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, 2004
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, 2005, limited partnership units with an aggregate value of
$44,933,493 were outstanding and held by non-affiliates.

DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2004 Annual Report and Report of Independent Registered Public
Accounting Firm," the annual report to security holders for the fiscal year
ended December 31, 2004, is incorporated by reference into Part II, Item 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 1-877-465-8435.

ML FUTURES INVESTMENTS L.P.

ANNUAL REPORT FOR 2004 ON FORM 10-K

TABLE OF CONTENTS

PART I

ITEM1: 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 Mangers, 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") a wholly-owned
subsidiary of Merrill Lynch, 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 had been managed by MLIM AS LLC, before being managed by MLIM
LLC, and MM LLC had no investors other than the Multi-Advisor Funds and served
solely as the vehicle through which the assets of such Multi-Advisor Funds were
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, 2004, MM
LLC liquidated and the Partnership invested in Global Horizons I L.P. Global
Horizons I L.P. is a MLIM LLC limited partnership that has an investment
strategy similar to MM 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.

1

As of December 31, 2002, the combined Partnership's
capitalization was $56,056,893, 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).

Through December 31, 2004, after the combination, the highest
month-end Net Asset Value per Unit was $1.1324 (February 28, 2004) 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 traded, 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. Effective after the close of business on
December 31, 2004, the Partnership trades its investments through Global
Horizons I L.P.

MLIM LLC is the Partnership's trading manager, with
responsibility for selecting Advisors to manage MM LLC's assets, allocating and
reallocating MM LLC's assets among different Advisors. Effective after the close
of business on December 31, 2004, the Partnership invests through Global
Horizons I L.P., rather than MM LLC.

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

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

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

Use of Proceeds and Interest Income

MARKET SECTORS.

The Partnership, through its former investment in MM LLC (and
present investment in Global Horizons I L.P.), 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 former investment in MM LLC
(and present investment in Global Horizons I L.P.), 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

2

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.

CUSTODY OF ASSETS.

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

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

All of the Partnership's U.S. dollar assets invested in MM LLC
were maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch
credited MM LLC with interest at the prevailing 91-day U.S. Treasury bill rate.
MM LLC was 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 paid to MM LLC, from possession of
such assets.

Merrill Lynch charged 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.

Effective after the close of business on December 31, 2004, the
Partnership invests through Global Horizons I L.P. MLPF&S's and Merrill Lynch's
arrangements with Global Horizons I L.P. are similar to the arrangements with MM
LLC as outlined in the preceding two paragraphs.

Charges

The following table summarizes the charges incurred by the
Partnership during 2004, 2003 and 2002 allocated from MM LLC.

The Partnership's average month-end Net Assets, during 2004,
2003 and 2002 equaled $49,423,972, $55,028,914, and $57,994,094, respectively.

* Represents charges incurred for the combined Partnership assuming the
combination took place at the beginning of the year. Each of the individual
multi-advisor funds were audited as of December 31, 2002.

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 traded
through its former investment MM LLC (and trades through its present investment
in Global Horizons I L.P.), 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 administrative services for the Partnership from
MLIM LLC's offices.

ITEM 3: LEGAL PROCEEDINGS

Neither the Partnership nor MLIM LLC have ever been the subject
of any material litigation. Merrill Lynch is the 100% indirect owner of MLIM
LLC, MLIM, MLPF&S and all other Merrill Lynch entities involved in the operation
of the Partnership. Merrill Lynch 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.

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

None

PART II

ITEM 5: MARKET FOR REGISTRANT'S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND
ISSUER PURCHASES OF EQUITY SECURITIES

Item 5(a)

(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.

5

(b) HOLDERS:

As of December 31, 2004, there were 2,194 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 5(c)

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, 2000 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

7

ML FUTURES INVESTMENTS L.P.
DECEMBER 31, 2004

TYPE OF POOL: SELECTED-ADVISOR/PUBLICLY-OFFERED/"PRINCIPAL PROTECTED"(1)
INCEPTION OF TRADING: MARCH 1, 1989
AGGREGATE SUBSCRIPTIONS: $130,705,893
CURRENT CAPITALIZATION: $ $46,876,541
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, 2004: $1.0814

(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, 2000 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, 2000 from a month-end cumulative Monthly
Rate of Return without such cumulative Monthly Rate of Return being equaled or
exceeded as of a subsequent month-end. For example, if the Monthly Rate of
Return was (1)% in each of January and February, 1% in March and (2)% in April,
the Peak-to-Valley Drawdown would still be continuing at the end of April in the
amount of approximately (3)%, whereas if the Monthly Rate of Return had been
approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

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

8

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

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.

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.

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

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

9

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.

2004

During 2004 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 2004 describes the trading results for MM LLC during the
year.

The Partnership's overall trading performance was successful
with trading in the interest rate sector proving to be the most profitable.

The interest rate sector was the most profitable for the
Partnership, despite choppy trading conditions early in the year. Long exposure
early in the year to most of the major global yield curves proved to generate
positive results though overall exposure was light compared to historical
exposure. Bond markets were fairly range bound during the second quarter
however, yields on the U.S. ten-year note reached their highest levels since
July 2002. U.S. Treasury markets reacted to the employment data during the third
quarter with a strong sell-off, which caused the sector to reduce the long
exposure to change to a net short bias. The Federal Reserve raised key interest
rates by 25 basis points on September 21st and softer economic data eventually
pushed longer-term maturities higher by the end of the quarter. The U.S. fixed
income markets, particularly the front end, reversed their sell-off, which
started in November, but rallied during the first week of December, only to
reverse that trend during the last two weeks of the year.

The energy sector had the second highest gains for this
Partnership. The upward trend in crude oil prices and related products continued
in their secular bull market trend, in a very volatile fashion. Colder than
expected winter months in the Northeast and Midwest U.S., instability with
Russian suppliers, fears of worldwide terrorism, and active hurricane season in
the U.S., all contributed to keeping prices high throughout the year. The end of
the year did see a pull back from the all time highs in energy prices, due to
both fundamental and technical factors, such as increased stockpiles and
speculators trading the market.

Trading in agricultural commodities posted gains for the
Partnership. In the beginning of the year, the USDA cut its forecast of the crop
supply for both soybeans and corn, which sent prices surging. This long term
rally continued through the second quarter on strong demand from Asia and lower
estimates of supply from South America. 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. The USDA gave a low crop
estimate as there were forecasts of an early freeze following a cool summer and
slow crop development all surprising the market and posting losses as the short
positions were covered. Cocoa had a volatile move in November as the political
situation in the Ivory Coast deteriorated. The year ended with fundamental
factors continuing to drive coffee prices higher, reaching over $1 per pound, a
level not seen since July 2000.

10

The metals sector was not profitable for the Partnership.
Despite gains in the first quarter and third quarter, the year was not
profitable. The second quarter generated significant losses in both industrial
and precious metals. The U.S. dollar strengthening and the fear of higher
interest rates, which would curb growth, caused base and precious metals to
sell-off. Industrial metals, particularly copper, added to performance in the
third quarter while exposure to precious metals contributed a small gain. Copper
rallied primarily based on increasing demand from China and tight supply
conditions. The year ended with the metals sector posting a loss, as gains in
long industrials were outweighed by losses in long precious metal exposure. Gold
experienced its first decline in six months.

Stock indices posted a loss for the Partnership. The market
was choppy throughout the year making trading difficult. The Partnership was
able to realize some gains in the beginning of the year on long exposure to
global equities from momentum based and fundamental models performing well.
However, stock indices posted a loss that exceeded the gains from earlier in the
first quarter. In April, the Japanese Nikkei experienced a sudden deterioration,
which sent that market plunging approximately 5% in one day. Losses in the U.S.
outweighed moderate gains in some of the international markets late in the third
quarter. However, stock indices posted a strong gain at the end of the year, as
markets continued the upward trend on positive economic data, a decline in
energy prices and increased overall confidence. Gains were made across the U.S.,
Asia and Europe.

The currency sector was the least profitable for the
Partnership. The currency markets continued its long trend of a weakening U.S.
dollar. However, trading was very choppy and gains generated in the beginning of
the first quarter were lost. Early U.S. dollar strength reversed towards the end
of the first quarter and at the quarter's close the U.S. dollar fell to a four
year low against the Japanese yen. The U.S. dollar rebounded at the beginning of
the second quarter only to weaken at the end of the quarter. The currency
markets remained range bound versus the U.S. dollar throughout the third
quarter. The year ended with the U.S. dollar continuing to decline against
various other currencies.

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.

11

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
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

12

capitalized on the lowered interest rates by the European Central Bank, causing
the Euribor rates to trend higher.

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

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

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

13

that the total Profit Shares paid to those Advisors which have traded profitably
are a high percentage, or perhaps even in excess, of the total profits
recognized, as other Advisors have incurred offsetting losses, reducing overall
trading gains but not the Profit Shares paid to the successful Advisors) --
suggesting the likelihood of generally trendless, non-consensus markets.

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

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

LIQUIDITY; CAPITAL RESOURCES

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

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

Except in very unusual circumstances, the Partnership should be
able to close out any or all of its open trading positions and liquidate any or
all of its securities holdings quickly and at market prices. This permits an
Advisor to limit losses, as well as reduce market exposure on short notice
should its strategies indicate doing so. In addition, because there 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 traded through its investment in MM LLC.
(Effective after the close of business on December 31, 2004, MM LLC liquidated,
and the Partnership invested in Global Horizons I L.P.). 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.

14

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

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

QUANTIFYING THE PARTNERSHIP'S TRADING VALUE AT RISK

QUANTITATIVE FORWARD-LOOKING STATEMENTS

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

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

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

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

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

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

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 2004, MM LLC's average
capitalization was approximately $ 105,726,423. During the fiscal year 2003, MM
LLC's average capitalization was

15

approximately 157,124,549.

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 L.P.

Net Income by Quarter
Eight Quarters through December 31, 2004

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

16

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.

ITEM 9B: OTHER INFORMATION

Not applicable.

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 MLIM, 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.

17

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 received his Bachelor of Arts from College of William & Mary.

As of December 31, 2004, the principals of MLIM LLC had no
investment in the Partnership, and MLIM LLC's general partner interest in the
Partnership was valued at $547,516.

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.

(h) AUDIT COMMITTEE FINANCIAL EXPERT:

Not applicable. (Neither the Partnership nor MLIM has an audit
committee.)

18

CODE OF ETHICS:

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

ITEM 11: EXECUTIVE COMPENSATION

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

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

(a) SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

As of December 31, 2004, 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, 2004, MLIM LLC owned 506,504 Units
(unit-equivalent general partnership interests), which was 1.16% 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.

19

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 2004, the MM LLC expensed directly: (i) Brokerage Commissions
of $5,788,977 to MLPF&S, which included $658,558 in consulting fees earned by
the Advisors; and (ii) Administrative Fees of $175,085 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:

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, 2004 were
$19,000.

Aggregate fees billed for these services for the year ended
December 31, 2003 were $20,000.

(b) AUDIT-RELATED FEES

There were no other audit-related fees billed for the years
ended December 31, 2004 or 2003 related to the Partnership.

(c) TAX FEES

Aggregate fees billed for professional services rendered by
Deloitte Tax LLP in connection with the tax compliance, advice and preparation
of the Partnerships tax returns for the year ended December 31, 2004 were
$27,500.

Aggregate fees billed for these services for the year ended
December 31, 2003 were $26,500.

(d) ALL OTHER FEES

No fees were billed to Deloitte & Touche LLP nor Deloitte Tax
LLP during the years ended December 31, 2004 or 2003 for any other professional
services in relation to the Partnership.

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

20

PART IV

ITEM 15: EXHIBITS AND FINANCIAL STATEMENT SCHEDULES

2. 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.

3. EXHIBITS:

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

21

10.02(a) Form of Consulting Agreement between each Advisor of the
Partnership and MLPF&S.

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

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

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

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

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

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

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

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

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

13.01 2004 Annual Report and Report of Independent Registered Public
Accounting Firm.

EXHIBIT 13.01: Is filed herewith.

13.01 2004 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.

22

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 31, 2005 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 31, 2005
MANAGERS LLC

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

23

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; and

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

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting 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 31, 2005
- -----------------------

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

24

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; and

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

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting 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 31, 2005
- -----------------------

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

25

EXHIBIT 32.01

SECTION 1350 CERTIFICATION

In connection with this annual report of ML Futures Investments L.P. (the
"Company") on Form 10-K for the fiscal year ended December 31, 2004 as filed
with the Securities and Exchange Commission on the date hereof (this "Report"),
I, Vinay Mendiratta, Managing Director and Chief Operating Officer-Alternative
Strategies and Quantitative Advisers Divisions of the Company, certify, pursuant
to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of
2002, that:

1. This Report 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 Report fairly presents, in all material
respects, the financial condition and results of operations of the Company.

Date: March 31, 2005
- -----------------------

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

26

EXHIBIT 32.02

SECTION 135O CERTIFICATION

In connection with this annual report of ML Futures Investments L.P. (the
"Company") on Form 10-K for the fiscal year ended December 31, 2004 as filed
with the Securities and Exchange Commission on the date hereof (this "Report"),
I, Patrick Hayward, Chief Financial Officer of the Company, certify, pursuant to
18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This Report 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 Report fairly presents, in all material
respects, the financial condition and results of operations of the Company.

Date: March 31, 2005
- -----------------------

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

27

ML FUTURES INVESTMENTS L.P.

2004 FORM 10-K

INDEX TO EXHIBITS