ML FUTURES INVESTMENTS LP - 10-K Annual Report

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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

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

For the fiscal year ended: December 31, 2003
or
/ / Transition Report Pursuant to Section 13
or 15(d) of the Securities Exchange Act of 1934

Commission file number: 33-22864

ML FUTURES INVESTMENTS L.P.
(Exact name of registrant as specified in its charter)

DELAWARE 36-3590615
----------------------------- -------------------
(State or other jurisdiction of (I.R.S. Employer
incorporation or organization) Identification No.)

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

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

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

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

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.
Yes /X/ No / /

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

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 of the registrant: the registrant is a limited partnership: as of
February 1, 2004, limited partnership units with an aggregate value of
$53,268,431 were outstanding and held by non-affiliates.

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. Copies of the annual report are available free of
charge by contacting Alternative Investments Client Services at 1-800-765-0995.

ML FUTURES INVESTMENTS L.P.

ANNUAL REPORT FOR 2003 ON FORM 10-K

TABLE OF CONTENTS

PART I

ITEM 1: BUSINESS

(a) GENERAL DEVELOPMENT OF BUSINESS:

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

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. Prior to February 28, 2003, the general partner of the Partnership was
MLIM Alternative Strategies LLC ("MLIM AS LLC"). On February 28, 2003, MLIM AS
LLC assigned the general partner interest and the management authority to MLIM
LLC as part of an internal Merrill Lynch reorganization.

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

Effective after the close of business on December 31, 2002, the
Partnership combined its net assets with five other similar Multi-Advisor Funds
to form a combined ML Futures Investments L.P. in a tax-free reorganization. All
of the Partnership's investors received new units of the combined Partnership
with an initial Net Asset Value per Unit of $1.00 in exchange for each of their
original Units. The aggregate Net Asset Value of each investor's new Units is
equal to the aggregate Net Asset Value of their original Units. Conversion of
the shares had no adverse economic effect on investors in any of the
Multi-Advisor Funds. The combined Partnership will continue to invest through MM
LLC and the combination of the Multi-Advisor Funds did not change the operations
of MM LLC. The combined Partnership's percentage of ownership of MM LLC was
32.32% immediately after the combination.

As of January 1, 2003, the combined Partnership's capitalization was
$56,057,893, and the Net Asset Value of a Unit was $1.000. Unless otherwise
noted, financial information provided in this report for 2003 is for the
combined Partnership.

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

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Through December 31, 2003, after the combination, the highest
month-end Net Asset Value per Unit was $1.0881 (December 31, 2003) and the
lowest was $1.000 (December 31, 2002).

(b) FINANCIAL INFORMATION ABOUT SEGMENTS:

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

(c) NARRATIVE DESCRIPTION OF BUSINESS:

GENERAL

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

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

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

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

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

Use of Proceeds and Interest Income

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

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

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

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

2

CUSTODY OF ASSETS.

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

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

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

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

Charges

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

The Partnership's average month-end Net Assets, during 2003, 2002 and
2001 equaled $55,028,914, $57,994,094, and $13,558,376, respectively.

During 2003, 2002 and 2001, the Partnership earned through its
investment in MM LLC $588,108, 1,154,755 and 473,244 in interest income or
approximately 1.07%, 1.99% and 3.49%

3

DESCRIPTION OF CURRENT CHARGES

4

Regulation

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

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

(xiii) The Partnership has no employees.

(d) FINANCIAL INFORMATION ABOUT FOREIGN AND DOMESTIC OPERATIONS AND EXPORT
SALES:

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

ITEM 2: PROPERTIES

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

The Partnership's 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

(a) MARKET INFORMATION:

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

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(b) HOLDERS:

As of December 31, 2003, there were 2,489 holders of Units, including
MLIM LLC.

(c) DIVIDENDS:

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

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

Not applicable.

Item 5(b)

Not applicable.

ITEM 6: SELECTED FINANCIAL DATA

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

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

Pursuant to CFTC policy, monthly performance is presented only from
January 1, 1999 even though Units were outstanding prior to such date.

6

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

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

ML FUTURES INVESTMENTS L.P.
DECEMBER 31, 2003

TYPE OF POOL: SELECTED-ADVISOR/PUBLICLY-OFFERED/"PRINCIPAL PROTECTED"(1)
INCEPTION OF TRADING: MARCH 1, 1989
AGGREGATE SUBSCRIPTIONS: $130,705,893
CURRENT CAPITALIZATION: $53,823,502
WORST MONTHLY DRAWDOWN(2): (4.87)% (11/01)
WORST PEAK-TO-VALLEY DRAWDOWN(3): (10.31)% (11/01-2/02)

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

NET ASSET VALUE PER UNIT, DECEMBER 31, 2003: $1.0881

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

(2) Worst Monthly Drawdown represents the largest negative Monthly
Rate of Return experienced since January 1, 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

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approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

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

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

RESULTS OF OPERATIONS

Advisor Selections

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

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

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

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

General

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

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

There are many influences on the markets that the same general type
of economic event may lead to a price trend in some cases but not in others.
The analysis is further complicated by the fact that the programs are
designed to recognize only certain

8

types of trends and to apply only certain criteria of when a trend has begun.
Consequently, even though significant price trends may occur, if these trends
are not comprised of the type of intra-period price movements, which the
programs are, designed to identify, a trend-following Advisor may miss the trend
altogether.

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

Performance Summary

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

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

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

2003

During 2003 all of the Partnership's assets were invested in MM LLC.
The Partnership received trading profits as an investor in MM LLC. The following
commentary of 2003 describes the trading results for MM LLC during the year.

The Partnership's overall trading performance was successful with
trading in the currency sector proving to be the most profitable. The
Partnership experienced gains in all sectors.

The currency sector had the most significant gains for the year. The
weakening U.S. dollar continued 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. 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. During the middle of the third quarter, the U.S. dollar
appreciated relative to the European currencies. In the fourth quarter the U.S.
dollar declined against other major currencies, as concerns over the widening
trade deficits persisted. Gains in trading the Australian dollar and Euro
outweighed smaller losses in other markets during the fourth quarter.

Trading in stock indices posted a gain for the year. The market was
choppy throughout the year making trading difficult. The Partnership was able to
realize some gains in January on short positions as most indices recorded
three-month lows. 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 third quarter, the losses in
the S&P 500 and Dow Jones futures outweighed gains in other markets. However,
the Japanese Nikkei was the strongest performer as it gained over 8% on strong
economic numbers. In December, a profit was posted as long exposure to global
equities from momentum based models performed well as equities closed the year
out with positive performance. The main drives to performance in this sector
were the DAX and the S&P500.

The metals sector was also profitable for the year. 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 a main

9

driver for the gold market in January. Gold generated losses in March through
June as gold's appeal as a safe investment diminished. At the closing of the
third quarter, both the industrial and metal complex sectors benefited from
increases in valuation. In November gold rallied and prices reached a six-year
high and was one of the main drivers of performance for the sector. The year
ended with strong physical demand from Asia accelerating the up trend in base
metals, particularly, nickel and copper, which benefited our long exposure to
these markets.

Interest rate futures were profitable for the year. Significant gains
in February and May as well as in July due to the massive sell-off in bonds,
offset losses throughout the remainder of the year. U.S. and European bonds
rallied until the beginning of the third quarter, when 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
generally outperformed U.S. bonds during such period Despite a record $60
billion refunding program in the U.S., bonds managed a timid recovery after
making new lows. Trading conditions remain choppy in this sector and overall
exposure continues to remain low, since no clear trends have emerged at the end
of the year.

Energy was a profitable sector for the year. In February, the best
performing month, natural gas prices rose nearly 40% in a single day in
connection with expected severely cold weather and supply shortages. This helped
the Partnership retain profits as prices declined in crude oil and natural gas
in March. 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. Natural gas was very volatile during June.
During the middle of the third 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. The year
ended with losses posted in the fourth quarter primarily due to milder weather
in the U.S., which lead to a downward trend in natural gas. Prices were volatile
after the arrest of Saddam Hussein and by a potential increase of OPEC quotas.

Trading in agricultural commodities posted small gains for the year.
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. Gains in April, mainly from soybeans, which
rallied due to revisions in crop estimates and weather overseas, were
overshadowed by losses in May and June due to changes in crop estimates and a
volatile livestock market. In the beginning of the third quarter, short exposure
in corn generated strong profits as the U.S. government forecasted 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. Weather drove prices up due
to very little rain in the Midwest, where a substantial portion of the U.S.
crops grow. 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 lower yields on soybeans. The fourth quarter began with posted gains
as grain export data was very bullish for most grain markets and soybeans. Later
in the fourth quarter, the discovery of the first case of mad cow disease
contributed to the posting of losses.

2002

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

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

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

Profits resulting from trading in the currency sector provided the
Partnership with gains in the second quarter and December, which outweighed
losses sustained during other periods in the year. The decline in

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the U.S. dollar during the first half of the year continued through June
unabated, fueled by the decline in the U.S. equity markets. The trading
strategies were able to capitalize on the declining U.S. dollar in December and
weather the volatility of the currency market during the last two weeks of the
year.

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

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

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

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

2001

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

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

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

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

11

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

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

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

VARIABLES AFFECTING PERFORMANCE

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

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

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

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

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

LIQUIDITY; CAPITAL RESOURCES

The Partnership sells no securities other than the Units. The
Partnership borrows only to a limited extent and only on a strictly short-term
basis in order to finance losses on non-U.S. dollar denominated trading
positions pending the conversion of the Partnership's U.S. dollar deposits.
These borrowings are at a prevailing

12

short-term rate in the relevant currency. They have been immaterial to the
Partnership's operation to date and are expected to continue to be so.

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

Except in very unusual circumstances, the Partnership should be able
to close out any or all of its open trading positions and liquidate any or all
of its securities holdings quickly and at market prices. This permits an Advisor
to limit losses, as well as reduce market exposure on short notice should its
strategies indicate doing so. In addition, because there 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

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

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

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

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

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

QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK

QUANTITATIVE FORWARD-LOOKING STATEMENTS

The following quantitative disclosures regarding the Partnership's
market risk exposures contain "forward-looking statements" within the meaning of
the safe harbor from civil liability provided for such statements by the Private
Securities Litigation Reform Act of 1995 (set forth in Section 27A of the
Securities Act of 1933 and

13

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.

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

The following table indicates the average, highest and lowest trading
Value at Risk associated with MM LLC's open positions by market category for the
fiscal years. During the fiscal year 2003, MM LLC's average capitalization was
approximately $157,124,549. During the fiscal year 2002, MM LLC's average
capitalization was approximately $183,710,108.

ITEM 8: FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

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

Selected Quarterly Financial Data
ML Futures Investments LP (2002 data before combination)

Net Income by Quarter
Eight Quarters through December 31, 2003

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

15

PART III

ITEM 10: DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

(a,b) IDENTIFICATION OF DIRECTORS AND EXECUTIVE OFFICERS:

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

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

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 Chief Operating Officer, Alternative Strategies and Quantitative
Advisers divisions since August 2003. Mr. Mendiratta served as Chief Operating
Officer of MLIM LLC's Alternative Investments 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 MLIM LLC's Alternative Strategies
Division 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. Donahue 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 1997; and Senior Accountant for Ernst & Young from September 1989 to April
1993. He

16

received his Bachelor of Business Administration from College of William &
Mary.

As of December 31, 2003, the principals of MLIM LLC had no
investment in the Partnership, and MLIM LLC's general partner interest in the
Partnership was valued at $550,885.

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

(c) IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

None.

(d) FAMILY RELATIONSHIPS:

None.

(e) BUSINESS EXPERIENCE:

See Item 10(a)(b) above.

(f) INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

None.

(g) PROMOTERS AND CONTROL PERSONS:

Not applicable.

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

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

(a) SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

17

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.

(b) SECURITY OWNERSHIP OF MANAGEMENT:

As of December 31, 2003, MLIM LLC owned 506,504 Units
(unit-equivalent general partnership interests), which was 1.02% of the total
Units outstanding.

(c) CHANGES IN CONTROL:

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 their advisory fees and Profit Shares. However, none
of the fees paid by the Partnership to any Merrill Lynch party were negotiated,
and they are higher than would have been obtained in arms-length bargaining.

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

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

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

MLIM 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 MM LLC expensed directly: (i) Brokerage Commissions
of $6,518,807 to MLPF&S, which included $770,177 in consulting fees earned by
the Advisors; and (ii) Administrative Fees of $230,413 to MLIM LLC. In addition
MLIM LLC and its affiliates may have derived certain economic benefit from
possession of the Partnership's assets, as well as from foreign exchange and EFP
trading.

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

(c) INDEBTEDNESS OF MANAGEMENT:

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

(d) TRANSACTIONS WITH PROMOTERS:

18

Not applicable.

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
$20,000.

Aggregate fees billed for these services for the year ended
December 31, 2002 were $16,789.

(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 $26,500.

Aggregate fees billed for these services for the year ended
December 31, 2002 were $185,500.

(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
preapprove principal accountant fees and services. In lieu of an audit
committee, the managers and the principal financial officer preapprove all
billings prior to the commencement of the performance of such services.

PART IV

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

(a) 1. FINANCIAL STATEMENTS:

(a) 2.8(d) FINANCIAL STATEMENT SCHEDULES:

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

(a) 3. EXHIBITS:

19

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

20

EXHIBIT 13.01: Is filed herewith.

13.01 2003 Annual Report and Independent Auditors' Report for the following Trading
Limited Liability Company sponsored by MLIM LLC:
ML Multi-Manager Portfolio LLC

EXHIBIT 13.01(a): Is filed herewith.

28.01 Prospectus of the Partnership dated June 1, 1990.

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

31.01 and 31.02 Rule 13a-14(a)/15d-14(a) Certifications.

EXHIBITS 31.01 AND 31.02 Are filed herewith.

32.01 and 32.02 Section 1350 Certifications.

EXHIBITS 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.

21

SIGNATURES

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

ML FUTURES INVESTMENTS L.P.

By: MERRILL LYNCH INVESTMENT MANAGERS LLC
General Partner

By:/s/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 Merrill Lynch Investment Managers 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)

22

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 Futures Investments 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;

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) Any 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)

23

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 Futures Investments 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 such 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;

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) Any 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)

24

EXHIBIT 32.01

SECTION 1350 CERTIFICATIONS

In connection with this annual report of ML Futures Investments 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
Futures Investments 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)

25

EXHIBIT 32.02

SECTION 135O CERTIFICATIONS

In connection with this annual report of ML Futures Investments 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
Futures Investments L.P.

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

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

26

ML FUTURES INVESTMENTS L.P.

2003 FORM 10-K

INDEX TO EXHIBITS

EXHIBIT

Exhibit 13.01 2003 Annual Report and Independent Auditors' Report

Exhibit 13.01(a) 2003 Annual Report and Independent Auditors' Report
for the following Trading Limited Liability Company
sponsored by Merrill Lynch Investment Managers LLC:
ML Multi-Manager Portfolio LLC

27