIM LLC serves as
the sole general partner of each of these funds, the officers and managers of
MLIM LLC effectively manage them as officers and directors of such funds. Prior
to February 28, 2003 MLIM AS LLC acted as general partner to six futures funds,
whose units of limited partnership are registered under the Securities Exchange
Act of 1934, including the Partnership.

(c) Identification of Certain Significant Employees:

None.

(d) Family Relationships:

None.

(e) Business Experience:

See Item 10(a)(b) above.

(f) Involvement in Certain Legal Proceedings:

None.

(g) Promoters and Control Persons:

Not applicable.

ITEM 11: EXECUTIVE COMPENSATION

The managers and officers of MLIM LLC are remunerated by MLIM
LLC. The Partnership does not itself have any officers, directors or employees.
The Partnership pays Brokerage Commissions to an affiliate of MLIM LLC and
Administrative Fees to MLIM LLC. MLIM LLC or its affiliates may also receive
certain economic benefits from holding the Partnership's U.S. dollar assets. The
managers and officers receive no "other compensation" from the Partnership, and
the directors receive no compensation for serving as directors of MLIM LLC.
There are no compensation plans or arrangements relating to a change in control
of either MLIM LLC or the Partnership.

ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND
RELATED STOCKHOLDER MATTERS

(a) Security Ownership of Certain Beneficial Owners:

As of December 31, 2002, no person or "group" is known to be or
have been the beneficial owner of more than 5% of the Units.

(b) Security Ownership of Management:

As of December 31, 2002, MLIM AS LLC owned 584,556 Units
(unit-equivalent general partnership interests), which was 1.0% of the total
Units outstanding.

(c) Changes in Control:

None.

17

ITEM 13: CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

(a) Transactions Between Merrill Lynch and the Partnership

All of the service providers to the Partnership, other than the
Advisors, are affiliates of Merrill Lynch. Merrill Lynch negotiated with the
Advisors over the level of their advisory fees and Profit Shares. However, none
of the fees paid by the Partnership to any Merrill Lynch party were negotiated,
and they are higher than would have been obtained in arms-length bargaining.

The Partnership indirectly pays Merrill Lynch through MLPF&S
and MLIM LLC substantial Brokerage Commissions and Administrative Fees,
respectively, as well as bid-ask spreads on forward currency trades. The
Partnership also pays MLPF&S interest on short-term loans extended by MLPF&S to
cover losses on foreign currency positions.

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

No loans have been, are or will be outstanding between MLIM LLC
or any of its principals and the Partnership.

MLIM AS LLC paid (and MLIM may pay) substantial selling
commissions and trailing commissions to MLPF&S for distributing the Units. MLIM
AS LLC and MLIM LLC are ultimately paid back for these expenditures from the
revenues it receives from the Partnership.

(b) Certain Business Relationships:

MLPF&S, an affiliate of MLIM AS LLC and MLIM LLC, acts as the
principal commodity broker for the Partnership.

In 2002, the MM LLC expensed directly: (i) Brokerage
Commissions of $5,036,531 to MLPF&S, which included $811,106 in consulting fees
earned by the Advisors; and (ii) Administrative Fees of $143,899 to MLIM AS LLC.
In addition, MLIM AS LLC and MLIM LLC and its affiliates may have derived
certain economic benefit from possession of the Partnership's assets, as well as
from foreign exchange and EFP trading.

See Item 1(c), "Narrative Description of Business -- Charges"
and "Description of Current Charges" for a discussion of other business dealings
between MLIM LLC affiliates and the Partnership.

(c) Indebtedness of Management:

The Partnership is prohibited from making any loans to
management or otherwise.

(d) Transactions with Promoters:

Not applicable.

ITEM 14: 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 annual 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.

18

PART IV

ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

(a)2.8(d)Financial Statement Schedules:

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

(a)3. Exhibits:

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

19

Exhibit 10.03(a): Is incorporated herein by reference from Exhibit 10.03(a)
contained in the Registrant's Registration Statement.

10.06 Foreign Exchange Desk Service Agreement among Merrill
Lynch Investment Bank, MLIM AS LLC, MLPF&S and the
Partnership.

Exhibit 10.06: Is incorporated herein by reference from Exhibit 10.06
contained in the Registrant's report on Form 10-K for the
year ended December 31, 1996.

10.07(a) Form of Advisory and Consulting Agreement Amendment among
MLIM AS LLC, each Advisor, the Partnership and MLPF&S.

Exhibit 10.07(a): Is incorporated herein by reference from Exhibit 10.07(a)
contained in the Registrant's report on Form 10-K for the
year ended December 31, 1996.

10.07(b) Form of Amendment to the Customer Agreement among the
Partnership and MLPF&S.

Exhibit 10.07(b): Is incorporated herein by reference from Exhibit 10.07(b)
contained in the Registrant's report on Form 10-K for the
year ended December 31, 1996.

13.01 2002 Annual Report and Independent Auditors' Report.

Exhibit 13.01: Is filed herewith.

13.01 2002 Annual Report and Independent Auditors' Report for
the following Trading Limited Liability Company sponsored
by MLIM AS LLC: ML Multi-Manager Portfolio LLC

Exhibit 13.01(a): Is filed herewith.

Exhibit 13.01(b): 2002 Annual Report and Independent Auditors Report for the
following Partnerships combined for the Combined
Partnership:

ML Futures Investments II L.P.
The S.E.C.T.O.R. Strategy Fund (SM) L.P.
The SECTOR Strategy Fund (SM) II L.P.
The SECTOR Strategy Fund (SM) V L.P.
The SECTOR Strategy Fund (SM) VI L.P.

13.01 (b) Is filed herewith.

28.01 Prospectus of the Partnership dated June 1, 1990.

Exhibit 28.01: Is incorporated by reference as filed with the
Securities and Exchange Commission pursuant to Rule 424
under the Securities Act of 1933 (File No. 33-34432) filed
on June 7, 1990.

(b) Report on Form 8-K:

No reports on Form 8-K were filed during the fourth quarter of
2002.

20

SIGNATURES

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

ML FUTURES INVESTMENTS L.P.

By: MERRILL LYNCH INVESTMENT MANAGERS LLC
General Partner

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

Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 31, 2003 by the
following persons on behalf of the Registrant and in the capacities indicated.

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the directors of MLIM Alternative Strategies LLC)

MERRILL LYNCH INVESTMENT General Partner of Registrant March 31, 2003
MANAGERS LLC

By /s/ Fabio P. Savoldelli
------------------------
Fabio P. Savoldelli

21

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 annual report on Form 10-K of ML Futures Investments
L.P.;

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

3. Based on my knowledge, the financial statements, and other financial
information included in this annual 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 annual 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 annual 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
annual report (the "Evaluation Date"); and

c) presented in this annual 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;
and

6. The registrant's other certifying officers and I have indicated in this
annual 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: March 31, 2003

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

22

EXHIBIT 99 (a)

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

In connection with this annual report of ML Futures Investments L.P. on Form
10-K for the period ended December 31, 2002 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 annual 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 annual report fairly presents, in all
material respects, the financial condition and results of operations of ML
Futures Investments L.P.

Date: March 31, 2003

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

23

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 annual report on Form 10-K of ML Futures Investments
L.P.;

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

3. Based on my knowledge, the financial statements, and other financial
information included in this annual 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 annual 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 annual 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
annual report (the "Evaluation Date"); and

c) presented in this annual 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;
and

6. The registrant's other certifying officers and I have indicated in this
annual 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: March 31, 2003

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

24

EXHIBIT 99 (a)

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

In connection with this annual report of ML Futures Investments L.P. on Form
10-K for the period ended December 31, 2002 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 annual 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 annual report fairly presents, in all
material respects, the financial condition and results of operations of ML
Principal Protection L.P.

Date: March 31, 2003

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

25

ML FUTURES INVESTMENTS L.P.

2002 FORM 10-K

INDEX TO EXHIBITS

Exhibit

Exhibit 13.01 2002 Annual Report and Independent Auditors' Report

Exhibit 13.01(a) 2002 Annual Report and Independent Auditors' Report
for the following Trading Limited Liability Company
sponsored by MLIM Alternative Strategies LLC:
ML Multi-Manager Portfolio LLC

Exhibit 13.01(b) 2002 Annual Report and Independent Auditors Report for the
following Partnerships combined for the Combined
Partnership:

ML Futures Investments II L.P.
The S.E.C.T.O.R. Strategy Fund (SM) L.P.
The SECTOR Strategy Fund (SM) II L.P.
The SECTOR Strategy Fund (SM) V L.P.
The SECTOR Strategy Fund (SM) VI L.P.

26