ML GLOBAL HORIZONS 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, 2003
or
/ / Transition Report Pursuant to Section 13
or 15(d) of the Securities Exchange Act of 1934

Commission file number: 0-23240

ML GLOBAL HORIZONS L.P.
-----------------------
(Exact name of registrant as specified in its charter)

DELAWARE 13-3716393
-------- ----------
(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/

Indicate by check mark whether registrant is an accelerated filer (as defined
by Rule 12b-2 of the Act) Yes No /X/

Aggregate market value of the voting and non-voting common equity held by
non-affiliates: the registrant is a limited partnership; as of February 1, 2004,
limited partnership units with an aggregate value of $49,660,017, were
outstanding.

DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2003 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2003,
is incorporated by reference into Part II, Item 8 and Part IV hereof and filed
as an Exhibit herewith. Annual reports are also available free of charge by
contacting Alternative Investments - Client Services at 1-800-765-0995.

ML GLOBAL HORIZONS L.P.

ANNUAL REPORT FOR 2003 ON FORM 10-K

TABLE OF CONTENTS

i

PART I

ITEM 1: BUSINESS

(a) GENERAL DEVELOPMENT OF BUSINESS:

ML Global Horizons L.P. (the "Partnership") was organized under
the Delaware Revised Uniform Limited Partnership Act on May 11, 1993 and began
trading operations on January 4, 1994. The Partnership trades in the
international futures and forward markets under the direction of multiple
independent professional advisors (the "Advisors") applying proprietary
strategies. The Partnership's objective is to achieve, through speculative
trading, substantial capital appreciation over time.

Merrill Lynch Investment Managers, LLC ("MLIM LLC") is the
general partner of the Partnership and is 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").
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") is the
Partnership's commodity broker.

When the Partnership is offering its units of limited partnership
interest ("Units"), it receives and processes subscriptions on a continuous
basis throughout each month. Investors whose subscriptions are accepted during a
month are admitted to the Partnership as Limited Partners as of the beginning of
the immediately following month, acquiring Units at the Net Asset Value per Unit
as of the date of admission. Investors' customer securities accounts are debited
in the amount of their subscriptions on a single monthly settlement date within
approximately five business days of the issuance of the Units.

As of December 31, 2003, the capitalization of the Partnership
was $48,655,272, and the Net Asset Value per Unit, originally $100 as of January
4, 1994, had risen to $233.12.

Through December 31, 2003, the highest month-end Net Asset Value
per Unit was $233.12 (December 31, 2003) and the lowest $97.36 (February 28,
1994).

(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 in the international futures, options on
futures and forward markets with the objective of achieving substantial capital
appreciation over time.

The Partnership's assets are allocated and reallocated by MLIM
LLC to the trading management of independent Advisors applying proprietary
strategies in numerous markets.

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 been significantly
non-correlated with the United States stock and bond markets.

1

USE OF PROCEEDS AND INTEREST INCOME

SUBSCRIPTION PROCEEDS.

MLIM LLC pays from its own funds the selling commissions relating
to the sale of the Units. Accordingly, 100% of the proceeds of Unit sales are
received in cash by the Partnership and available for use in its speculative
trading. In such trading, the Partnership's assets are used as security for and
to pay the Partnership's trading losses, as well as any expenses and
redemptions. The primary use of the proceeds of the sale of the Units is to
permit the Advisors to trade on a speculative basis in a wide range of different
futures, forwards and options on futures markets on behalf of the Partnership.
While being used for this purpose, the Partnership's assets are also generally
available to earn interest, as more fully described below. The most recent
continuous offering of Units began for trading effective February 1, 2004.

MARKET SECTORS.

The Partnership trades in a diversified group of markets under
the direction of multiple independent Advisors. These Advisors can, and do, from
time to time, materially alter the allocation of their overall trading
commitments among different market sectors. 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 on a variety of United States and foreign
futures exchanges. Substantially all of the Partnership's off-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 a particular currency 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. 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 nonregulated -- differ substantially from time to time, as well as
over time.

CUSTODY OF ASSETS.

All of the Partnership's assets are currently held in customer
accounts at MLPF&S.

INTEREST PAID BY MERRILL LYNCH ON THE PARTNERSHIP'S U.S. DOLLAR
AND NON-U.S. DOLLAR ASSETS

The Partnership's U.S. dollar assets are maintained at MLPF&S. On
assets held in U.S. dollars, Merrill Lynch credits the Partnership with interest
at the prevailing 91-day U.S. Treasury bill rate. The Partnership 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 the Partnership, from possession of such
assets.

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

2

CHARGES

The following table summarizes the charges incurred by the
Partnership during 2003, 2002 and 2001.

The foregoing table does not reflect the bid-ask spreads paid by
the Partnership on its forward trading, or the benefits which may be derived by
Merrill Lynch from the deposit of certain of the Partnership's U.S. dollar
available assets maintained at MLPF&S.

The Partnership's average month-end Net Assets during 2003, 2002
and 2001 equaled $47,738,381, $48,237,517, and $55,652,433, respectively.

During 2003, 2002 and 2001, the Partnership earned $496,656,
$801,151 and $1,987,808, respectively, in interest income, or approximately
1.04%, 1.66% and 3.57%, respectively, of the Partnership's average month-end
Net Assets.

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, and the registration of
the Units for continuous public distribution under the Securities Act of 1933,
the Partnership itself is generally not subject to regulation by the Securities
and Exchange Commission. However, MLIM LLC itself is registered as an
"investment adviser" under the Investment Advisers Act of 1940.

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

(xiii) The Partnership has no employees.

(d) FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS

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, from the United
States, 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 offices are the 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

None

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
is it anticipated that will one develop. Rather, Limited Partners may purchase
or redeem Units as of the end of each month at Net Asset Value, subject to
certain early redemption charges.

(b) HOLDERS:

5

As of December 31, 2003, there were 1,495 holders of Units, including
MLIM LLC.

(c) DIVIDENDS:

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

(d) SECURITIES AUTHORIZED FOR ISSUANCE UNDER EQUITY COMPENSATION PLANS:

Not applicable.

Item 5(b)

Not applicable.

6

ITEM 6: SELECTED FINANCIAL DATA

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

7

ML GLOBAL HORIZONS L.P.
DECEMBER 31, 2003

TYPE OF POOL: Selected-Advisor/Publicly-Offered/Non-"Principal Protected"(1)
INCEPTION OF TRADING: January 4, 1994
AGGREGATE SUBSCRIPTIONS: $174,343,595
CURRENT CAPITALIZATION: $48,655,272
WORST MONTHLY DRAWDOWN(2): (7.13)% (11/01)
WORST PEAK-TO-VALLEY DRAWDOWN(3): (13.93)% (11/01-5/02)

NET ASSET VALUE PER UNIT, DECEMBER 31, 2003: $233.12

(1) Pursuant to applicable CFTC regulations, a "Multi-Advisor"
Partnership is defined as one that allocates no more than 25% of its trading
assets to any single manager. As the Partnership currently allocates more than
25% of its trading assets to one or more Advisors, it is referred to as a
"Selected-Advisor" Partnership. Certain partnerships, including partnerships
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 Partnerships 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, 1999 by the Partnership; a
Drawdown is measured on the basis of month-end Net Asset Value only, and does
not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline since January 1, 1999 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.

8

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

OPERATIONAL OVERVIEW; 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, 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. However, because of the speculative nature of its trading, the
Partnership's past performance is not necessarily indicative of its future
results.

MLIM LLC's decision to terminate or reallocate assets among
Advisors is based on a combination of 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 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. In particular, MLIM LLC has to date made significantly fewer
reallocations of trading assets and adjustments in the Advisor combinations for
the Partnership than in the case of many of MLIM LLC's multi-advisor funds.
However, 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.

RESULTS OF OPERATIONS

GENERAL.

MLIM LLC believes that selected advisor futures funds should be
regarded as medium- to long-term (i.e., three to five year) investments, but it
is difficult to identify trends in the Partnership's operations and virtually
impossible to make any predictions regarding future results based on the results
to date. An investment in the Partnership may be less successful over a longer
than a shorter period.

Markets with sustained price trends tend to be more favorable to
managed futures investments than whipsaw, choppy markets, but (i) this is not
always the case, (ii) it is impossible to predict when price trends will occur
and (iii) different Advisors are affected differently by trending markets as
well as by particular types of trends.

MLIM LLC attempts to control credit risk in the Partnership's
futures, forward and options trading by clearing trading only through MLPF&S.
MLPF&S acts solely as a clearing broker or counterparty to the Partnership's
trades; it does not advise with respect to, or direct, any such trading.

MLIM LLC attempts to control the market risk inherent in the
Partnership's trading by MLIM LLC's selected advisor strategy and Advisor
selections. MLIM LLC reviews the positions acquired by the Advisors on a daily
basis in an effort to determine whether the overall positions of the Partnership
may have become what MLIM LLC determines as being excessively concentrated in a
limited number of markets -- in which case MLIM LLC may, as of the next
month-end or quarter-end, adjust the Partnership's Advisor combination and/or
allocations so as to attempt to reduce the risk of such over-concentration
occurring in the future.

MLIM LLC may consider making distributions to investors under
certain circumstances (for example, if substantial profits are recognized);
however, Merrill Lynch Alternative Investments LLC ("MLAI LLC") (the previous
general partner) and MLIM LLC have not done so to date and MLIM LLC does not
presently intend to do so.

9

PERFORMANCE SUMMARY

2003

The Partnership's overall trading performance was profitable with
gains in currency and metals sectors contributing the most profits.

Profits resulting from trading in the currency sector provided
the Partnership with gains in the first, second and fourth quarter, which
outweighed losses sustained during the third quarter. The weakening U.S. dollar
was continuing to decline as it has over the last year and the Partnership was
well positioned to capitalize on its U.S. dollar positions against other
currencies. This trading strategy capitalized on the declining U.S. dollar and
weathered the volatility of the currency market during the third quarter.

The metals sector was also profitable for the Partnership.
Profits in the industrial complex outweighed losses in the precious metal sector
for July. Copper and other industrial metals rallied on technical buying and
stronger demand as economies showed stronger growth prospects. Gold appreciated
by 2.50% and nickel appreciated by 8.02% in September. During the fourth quarter
both precious and industrial metals were positive, but under more volatile
market conditions in December. Gold prices reached a six-year high and were one
of the main drivers of performance for the sector later in the year.

Stock index trading was profitable for the Partnership. Stock
index trading was unprofitable for the first and second quarters with posted
gains for the third and fourth quarters. The fourth quarter ended with small
gains in Hong Kong and Italy, and losses in other global indices.

The energy sector was profitable for the Partnership. Long
positions in oil and natural gas were profitable in the beginning of the
year. In February, natural gas prices rose nearly 40% in a single day in
connection with expected severely cold weather and supply shortages. Strong
gains occurred in the month of August generated by trading unleaded gas and
crude oil. Wherein the fourth quarter the energy sector continued to be
volatile, as crude oil, initially rallied to above $32 a barrel, but then
plunged when OPEC output numbers actually increased during November, while
they were expected to decrease. Mild weather in the United States late in the
year, led a downward trend in natural gas, which allowed short positions to
be profitable.

The interest rate sector was slightly profitable for the
Partnership. Interest rates were profitable for the first quarter with February
having significant gains offsetting losses in both January and March. U.S. and
European bonds rallied amid concerns of global economic slowdown benefiting the
Partnership's long exposures. The U.S. bond market suffered heavy losses in July
after the U.S. government announced its intentions to borrow a record amount to
finance the deficit. By September, the global economic rebound was the
primary focus of the market. Bonds in Europe and in the United States traded
sideways throughout the month of November with no clear trend. The Reserve Bank
of Australia and the Bank of England were two major central banks to start
raising interest rates. Japanese Government Bonds rose strongly as stocks sold
off. Overall exposure within the sector was light at the end of the year, since
no clear trends have emerged.

Trading in the agricultural commodities sector was unprofitable
for the Partnership. During the first 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. The sector
posted gains in April, mainly from soybeans, which rallied due to revisions

10

in crop estimates and weather overseas. Supply and demand drove the livestock
market to slightly higher volatility levels in June, creating losses that offset
earlier gains in the quarter. Grains had a very big rally at the end of October,
prompted by an increase of orders from Asia. This rally ended in the beginning
of November with a severe retracement. Later in the month the markets found good
support as prices began to rally again in response to the secular straightening
of worldwide demand.

2002

The Partnership's overall trading performance was profitable 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 returned 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.

The trading in stock indices found profits from its short
positions during the second and third quarters of the year offsetting 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.

The metals sector brought slight gains to the Partnership due to
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.

Agricultural commodities brought in trading losses for the year.
A slight second and third quarter run up was unable to offset the losses
sustained in the fourth quarter, especially 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. The sector returned some
gains later in September, as harvests were not as bad as was feared. In
December, soybeans had a large sell-off, which had a large impact on the soybean
oil spread trade being held by the Partnership.

The energy sector brought in the most losses for the year.
Recoveries being made in August and

11

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.

2001

The Partnership's overall trading strategy was profitable. Gains
realized in the interest rates and stock indices sectors more than offset other
losses.

Trading in the interest rates markets was the most profitable strategy
for the Partnership. Eurodollar futures contracts rose dramatically early in the
year as the U. S. economy weakened and the Federal Reserve cut interest rates.
The announcement by the U.S. Treasury in October to cease issuing 30-year debt,
coupled with worldwide governments easing of monetary policy, benefited long
positions across the global yield curve. The global fixed income market rally
fizzled in November, returning to pre-September 11 levels.

Stock index trading was also profitable. Short positions in the S&P 500
and Nikkei 225 indices produced gains early in the year. Various short positions
also were successful as major indices in the world markets fell as corporate
earnings were poor and the global economic slump could worsen as a result of the
September 11 attacks. By year-end, positive reports on the U.S. economy and
growing optimism for a brighter 2002 caused stock markets to rally.

Losses were realized in the energy markets. Natural gas prices pulled
back in January on low inventories and stagnant production. The sector as a
whole faced downside pressure from the slowing global economy and OPEC's
decision to leave production levels unchanged. Oil prices sank, as traders
feared the September 11 attacks would cripple the airline industry. By year-end,
OPEC and non-OPEC countries agreed to limit production, causing a sharp reversal
in the yearlong downward trend, resulting in losses in short positions.

Metals trading resulted in losses for the Partnership. Demand restraints
and a lack of momentum were the overall theme for the year. Weakness in the
Euro, a decline in the Australian dollar to an all time low and producer and
central bank selling sent gold prices lower. Long gold positions were profitable
as investors flocked to safety following the terrorist attacks.

Trading in the agricultural commodities sector was unprofitable. Gains
were realized early in the year on short cotton positions as the market sank to
a 15-year low on poor demand and a possible planting increase. Grain prices rose
in July on concerns that hot and dry weather would cause lower 2001 production.
Cattle fell to a one-year low on demand concerns.

Currency trading was unprofitable. The Euro fell from a high near 96
cents in the first quarter back to the 90-cent level, causing losses in long
positions. The weakening of the Euro and Japanese yen displayed how the world
economy was not immune to the economic slowdown of the U.S. Post September 11
trading had long Swiss franc positions appreciating versus the U.S. dollars as
investors were attracted to Switzerland's neutral status.

VARIABLES AFFECTING PERFORMANCE

The principal variables, which determine the net performance of
the Partnership, are gross

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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. 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 and the Incentive Override. 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 borrows only to a limited extent and only on a
strictly short-term basis in order to finance losses on a 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.

All of the Partnership's assets are held in cash except for the
net unrealized profit on open positions. 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 generally is a
readily available market value for the Partnership's positions and assets, the
Partnership's monthly Net Asset Value calculations typically are precise, and
investors need only wait ten business days to receive the full redemption
proceeds of their Units.

(The Partnership has no off-balance sheet arrangements or
contractual obligations of the type described in Items 303(a)(4) and 303(a)(5)
of Regulation S-K.)

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

PAST PERFORMANCE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

13

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.

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.

14

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 the Partnership's open positions by market
category for the fiscal years 2003 and 2002. During the fiscal year 2003, the
Partnership's average capitalization was approximately $47,738,381. During the
fiscal year 2002, the Partnership's average capitalization was approximately
$48,237,517.

DECEMBER 31, 2003

DECEMBER 31, 2002

Average, highest and lowest Value at Risk amounts relate to the
quarter-end amounts for each calendar quarter-end during the fiscal year.
Average Capitalization is the average of the Partnership's capitalization at the
end of each calendar quarter of fiscal years 2003 and 2002.

15

MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK

The face value of the market sector instruments held by the
Partnership is typically many times the applicable maintenance margin
requirement (maintenance margin requirements generally ranging between
approximately 1% and 10% of contract face value) as well as many times the
capitalization of the Partnership. The magnitude of the Partnership's open
positions creates a "risk of ruin" not typically found in most other investment
vehicles. Because of the size of its positions, certain market conditions
unusual, but historically recurring from time to time could cause the
Partnership to incur severe losses over a short period of time. The foregoing
Value at Risk table as well as the past performance of the Partnership gives no
indication of this "risk of ruin."

NON-TRADING RISK

FOREIGN CURRENCY BALANCES; CASH ON DEPOSIT WITH MLPF&S

The Partnership has non-trading market risk on its foreign cash
balances not needed for margin. However, these balances (as well as the market
risk they represent) are generally immaterial. The Partnership controls the
non-trading exchange rate risk of its foreign currency balances by regularly
converting its foreign currency balances back to U.S. dollars on a weekly basis.

The Partnership also has non-trading market risk on the
approximately 90%-95% of its assets which are held in cash at MLPF&S. The value
of this cash is not interest rate sensitive, but there is cash flow risk in that
if interest rates decline so will the cash flow generated on these monies. This
cash flow risk is generally immaterial.

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

The following qualitative disclosures regarding the Partnership's
market risk exposures except for (i) those disclosures that are statements of
historical fact and (ii) the descriptions of how the Partnership manages its
primary market risk exposure constitute forward-looking statements within the
meaning of Section 27A of the Securities Act and Section 21E of the Securities
Exchange Act. The Partnership's primary market risk exposures as well as the
strategies used by MLIM LLC and the Advisors for managing such exposures are
subject to numerous uncertainties, contingencies and risks, any one of which
could cause the actual results of the Partnership's risk controls to differ
materially from the objectives of such strategies. Government interventions,
defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the risk management strategies of the
Partnership. There can be no assurance that the Partnership's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
Investors must be prepared to lose all or substantially all of their investment
in the Partnership.

The following were the primary trading risk exposures of the
Partnership as of December 31, 2003, by market sector.

INTEREST RATES.

Interest rate risk is the principal market exposure of the
Partnership. Interest rate movements directly affect the price of derivative
sovereign bond positions held by the Partnership and indirectly the value of its
stock index and currency positions. Interest rate movements in one country as
well as relative interest rate movements between countries materially impact the
Partnership's profitability. The Partnership's primary interest rate exposure is
to interest rate fluctuations in the United States and the other G-7 countries.
However, the Partnership also takes positions in the government debt of smaller
nations e.g., New Zealand and Australia. MLIM LLC anticipates that G-7 interest
rates will remain the primary market exposure of the Partnership for the
foreseeable future.

CURRENCIES.

The Partnership trades in a large number of currencies. However,
the Partnership's major exposures have typically been in the U.S.
dollar/Japanese yen, U.S. dollar/Euro and U.S. dollar/British pound positions.
MLIM LLC does not anticipate that the risk profile of the Partnership's currency
sector will change significantly in the future. The currency trading Value at
Risk figure includes foreign margin amounts converted into U.S. dollars with an
incremental adjustment to reflect the exchange rate risk of maintaining Value at
Risk in a functional currency other than U.S. dollars.

16

STOCK INDICES.

The Partnership's primary equity exposure is to G-7 equity index
price movements. As of December 31, 2003 the Partnership's primary exposures
were in the stock indices from Southeast Asian countries. The Partnership is
primarily exposed to the risk of adverse price trends or static markets in the
major U.S., European and Asian indices.

METALS.

The Partnership's primary metals market exposure is to
fluctuations in the price of gold and silver. Although certain of the Advisors
trade base metals such as aluminum, nickel, copper and tin, the principal market
exposures of the Partnership have consistently been in the precious metals. MLIM
LLC anticipates that gold will remain the primary metal market exposure for the
Partnership.

AGRICULTURAL COMMODITIES.

The Partnership's primary agricultural commodities exposure is to
agricultural price movements which are often directly affected by severe or
unexpected weather conditions. Soybeans, grains, livestock and sugar accounted
for the substantial bulk of the Partnership's commodity exposure as of December
31, 2003. In the past, the Partnership has had material market exposure to
orange juice and cotton and may do so again in the future. However, MLIM LLC
anticipates that the Advisors will maintain an emphasis on soybeans, grains and
sugar, in which the Partnership has historically taken its largest positions.

ENERGY.

The Partnership's primary energy market exposure is to natural
gas and oil price movements, often resulting from political developments in the
Middle East. Oil prices can be volatile and substantial profits and losses have
been and are expected to continue to be experienced in this market.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

The following were the non-trading risk exposures of the
Partnership as of December 31, 2003.

FOREIGN CURRENCY BALANCES.

The Partnership's primary foreign currency balances are in
Japanese yen, British pounds and Euro. The Partnership has minimal exchange rate
exposure on these balances.

U.S. DOLLAR BALANCES.

The Partnership holds its U.S. dollars in cash at MLPF&S. The
Partnership has immaterial cash flow and interest-rate risk on its cash on
deposit with MLPF&S in that declining interest rates would cause the income from
such cash to decline.

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

TRADING RISK

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, 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
among Advisors (although typically only as of the end of a month), in an attempt
to avoid over-concentrations. However, such interventions are unusual.

At the Advisor level, each Advisor applies its own risk
management policies to its trading. These policies generally limit the total
exposure that may be taken per "risk unit" of assets under management. In
addition, many Advisors follow diversification guidelines (often formulated in
terms of the maximum margin, which they will commit to positions in any one
contract or group of related contracts), as well as imposing "stop-loss" points
at which open positions must be closed out. Occasionally, Advisors will limit
the market exposure of their Partnership account through acquiring put or call
options which "collar" the risk of open positions. However, because of the
typically high degree of liquidity in the markets traded by the Partnership and
the expense of acquiring options, most Advisors rely simply on stop-loss
policies, requiring the liquidation of positions once losses of a certain
magnitude have been incurred.

17

Certain Advisors treat their risk control policies as strict
rules; others only as general guidelines for controlling risk.

NON-TRADING RISK

The Partnership controls the non-trading exchange rate risk of
its foreign currency balances by regularly converting these balances back into
U.S. dollars on a weekly basis.

The Partnership has cash flow interest rate risk on its cash on
deposit with MLPF&S in that declining interest rates would cause the income from
such cash to decline. However, a certain amount of cash or cash equivalents must
be held by the Partnership in order to facilitate margin payments and pay
expenses and redemptions. MLIM LLC does not take any steps to limit the cash
flow risk on its cash held on deposit at MLPF&S.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Selected Quarterly Financial Data
ML Global Horizons LP

Net Income by Quarter
Eight Quarters through December 31, 2003

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

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.

ITEM 9A: CONTROLS AND PROCEDURES

Merrill Lynch Investment Managers LLC, the General Partner of ML
Global Horizons L.P., with the participation of the General Partner's Chief
Operating 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 III

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

10(a) and 10(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.

VINAY MENDIRATTA Managing Director and Chief Operating Officer -
Alternative Strategies and Quantitative Advisers Division

FABIO P. SAVOLDELLI Managing Director and Chief Investment Officer-
Alternative Strategies Division

JAMES KASE President and Chief Marketing Officer

ANDREW DONAHUE General Counsel

PATRICK HAYWARD Chief Financial Officer

Vinay Mendiratta was born in 1967. Mr. Mendiratta is Managing
Director and Head of Hedge Fund Product Management, Alternative Strategies
and Quantitative Advisers divisions since August 2003. Mr. Mendiratta served
as Chief Operating Officer of MLIM LLC's Alternative Investment division
since March 2003. Prior to that 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 Merrill Lynch,
Mr. Mendiratta was a product specialist for Bankers Trust's quantitative
investment team and has ten years of investment experience. Mr. Mendiratta
obtained his Bachelor of Arts in Economics from Duke University and his MBA
in Finance from Columbia

Fabio P. Savoldelli was born in 1961. Mr. Savoldelli is Managing
Director and Chief Investment Officer of Alternative Strategies Division of MLIM
LLC since March 2003. He has been a Managing Director since January 2000. Mr.
Savoldelli served as Managing Director for Merrill Lynch Corporate and
Institutional Client Group from 1996 to 1999. Prior to joining Merrill Lynch, he
served as Chief Investment Officer - Americas for Chase Manhattan Bank from 1995
to 1996 and as Director at Swiss Bank Portfolio Management from 1990 to 1995.
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 and Chief
Marketing Officer of MLIM LLC since March 2003. Mr. Kase has been a managing
director of MLIM LLC since March 2000. In addition, Mr. Kase is managing
director and Head of Americas Institutional Channel for Merrill Lynch Investment
Managers, L.P. and Fund Asset Management, L.P. Prior to joining MLIM LLC, he
served as managing director and business head for Lehman Brothers from 1995
through 2000. He received his Bachelor of Arts in Political Science from Brown
University.

Andrew Donahue was born in 1950. Mr. Donahue is the General
Counsel of MLIM LLC, Merrill Lynch Investment Managers, L.P. and Fund Asset
Management, L.P. since March 2003. Previously, Mr. Donohue worked at
OppenheimerFunds, Inc., where he most recently served as executive vice
president and general counsel responsible for the firm's legal and compliance
functions and regulatory matters. He received his Bachelor of Arts from Hofstra
University and his Judicial Degree from New York University School of Law.

Patrick Hayward was born in 1967. Mr. Hayward has been the Chief
Financial Officer for MLIM Americas Institutional and Registrant since June
2002. Mr. Hayward previously served as Vice President and Divisional Financial
Officer for Societe Generale from December 2001 to June 2002; Vice President and
Controller of SG Cowen Asset Management, Inc. from December 1999 to December
2001; Controller and Operations Manager for Compass Group, LLC from July 1997 to
November 1999; Controllers Associate for Morgan Stanley & Co. from April 1993 to
July

19

1997; and Senior Accountant for Ernst & Young from September 1989 to April
1993. He received his Bachelor of Business Administration from College of
William & Mary.

As of December 31, 2003, MLIM LLC's general partner interest in
the Partnership was valued at approximately $496,775.

As of February 29, 2004 MLIM LLC acts as general partner to three
public futures Partnerships whose units of limited partnership interest are
registered under the Securities Exchange Act of 1934: ML Futures Investments
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.

(c) IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

None.

(d) FAMILY RELATIONSHIPS:

None.

(e) BUSINESS EXPERIENCE:

See Items 10(a) and 10(b) above.

(f) INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

None.

(g) PROMOTERS AND CONTROL PERSONS:

Not applicable.

CODE OF ETHICS:

The Partnership has adopted a code of ethics, as of the end of
the period covered by this report, which applies to the Partnership's (MLIM
LLC'S) principal executive officer and principal financial officer or persons
performing similar functions on behalf of the Partnership. A copy of the code
of ethics is available to any person, without charge, upon request by calling
1-800-637-3863.

ITEM 11: EXECUTIVE COMPENSATION

The managers and officers of MLIM LLC are remunerated by MLIM LLC
in their respective positions. The Partnership does not itself have any
officers, managers or employees. The Partnership pays Brokerage Commissions to
an affiliate of MLIM LLC and Incentive Overrides and Administrative Fees to MLIM
LLC. MLIM LLC or its affiliates may also receive certain economic benefits from
the possession of the Partnership's U.S. dollar assets in offset accounts, as
described in Item 1(c) above. The managers and officers receive no "other
compensation" from the Partnership, and the managers receive no compensation for
serving as managers of MLIM LLC. There are no compensation plans or arrangements
relating to a change in control of either the Partnership or MLIM LLC.

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

(a) SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

As of December 31, 2003, no person or "group" is known to be or
have been the beneficial owner of more than 5% of the Units.

As of December 31, 2003, MLIM LLC owned 2,131 Units
(unit-equivalent general partnership interests), which was approximately 1.02%
of the total Units outstanding.

(c) CHANGES IN CONTROL:

20

None.

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 its 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 arm's-length bargaining.

The Partnership pays indirectly 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 has made 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 LLC paid substantial selling commissions and trailing
commissions to MLPF&S for distributing the Units. MLIM LLC is ultimately paid
back for these expenditures from the revenues it receives from the Partnership.

(b) CERTAIN BUSINESS RELATIONSHIPS:

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

In 2003, the Partnership expensed: (i) Brokerage Commissions of
$3,601,088, which included $630,134 in consulting fees earned by the Advisors;
and (ii) Administrative Fees of $124,175 to MLIM LLC. In addition, MLIM LLC and
its affiliates may have derived certain economic benefits 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.

The fact that MLIM LLC receives incentive compensation from the
Partnership (which is an unusual fee arrangement for MLIM LLC) could cause MLIM
LLC to manage the Partnership in a more speculative and "risky" fashion than
MLIM LLC otherwise would.

(c) INDEBTEDNESS OF MANAGEMENT:

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

(d) TRANSACTIONS WITH PROMOTERS:

Not applicable.

21

ITEM 14: PRINCIPAL ACCOUNTANT FEES AND SERVICES

(a) AUDIT FEES

Aggregate fees billed for professional services rendered by
Deloitte & Touche LLP in connection with the audit of the Partnership's
financial statements as of and for the year ended December 31, 2003 were
$35,000.

Aggregate fees billed for these services for the year ended
December 31, 2002 were $37,389.

(b) AUDIT-RELATED FEES

There were no other audit-related fees billed for the years
ended December 31, 2003 or 2002 related to the Partnership.

(c) TAX FEES

Aggregate fees billed for professional services rendered by
Deloitte & Touche LLP in connection with the tax compliance, advice and
preparation of the Partnerships tax returns for the year ended December 31,
2003 were $35,000.

Aggregate fees billed for these services for the year ended
December 31, 2002 were $35,000.

(d) ALL OTHER FEES

No fees were billed by Deloitte & Touche LLP during the years
ended December 31, 2003 or 2002 for any other professional services in
relation to the Partnership.

Neither the Partnership nor MLIM LLC has an audit committee to
pre approve principal accountant fees and services. In lien of an audit
committee, the managers and principal financial officer pre approve all
billings prior to the commencement of the performance of such services.

22

PART IV

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

(a) 1. FINANCIAL STATEMENTS (FOUND IN EXHIBIT 13.01):

(a) 28(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:

23

EXHIBIT 10.01(d): Is incorporated by reference from Exhibit 10.01(d)
contained in the Registrant's report on Form 10-Q for
the Quarter Ended June 30, 1995.

10.02 Form of Consulting Agreement between each Advisor,
the Partnership and MLPF&S.

EXHIBIT 10.02: Is incorporated herein by reference from Exhibit 10.02
contained in the Registrant's Registration Statement.

10.03 Form of Customer Agreement between the Partnership
and MLPF&S.

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

10.05 Form of Subscription Agreement and Power of Attorney.

EXHIBIT 10.05: Is incorporated herein by reference from Exhibit 10.05
contained in the Registrant's Registration Statement
(as Exhibit D).

10.06 Foreign Exchange Desk Service Agreement, dated
July 1, 1993 among Merrill Lynch International Bank,
MLIM LLC, MLPF&S and the Partnership.

EXHIBIT 10.06: Is incorporated herein by reference from Exhibit 10.06
contained in Amendment No. 1 to the Registration
Statement.

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

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

13.01 2003 Annual Report and Independent Auditors' Report.

EXHIBIT 13.01: Is filed herewith.

28.01 Prospectus of the Partnership dated December 6, 1995.

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, Registration Statement
(File No. 33-88994) on Form S-1, effective
December 6, 1995).

EXHIBIT 31.01
AND 31.02: Are filed herewith.

EXHIBIT 32.01
AND 32.02: Are filed herewith.

(b) REPORT ON FORM 8-K:

No reports on Form 8-K were filed during the fourth quarter of
2003.

24

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 GLOBAL HORIZONS L.P.

By: MERRILL LYNCH INVESTMENT MANAGERS LLC
General Partner

By:/s/Vinay Mendiratta
----------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- Alternative Strategies and Quantitative
Advisers Divisions
(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 30, 2004 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 managers of MLIM LLC).

MERRILL LYNCH INVESTMENT General Partner of Registrant March 30, 2004
MANAGERS LLC

By: /s/ Vinay Mendiratta
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer -
Alternative Strategies and Quantitative Advisers Divisions
(Principal Executive Officer)

25

EXHIBIT 31.01

RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Vinay Mendiratta, certify that:

1. I have reviewed this report on Form 10-K of ML Global Horizons L.P.;

2. Based on my knowledge, this 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 report;

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

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

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, 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 report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure controls and
procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of the end of
the period covered by this report based on such evaluation; and

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter ( the registrant's fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation of internal control over financial reporting, 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 and material weakness in the design or
operation of internal controls which are reasonably likely to adversely
affect the registrant's ability to record, process, summarize and report
financial information; and

b) An fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: March 30, 2004
- -----------------------

By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- - Alternative Strategies and Quantitative Advisers Divisions
(Principal Executive Officer)

26

EXHIBIT 31.02

RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Patrick Hayward, certify that:

1. I have reviewed this report on Form 10-K of ML Global Horizons L.P.;

2. Based on my knowledge, this 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 report;

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

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

a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our supervision, 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 report is being
prepared;

b) Evaluated the effectiveness of the registrant's disclosure and presented
in this report our conclusions about the effectiveness of the disclosure
controls and procedures, as of the end of the period covered by this report
based on such evaluation; and

c) Disclosed in this report any change in the registrant's internal control
over financial reporting that occurred during the registrant's most recent
fiscal quarter ( the registrant's fourth fiscal quarter in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting; and

5. The registrant's other certifying officer and I have disclosed, based on
our most recent evaluation of internal control over financial reporting, 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 and material weakness in the design or
operation of internal controls which are reasonably likely to adversely
affect the registrant's ability to record, process, summarize and report
financial information; and

b) An fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal control
over financial reporting.

Date: March 30, 2004
- ----------------------

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

27

EXHIBIT 32.01

SECTION 1350 CERTIFICATIONS

In connection with this annual report of ML Global Horizons L.P. on Form 10-K
for the period ended December 31, 2003 as filed with the Securities and Exchange
Commission on the date hereof, I, Vinay Mendiratta, certify, pursuant to 18
U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This annual report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities 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
Global Horizons L.P.

Date: March 30, 2004
- -----------------------

By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- - Alternative Strategies and Quantitative Advisers Divisions
(Principal Executive Officer)

28

EXHIBIT 32.02

SECTION 1350 CERTIFICATIONS

In connection with this annual report of ML Global Horizons L.P. on Form 10-K
for the period ended December 31, 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 annual report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities 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
Global Horizons L.P.

Date: March 30, 2004
- -----------------------

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

29

ML GLOBAL HORIZONS L.P.

2003 FORM 10-K

INDEX TO EXHIBITS