ML FUTURES INVESTMENTS LP - 10-Q Quarterly Report

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

FORM 10-Q

(Mark One)

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

For the quarterly period ended June 30, 2004

OR

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

For the transition period from _____________ to _____________

Commission File Number 33-22864

ML FUTURES INVESTMENTS L.P.
---------------------------
(Exact Name of Registrant as
specified in its charter)

Delaware 36-3590615
- ------------------------------- ---------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Investment Managers LLC
222 Broadway
27th Floor
New York, NY 10038-2510
-----------------------
(Address of principal executive offices)
(Zip Code)

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

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

PART I - FINANCIAL INFORMATION
Item 1. Financial Statements

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF FINANCIAL CONDITION

See notes to financial statements.

2

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF OPERATIONS
(unaudited)

All revenues and expenses are derived from the investment in MM LLC.

See notes to financial statements.

3

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE SIX MONTHS ENDED JUNE 30, 2004 AND 2003
(unaudited)

See notes to financial statements.

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ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS
(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the financial statements contain all adjustments
(consisting of only normal recurring adjustments) necessary to present fairly
the financial position of ML Futures Investments L.P. (the "Partnership") as of
June 30, 2004, and the results of its operations for the three and six months
ended June 30, 2004 and 2003. However, the operating results for the interim
periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in conformity with accounting principles generally
accepted in the United States of America have been omitted. It is suggested that
these financial statements be read in conjunction with the financial statements
and notes thereto included in the Partnership's Annual Report on Form 10-K filed
with the Securities and Exchange Commission for the year ended December 31,
2003.

2. COMBINATION OF MULTI-ADVISOR FUNDS

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

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

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

3. INVESTMENTS

As of June 30, 2004 and December 31, 2003, the Partnership had an investment in
MM LLC of $47,667,725 and $53,823,502, respectively. As of June 30, 2004, and
December 31, 2003, the Partnership's percentage ownership share of MM LLC was
45.73% and 38.41%, respectively.

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

4. FAIR VALUE AND OFF-BALANCE SHEET RISK

The Partnership invests indirectly in derivative instruments as a result of its
investment in MM LLC, but does not itself hold any derivative instrument
positions. The nature of this Partnership has certain risks, which can not be
presented in the financial statements. The following summarizes some of those
risks resulting from its investment in MM LLC.

MARKET RISK

Derivative financial instruments involve varying degrees of off-balance sheet
market risk. Changes in the level or volatility of interest rates, foreign
currency exchange rates or the market values of the underlying financial
instruments or commodities underlying such derivative instruments frequently
results in changes in the Partnership's allocation of net unrealized profit
(loss) on such derivative instruments as reflected in the Statements of
Financial Condition of MM LLC. The Partnership's exposure to market risk is
influenced by a number of factors, including the relationships among the
derivative instruments held by MM LLC, as well as the volatility and liquidity
of such markets in which such derivative instruments are traded.

The General Partner, MLIM LLC, has procedures in place intended to control
market risk exposure, although there can be no assurance that they will, in
fact, succeed in doing so. These procedures focus primarily on monitoring the
trading of the Advisors selected from time to time for MM LLC, and include
calculating the Net Asset Value of the Advisors' respective Partnership accounts
and MM LLC accounts as of the close of business on each day and reviewing
outstanding positions for over-

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concentrations both on an Advisor-by-Advisor and on an overall Partnership
basis. While MLIM LLC does not itself intervene in the markets to hedge or
diversify the Partnership's market exposure, MLIM LLC may urge Advisors to
reallocate positions, or itself reallocate Partnership assets, through MM LLC,
among Advisors (although typically only as of the end of a month) in an attempt
to avoid over-concentrations. However, such interventions are unusual. Except in
cases in which it appears that an Advisor has begun to deviate from past
practice or trading policies or to be trading erratically, MLIM LLC's basic risk
control procedures consist simply of the ongoing process of advisor monitoring
and selection with the market risk controls being applied by the Advisors
themselves.

CREDIT RISK

The risks associated with exchange-traded contracts are typically perceived to
be less than those associated with over-the-counter (non-exchange-traded)
transactions, because exchanges typically (but not universally) provide
clearinghouse arrangements in which the collective credit (in some cases limited
in amount, in some cases not) of the members of the exchange is pledged to
support the financial integrity of the exchange. In over-the-counter
transactions, on the other hand, traders must rely solely on the credit of their
respective individual counterparties. Margins, which may be subject to loss in
the event of a default, are generally required in exchange trading, and
counterparties may require margin in the over-the-counter markets.

The Partnership, through MM LLC, has credit risk with respect to its
counterparties and brokers, but attempts to mitigate this risk by dealing
exclusively with Merrill Lynch entities as clearing brokers.

The Partnership, through MM LLC, in its normal course of business, enters into
various contracts, with Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S")
acting as its commodity broker. Pursuant to the brokerage agreement with MLPF&S
(which includes a netting arrangement), to the extent that such trading results
in receivables from and payables to MLPF&S, these receivables and payables are
offset and reported as a net receivable or payable in the financial statements
of MM LLC in the Equity in commodity futures trading accounts in the Statements
of Financial Condition.

Item 2. Management's Discussion and Analysis of Financial Condition and
Results of Operations

MONTH-END NET ASSET VALUE PER UNIT

Performance Summary

All of the Partnership's assets are invested in MM LLC. The Partnership
recognizes trading profits or losses as an investor in MM LLC. The following
commentary describes the trading results of MM LLC.

JANUARY 1, 2004 TO JUNE 30, 2004

January 1, 2004 to March 31, 2004

MM LLC experienced gains in the interest rate, metals, agricultural commodities,
energy, and currency sectors and losses in stock indices. Overall, for the
quarter, MM LLC experienced gains.

The interest sector posted the largest gains for the quarter despite choppy
trading conditions early in the quarter. In January, profits were generated from
various positions at the short end of the curve in Canada and Europe, while
losses were posted at longer points in the curve in both the U.S. and Europe. In

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February, fixed income markets resumed their slow upward trend. In March, long
exposure to most of the major global yield curves proved to generate positive
results.

The metals sector posted gains for the quarter as well. In January, both
precious and industrial metals generated positive returns from the long side.
Base metals continued to move higher with the exception of nickel. Copper rose
to its highest price in more than six years due to supply disruptions and heavy
demand from new home construction. In February, base metals continued their
upward move as the sector experienced strong demand, shrinking supply and U.S.
dollar weakness, helping to drive prices higher. Strong industrial demand for
copper and continued speculative interest pushed the market to a seven year
high. In March, industrial metals generated minor losses for MM LLC, while
precious metals contributed significantly, particularly, gold and silver.

The agricultural commodities sector posted gains early in the quarter as the
USDA cut its forecast of the crop supply for both soybeans and corn, which sent
prices surging. In February, grain markets extended their long-term rally, with
corn and soybeans being pushed to highs on strong demand and low stockpiles.
Grain markets continued to extend their long-term rally in March, with corn,
soybeans and soymeal being pushed higher on strong demand from Asia and lower
estimates of supply from South America.

The energy sector posted gains for the quarter. In crude oil and more broad
energy markets, weather and OPEC were the dominant factors behind price moves
during January. Weather was extremely cold in the Northeast and Midwest U.S.,
which caused a sharp rally in natural gas and heating oil. Crude oil had a sharp
rally in early February and gradually sold-off as the markets became complacent
about the OPEC meeting. The market continued this trend, as weather-related
demand and tight U.S. inventories continued. In March, the energy sectors posted
a small loss under extremely volatile market conditions. The crude oil market
had very choppy performance during the month, as did the heating oil market.

The currency sector posted slight gains for the quarter. The currency sector
began the quarter with gains as it continued its long trend of a weakening U.S.
dollar. However, trading was very choppy and gains generated in the early part
of January were lost. In February and March, the trend continued as currency
trading was very difficult due to the heightened volatility in the markets.

Stock indices posted losses despite gains early in the quarter. Stock indices
posted a profit for January, as long exposure to global equities from momentum
based and fundamental models performed well. In February, long exposure to
global equities produced positive performance. In March, stock indices posted a
loss that exceeded the gains from earlier in the quarter. Long Nikkei profits
were overcome by losses in long exposure to European equities, which later
flipped to short positions by month-end.

April 1, 2004 to June 30, 2004

MM LLC experienced an overall loss for the quarter. The energy sector was the
only profitable sector for MM LLC.

The energy sector posted gains for the quarter despite volatile market
conditions. Crude oil and unleaded gas were the main drivers of performance. In
May, crude oil prices continued to increase during the month, including refined
products, as did market volatility. Political uncertainties in the Middle East
added an additional risk premium to the markets. Losses were posted for the
month of June. Crude oil and heating oil were the largest contributors to losses
as markets sold-off early during the month when OPEC agreed to provide more
supply, while U.S. inventory levels showed a gradual increase. The MM LLC
maintained a long bias in this sector throughout the quarter.

The agricultural sector posted a loss for the quarter despite small gains in
April and June. Early in the quarter, agricultural markets reversed their upward
trend with the fear that demand from China would slow down. Long exposure to the
soybean complex outweighed losses in other markets, particularly

8

corn. Large losses were posted in May. Soybean prices collapsed, and sold off
close to 20% from highs in April as ideal weather conditions persisted in the
Midwest and exports failed to materialize. Demand from China and diminishing
supplies had kept prices high for quite some time. Small gains were posted in
June, with cotton prices dropping allowing short exposures to generate profits.
Corn also posted a significant decline during the month, which caused the
portfolio to adjust positions from long to short. Corn experienced a dramatic
improvement in estimates of acreage and yields, due to high prices and positive
weather conditions.

The interest rate sector posted a loss for the quarter with small gains posted
in May. In April, the fixed income markets experienced heightened volatility and
then fell sharply, followed by a short bounce and then trended down for the rest
of the month. The portfolio was long on many of the global yield curves at the
start of the month and began reducing exposure and initiating shorts mid month.
In May, Eurodollars and short sterling exposure proved profitable during the
month, as strong employment figures in the U.S. confirmed a scenario whereby the
Federal Reserve will raise rates by this summer and the Bank of England
indicated it will raise rates to slow down the growth in economy. In June,
Eurodollars fell early in the month and finally gained 28 basis points from
their lows. U.S. fixed income trading was flat, while gains in trading Japanese
Government bonds were outweighed by losses in trading the European yield curve.

Stock indices posted losses throughout the quarter. In April, equities continued
to rally in the early part of the month, but the fear of rate increase based on
positive economic news sent equities falling with a steep sell-off towards the
end of the month. Equities worldwide stayed weak, on concerns of the imminent
rate increases in U.S. interest rates. The Japanese Nikkei experienced a sudden
deterioration in sentiment, which sent the market plunging around 5% in one day.

The metals sector posted losses for the quarter. In April, both industrial and
precious metals generated significant losses for the portfolio. The U.S. dollar
strengthening and the fear of higher interest rates, which would curb growth,
caused base and precious metals to sell-off. Both industrial and precious metals
generated slight losses for the portfolio in May. In June, industrial metals
detracted from performance as zinc fell by approximately 11% and copper lost 3%.

The currency sector posted the largest losses for the quarter. In April, the
U.S. dollar strengthened considerably during the month, with the Euro falling
below 120 and the British pound falling to 1.77. The Japanese yen fell sharply
after a strong rebound in March. Gains in the British pound and the Euro
overcame losses from the Japanese yen and Australian dollar positioning. In May,
the U.S. dollar weakened against major currencies except for the Australian
dollar after strengthening considerably during the prior month. Losses in the
Japanese yen, Australian dollar and the Swiss franc were mitigated by gains in
the British pound. In June, most major currencies displayed no clear direction,
but exhibited high intra day volatility. Losses were incurred from positions in
the Australian dollar, Swiss franc, British pound and other major markets.

JANUARY 1, 2003 TO JUNE 30, 2003

January 1, 2003 to March 31, 2003

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

The currency forward and futures trading had the most significant gains for the
quarter. The weakening U.S. dollar was continuing to decline as it has for over
a year and MM LLC 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, the U.S.

9

dollar strengthened on hopes that the war with Iraq would be short, and returned
some of the profits from earlier in the year.

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

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

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

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

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

April 1, 2003 to June 30, 2003

MM LLC was profitable in the financial futures, (currencies, interest rates and
stock index sectors), and incurred losses in the physical commodity sectors,
energy, agriculture and metals.

The currency sector was the strongest performer for MM LLC. 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 U.S. Treasury Secretary Snow indicated he was comfortable with
current declines and that a cheaper U.S. dollar would increase exports. The U.S.
dollar strengthened against most major currencies late June, reversing some
earlier profits.

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

10

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

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

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

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. Controls and Procedures

Merrill Lynch Investment Managers LLC, the General Partner of ML Futures
Investments L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this quarterly report, and, based on this evaluation, has 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 this
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

11

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

There are no pending proceedings to which the Partnership, MM LLC or
MLIM LLC is a party.

Item 2. Changes in Securities and Use of Proceeds

(a) None.
(b) None.
(c) None.
(d) None.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Submission of Matters to a Vote of Security Holders

None.

Item 5. Other Information

None.

Item 6. Exhibits and Reports on Form 8-K.

(a) EXHIBITS.

There are no exhibits required to be filed with this report.

(b) REPORTS ON FORM 8-K.

There were no reports on Form 8-K filed during the first six months of
fiscal 2004.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.

ML FUTURES INVESTMENTS L.P.

By: MERRILL LYNCH INVESTMENT
MANAGERS LLC
General Partner

Date: August 13, 2004 By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
-Alternative Strategies and Quantitative
Advisers Divisions
(Principal Executive Officer)

Date: August 13, 2004 By /s/ PATRICK HAYWARD
-------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

13

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-Q 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: August 13, 2004
- ----------------------
By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- - Alternative Strategies and Quantitative Advisers Divisions

(Principal Executive Officer)

14

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-Q 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 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: August 13, 2004
- ---------------------
By /s/ PATRICK HAYWARD
-------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

15

EXHIBIT 32.01

SECTION 1350 CERTIFICATIONS

In connection with this quarterly report of ML Futures Investments L.P. on Form
10-Q for the period ended June 30, 2004 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 quarterly 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 quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Futures Investments L.P.

Date: August 13, 2004
- ----------------------
By /s/ VINAY MENDIRATTA
--------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- - Alternative Strategies and Quantitative Advisers Divisions

(Principal Executive Officer)

16

EXHIBIT 32.02

SECTION 135O CERTIFICATIONS

In connection with this quarterly report of ML Futures Investments L.P. on Form
10-Q for the period ended June 30, 2004 as filed with the Securities and
Exchange Commission on the date hereof, I, Patrick Hayward certify, pursuant to
18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This quarterly report 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 quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Futures Investments L.P.

Date: August 13, 2004
- ---------------------
By /s/ PATRICK HAYWARD
-------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

17