ML FUTURES INVESTMENTS LP - 10-Q Quarterly Report

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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

(Mark One)

/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 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 / /

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML FUTURES INVESTMENTS L.P.
---------------------------
(A Delaware Limited Partnership)
--------------------------------

STATEMENTS OF FINANCIAL CONDITION
---------------------------------

See notes to financial statements.

2

ML FUTURES INVESTMENTS L.P.
---------------------------
(A Delaware Limited Partnership)
--------------------------------

STATEMENTS OF OPERATIONS
------------------------
(unaudited)

Certain 2002 information has been changed to conform to the 2003 presentation.

See notes to financial statements.

3

ML FUTURES INVESTMENTS L.P.
---------------------------
(A Delaware Limited Partnership)
--------------------------------

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
------------------------------------------
For the nine months ended September 30, 2003 and 2002
-----------------------------------------------------
(unaudited)

See notes to financial statements.

4

ML FUTURES INVESTMENTS L.P.
---------------------------
(A Delaware Limited Partnership)
--------------------------------

NOTES TO FINANCIAL STATEMENTS
(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

These financial statements have been prepared without audit. In the opinion of
management, the financial statements contain all adjustments (consisting of only
normal recurring adjustments) necessary to present fairly the financial position
of ML Futures Investments L.P. (the "Partnership") as of September 30, 2003, and
the results of its operations for the three and nine months ended September 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.

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

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 September 30, 2003 and December 31, 2002, the Partnership had an
investment in ML Multi-Manager Portfolio of $53,132,487 and $11,852,508,
respectively. As of September 30, 2003, and December 31, 2002, the Partnership's
percentage ownership share of MM LLC was 36.55% and 6.83%, respectively.

5

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

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
result 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

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

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 September 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

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

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.

July 1, 2003 to September 30, 2003

For the third quarter, gains were generated in the metals, agricultural
commodities, interest rates and the stock indices sectors, while the currencies
and energy sectors posted losses.

The metals sector posted the highest gain for the third quarter. Long
positions in the metals, particularly in gold and nickel, made significant
price movements to the upside. At the closing of the third quarter, both the
industrial and metal complex sectors benefited from increases in valuation.

The agricultural sector posted a gain for the third quarter. In the beginning of
the third quarter, short exposure in corn generated strong profits as the U.S.
government forecasts reporting a record crop for this year. Supply and demand
continued to drive the cattle market as prices rose sharply in the beginning of
the third quarter. In the middle of the third quarter, grain markets exhibited a
large price move as soybeans and corn rallied 16% and 14%, respectively. Weather
drove prices up due to very little rain in the Midwest, where the majority of
the U.S. crops grow. Trend-followers covered their short exposure to these
markets and, by the middle of the quarter, went long, managing to recoup some of
the losses. By the end of the third quarter, supply concerns drove the corn and
soybean markets due to the fact the USDA reported a better than expected yield
on corn and low yields on soybeans. Managers that were short corn took advantage
of the decrease in price due to the high yields. Due to the USDA announcement
regarding low soybean yields and low soybean harvest results, the price of
soybean rallied by 13.8%. Most of the fundamental and systematic managers were
able to profit from these developments.

The interest rate sector posted a small gain for the third quarter. At the
beginning of the third quarter, the U.S. bond market suffered losses after
the U.S. government announced its intentions to borrow a record amount to
finance the huge deficit. European bonds were weaker, but outperformed the
U.S. Profits were generated in the U.S. segment of the portfolio, primarily
in the ten-year note, but negative performance from global bonds outweighed
these gains. During the middle of the third quarter, interest rates posted a
gain due to the massive sell-off in bonds during July which seemed to have
found a base during the month of August. Despite a record $60 billion
refunding program in the U.S., bonds managed a timid recovery after making
new lows. Japanese Government Bonds lost five figures during this period with
interest rates on hold at the short end of the curve in Europe and in the
U.S. Trading was characterized by small ranges, which generated and Japanese
Government Bond exposure outweighed moderate losses across other global fixed
income markets. At the end of the third quarter, short positions in the ten
year and 30 year sector of the U.S. bond market generated losses, as yields
dropped from 4.46% to 3.94% on the ten year.

9

The stock index sector posted the smallest gain for the third quarter. At the
beginning of the third quarter, the equities were fairly quiet with strong gains
being generated in trading global stock indices, primarily the Nikkei 225.
During the middle of the quarter, the losses in the S&P500 and Dow Jones futures
outweighed gains in other markets. However, the Japanese Nikkei was the star
performer as it gained over 8% on strong economic numbers.

The currency sector posted a loss for the third quarter. At the beginning of the
third quarter, the U.S. dollar appreciated relative to other currencies with
losses being experienced in most positions specifically, the Australian dollar,
the Canadian dollar and the British pound. Large reversals occurred in these
carry-trades, as markets focused attention on economic fundamentals rather than
yield differentials. During the middle of the third quarter, the U.S. dollar
appreciated relative to the European currencies. The third quarter ended with
the G-7 summit directing the market to the idea that a weak U.S. dollar is
important to global trade balance causing losses on trades with the U.S. dollar.

The energy sector posted a loss for the third quarter. OPEC maintained their
output targets, demonstrating that they are comfortable with energy prices near
the high end of the range. During the middle of the quarter, crude oil and most
of the other energy markets were almost unchanged with high volatility
throughout this period. The volatility was mainly due to the uncertainty in
supply and estimates of demand that were projected to increase. This was partly
offset by expectations of the possible resumption of oil production by Iraq.
Strong gains were generated trading unleaded gas and crude oil, only to be
reversed in September. Many of the systematic managers had difficulties trading
crude oil in the last part of the third quarter as the price dropped from a high
of $31.40 on September 3rd to a low of $26.65 on September 19th. This caused
many managers to flip from positions long to short and incurred losses.

January 1, 2002 to September 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

10

boost demand. Precious metal prices declined as the U.S. economy continued to
show signs of stabilizing and inflation concerns waned. Long gold positioning
generated gains as prices rose above $300 for the first time in two years.

Currency trading resulted in losses for the Partnership. In January, gains were
generated in short Japanese yen positions as the Japanese yen continued to
depreciate against the U.S. dollar due to continued deterioration of economic
fundamentals in Japan. In February, all of the futures traded currencies
appreciated against the U.S. dollar, except the Canadian dollar. March was a
relatively volatile month for G-7 currencies. The U.S. dollar fell from 133 to
127.50 Japanese yen during the first week, and then almost completely reversed
the move by month-end, causing losses.

Agricultural trading was the least successful strategy. During January and
February, coffee prices were in a downward trend. This trend sharply reversed in
March as reduced exports from Mexico and Central America trimmed inventories of
exchange-approved 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.

11

July 1, 2002 to September 30, 2002

Results from the interest rate sector provided solid positive performance for
the Partnership. The yield curve on major debt instruments declined throughout
the 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.

Stock index futures also brought strong positive returns for the quarter. The
downward market trend created a good environment for short positions. Investors
in the equity markets were still liquidating equity exposure.

The energy sector pulled in positive performance despite choppy market
conditions throughout the quarter. Crude oil led the gains as continued talk of
military action against Iraq builds a risk premium into prices.

Agriculture commodities also had gains. 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 recent harvests were not as bad as was feared.

Metals produced gains this quarter, citing declines in precious and base metals
throughout the quarter due to liquidation pressures in the market. Gold,
however, had a weak rally during the second half of the quarter.

Currency trading was the only sector with overall losses. The sector was choppy
throughout the quarter making it difficult for any of the trend following
traders to lock onto a market trend.

The Partnership, as a member of a class of plaintiffs, received 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 amount of the settlement
for the Partnership was $109,968, which is included in the realized profit of
the Partnership. The effect of the settlement payment was included in the
Partnership's performance in August.

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 Principal
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.

12

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 nine months
of fiscal 2003.

13

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

14

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: November 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)

15

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 September 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: November 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)

16

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: November 14, 2003

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

17

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 September 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: November 14, 2003

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

18