<PAGE>
 
                                 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, 1997
                                       or
                 (  ) Transition Report Pursuant to Section 13
                or 15(d) of the Securities Exchange Act of 1934

                        Commission file number:  0-23240

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

             DELAWARE                         13-3716393
  -------------------------------         -------------------
  (State of other jurisdiction of          (I.R.S. Employer
  incorporation or organization           Identification No.)

                   C/O MERRILL LYNCH INVESTMENT PARTNERS INC.
                        MERRILL LYNCH WORLD HEADQUARTERS
                             WORLD FINANCIAL CENTER
                SOUTH TOWER, 6TH FLOOR, NEW YORK, NY  10080-6106
                ------------------------------------------------
                    (Address of principal executive offices)

      Registrant's telephone number, including area code:  (212) 236-5662
                                                           --------------

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

SECURITIES REGISTERED PURSUANT TO SECTION 12(G) OF THE ACT:  Limited Partnership
                                                             -------------------
Units
-----
(Title of Class)

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) 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]

Aggregate market value of the voting and non-voting stock held by non-
affiliates:  the registrant is a limited partnership; as of February 1, 1998,
limited partnership units with an aggregate value of $134,270,083 were
outstanding and held by non-affiliates.

                      DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "1997 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 1997,
is incorporated by reference into Part II, Item 8, and Part IV hereof and filed
as an Exhibit herewith.

                                       1
<PAGE>
 
                            ML GLOBAL HORIZONS L.P.

                      ANNUAL REPORT FOR 1997 ON FORM 10-K


                               Table of Contents
                               -----------------


                                   PART I                       PAGE
                                   ------                       ----
<TABLE>
<CAPTION>
<S>        <C>                                                  <C>
Item 1...  Business...........................................  1
 
Item 2...  Properties.........................................  6
 
Item 3...  Legal Proceedings..................................  6
 
Item 4...  Submission of Matters to a Vote of Security Holders  7
 
<CAPTION>
                                    PART II
                                    -------
 
<S>         <C>                                                <C>
Item 5.... Market for Registrant's Common Equity and Related 
           Stockholder Matters................................  7
 
Item 6.... Selected Financial Data............................  8
 
Item 7.... Management's Discussion and Analysis of Financial 
           Condition and Results of Operations................ 11
 
Item 7A... Quantitative and Qualitative Disclosures About 
           Market Risk........................................ 14
 
Item 8.... Financial Statements and Supplementary Data........ 14
 
Item 9.... Changes in and Disagreements with Accountants 
           on Accounting and Financial Disclosure............. 14
 
<CAPTION> 
                                    PART III
                                    --------
 
<S>         <C>                                               <C>
Item 10... Directors and Executive Officers of the Registrant. 14
 
Item 11... Executive Compensation............................. 16
 
Item 12... Security Ownership of Certain Beneficial Owners 
           and Management..................................... 16
 
Item 13... Certain Relationships and Related Transactions..... 17
 
<CAPTION> 
                                    PART IV
                                    -------

Item 14... Exhibits, Financial Statement Schedules and 
           Reports on Form 8-K................................ 18
</TABLE> 

                                     -ii-
<PAGE>
 
                                     PART I

ITEM 1:  BUSINESS
         --------
         (a) General Development of Business:
             ------------------------------- 

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

          Merrill Lynch Investment Partners Inc. (the "General Partner" or
"MLIP") acts as the general partner of the Partnership and selects and allocates
the Fund's assets among a "concentrated" group of Advisors unaffiliated with
MLIP, each of which trades independently of the others.  Merrill Lynch Futures
Inc. (the "Commodity Broker" or "MLF") is the Partnership's commodity broker.
The General Partner is a wholly-owned subsidiary of Merrill Lynch Group Inc.,
which in turn is a wholly-owned subsidiary of Merrill Lynch & Co., Inc.  The
Commodity Broker is an indirect wholly-owned subsidiary of Merrill Lynch & Co.,
Inc.  (Merrill Lynch & Co., Inc. and its affiliates are herein sometimes
referred to as "Merrill Lynch").

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

          The initial capitalization of the Fund was $35,835,000 . A total of an
additional $133,351,779 was invested in the Units through December 31, 1997, and
Units with an aggregate Net Asset Value of $66,754,173 had been redeemed
(including December 31, 1997 redemptions which were not actually paid out until
January 1998).  As of December 31, 1997, the capitalization of the Fund was
$134,044,365, and the Net Asset Value per Unit, originally $100 as of January 4,
1994, had risen to $153.86.  As of December 31, 1997, the Fund had 4,479 Limited
Partners.

          Through December 31, 1997, the highest month-end Net Asset Value per
Unit was $155.70 (July, 1997) and the lowest $97.36 (February, 1994).

     (b) Financial Information about Industry Segments:
         --------------------------------------------- 

        The Partnership's business constitutes only one segment for financial
        reporting purposes, i.e., a speculative "commodity pool."

     (c) Narrative Description of Business:
         --------------------------------- 

         GENERAL

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

         The Fund's assets are allocated and reallocated by MLIP to the trading
management of independent Trading Advisors applying proprietary strategies in
numerous markets.

          During its first 2 1/2 years of operation, the Fund retained only
three Advisors at any one time.  Two of these Advisors remained as "core"
Advisors to the Fund as of January 1, 1997.  In July 1996, MLIP began allocating
a portion of the Fund's assets (9%) to two non-core Advisors, and MLIP added a
third non-core Advisor as of January 1, 1997; however, as of January 1, 1997,
approximately 74.5% of the Fund's assets were being traded by only three
Advisors.  (Core Advisors is the term used by MLIP to identify Advisors
allocated 10% or more of the Fund's assets for management.)

                                       1
<PAGE>
 
          MLIP may from time to time direct certain individual Advisors to
manage their Fund accounts as if they were managing up to 50% more equity than
the actual capital allocated to them.  This additional leverage is subject to
the condition that the Fund as a whole will not trade as if it had in excess of
20% more equity than actual capital.

          One of the objectives of the Fund is to provide diversification for a
limited portion of the risk segment of the Limited Partners' portfolios.
Commodity pool performance has historically often demonstrated a low degree of
performance correlation with traditional stock and bond holdings.  Since it
began trading, the Fund's returns have, in fact, frequently been significantly
non-correlated (not, however, negatively correlated) with the United States
stock and bond markets.


          USE OF PROCEEDS AND INTEREST INCOME

          Subscription Proceeds.  MLIP pays from its own funds the selling
          ---------------------                                           
commissions relating to the sale of the Units.  Accordingly, 100% of the
proceeds of Unit sales are received in cash by the Partnership and available for
use in its speculative trading.  In such trading, the Fund's assets are used as
security for and to pay the Partnership's trading losses as well as any expenses
and redemptions.  The primary use of the proceeds of the sale of the Units is to
permit the Advisors to trade on a speculative basis in a wide range of different
futures, forwards and options on futures markets on behalf of the Partnership.
While being used for this purpose, the Partnership's assets are also generally
available to earn interest, as more fully described below under "-- Available
Assets."

          Market Sectors.  The Partnership trades in a diversified group of
          --------------                                                   
markets under the direction of multiple independent Advisors.  These Advisors
can, and do, from time to time materially alter the allocation of their overall
trading commitments among different market sectors.   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.

          The Fund's financial statements contain information relating to the
market sectors traded by the Fund. There can, however, be no assurance as to
which markets may be included in the Fund's portfolio or as to in which market
sectors the Fund's trading may be concentrated at any one time or over time.

          Market Types.  The Fund trades on a variety of United States and
          ------------                                                    
foreign futures exchanges. Applicable exchange rules differ significantly among
different countries and exchanges.  Substantially all of the Fund's off-exchange
trading takes place in the highly liquid, institutionally-based currency forward
markets.  The forward markets are generally unregulated, and in its forward
trading the Fund does not deposit margin with respect to its positions.  The
Partnership's forward currency trading is executed exclusively through the
Foreign Exchange Service Desk (the "F/X Desk") operated by MLIP and certain of
its affiliates, with MLF as the "back-to-back" intermediary to the ultimate
counterparties, which include Merrill Lynch International Bank  ("MLIB") with
which the Advisors trade on behalf of the Fund.

          As in the case of its market sector allocations, the Fund's
commitments to different types of markets -- U.S. and non-U.S., regulated and
unregulated -- differ substantially from time to time as well as over time.  The
Fund has no policy restricting its relative commitments to any of these
different types of markets, although generally the bulk of the Fund's trading
takes place on regulated exchanges.

          The Fund's financial statements contain information relating to the
types of markets traded by the Fund.  There can, however, be no assurance as to
in which markets the Fund may trade or the Fund's trading may be concentrated at
any one time or over time.

          Custody of Assets.  All of the Fund's assets are currently held in
          -----------------                                                 
customer accounts at Merrill Lynch.

          Available Assets.  The Fund earns interest, as described below, on its
          ----------------                                                      
"Available Assets,"  which can be generally described as the cash actually held
by the Fund.  Available Assets are held primarily in U.S. dollars, and to a
lesser extent in foreign currencies, and are comprised of the following:  (a)
the Fund's cash balance in the offset accounts (as described below) -- which
includes "open trade equity" (unrealized gains and losses on open positions) on
United States futures contracts, which is paid into or out of the Fund's account
on a daily basis; and (b) the Fund's cash balance in foreign currencies derived
from its trading in non-U.S. dollar denominated futures and options contracts,
which includes open trade equity on those exchanges which settle gains and


                                       2
<PAGE>
 
losses on open positions in such contracts prior to the closing out of such
positions. Available Assets do not include, and the Fund does not earn interest
on, the Fund's gains or losses on its open forward, commodity option and certain
foreign futures positions since such gains or losses are not collected or paid
until such positions are closed out.

          The Partnership's Available Assets may be greater than, less than or
equal to the Fund's Net Asset Value (on which the redemption value of the Units
is based) primarily because Net Asset Value reflects all gains and losses on
open positions as well as accrued but unpaid expenses.

          The interest income arrangements for the Partnership's U.S. dollar
Available Assets differ from those applicable to its non-U.S. dollar Available
Assets.  Interest income, once accrued by the Fund, is subject to the risk of
trading losses.

              Interest Earned on the Fund's U.S. Dollar Available Assets.  The
              ----------------------------------------------------------      
Fund's U.S. dollar Available Assets are held in cash in offset accounts and in
short-term Treasury bills purchased from dealers unaffiliated with Merrill
Lynch.  Offset accounts are non-interest bearing demand deposit accounts
maintained with banks unaffiliated with Merrill Lynch.  An integral feature of
the offset arrangements is that the participating banks specifically acknowledge
that the offset accounts are MLF customer accounts, not subject to any Merrill
Lynch liability.

          MLF credits the Partnership, as of the end of each month, with
interest at the effective daily 91-day Treasury bill rate on the daily U.S.
dollar Available Assets held in the offset accounts during such month.  The Fund
receives all interest paid on the short-term Treasury bills in which it invests.

          The use of the offset account arrangements for the Partnership's U.S.
dollar Available Assets may be discontinued by Merrill Lynch whether or not
Merrill Lynch otherwise continues to maintain its offset arrangements. The
offset arrangements are dependent on the banks' continued willingness to make
overnight credits available to Merrill Lynch, which, in turn, is dependent on
the credit standing of ML&Co.  If Merrill Lynch were to determine that the
offset arrangements had ceased to be practicable (either because ML&Co. credit
lines at participating banks were exhausted or for any other reason), Merrill
Lynch would thereafter attempt to invest all of the Fund's U.S. dollar Available
Assets to the maximum practicable extent in short-term Treasury bills.  All
interest earned on the U.S. dollar Available Assets so invested would be paid to
the Fund, but MLIP would expect the amount of such interest to be less than that
available to the Fund under the offset account arrangements.  The remaining U.S.
dollar Available Assets of the Fund would be kept in cash to meet variation
margin payments and pay expenses, but would not earn interest for the Fund.

          The banks at which the offset accounts are maintained make available
to Merrill Lynch interest-free overnight credits, loans or overdrafts in the
amount of  the Fund's U.S. dollar Available Assets held in the offset accounts,
charging Merrill Lynch a small fee for this service.  The economic benefits
derived by Merrill Lynch -- net of the interest credits paid to the Fund and the
fee paid to the offset banks -- from the offset accounts have not exceeded  3/4
of 1% per annum of the Fund's average daily U.S. dollar Available Assets held in
the offset accounts.  These revenues to Merrill Lynch are in addition to the
Brokerage Commissions and Administrative Fees paid by the Fund to MLF and MLIP,
respectively.

          Interest Paid by Merrill Lynch on the Fund's Non-U.S. Dollar Available
          ----------------------------------------------------------------------
Assets.  Under the single currency margining system implemented for the
------                                                                 
Partnership, the Partnership itself does not deposit foreign currencies to
margin trading in non-U.S. dollar denominated futures contracts and options. MLF
provides the necessary margin, permitting the Fund to retain the monies which
would otherwise be required for such margin as part of the Fund's U.S. dollar
Available Assets.  The Fund does not earn interest on foreign margin deposits
provided by MLF.  The Fund does, however, earn interest on its non-U.S. dollar
Available Assets.  Specifically, the Fund is credited by Merrill Lynch with
interest at the local short-term rate on realized and unrealized gains on non-
U.S. dollar denominated positions for such gains actually held in cash by the
Fund.  Merrill Lynch charges the Fund Merrill Lynch's cost of financing realized
and unrealized losses on such positions.

          In order to avoid the expense of daily currency conversions, the Fund
holds foreign currency gains and finances foreign currency losses on an interim
basis until converted into U.S. dollars and either paid into or out of the
Fund's U.S. dollar Available Assets.  Foreign currency gains or losses on open
positions are not converted into U.S. dollars until the positions are closed.
Assets of the Fund while held in foreign currencies are subject to exchange rate
risk.

                          ____________________________

                                       3
<PAGE>
 
          The General Partner has determined that there may have been a
miscalculation in the interest credited to the Fund for a period prior to
November 1996.  Accordingly, Merrill Lynch has credited certain amounts to the
Fund's investors (directly, not by crediting the Fund itself).  For current
Merrill Lynch clients, this credit, which includes compounded interest, appears
on the December 1997 account statements.  The total amount of the adjustment is
approximately $1,003,000.

          CHARGES

          The following table summarizes the charges incurred by the Fund during
1995, 1996 and 1997.

<TABLE>
<CAPTION>
                               1995                       1996                        1997
                        ----------------------     ---------------------      --------------------- 
                                  % OF AVERAGE               % OF AVERAGE               % OF AVERAGE
                        DOLLAR     MONTH-END       DOLLAR     MONTH-END       DOLLAR     MONTH-END
COST                    AMOUNT     NET ASSETS      AMOUNT     NET ASSETS      AMOUNT     NET ASSETS
------                ----------  -----------    ----------  ------------   ----------  ------------
<S>                   <C>         <C>            <C>         <C>            <C>         <C>            
Brokerage
 Commissions          $5,723,755          7.72%  $6,646,004          7.55%  $7,727,226          7.19%

Administrative
 Expenses                     --            --       57,091          0.06      266,456          0.25

Profit Shares          1,492,857          2.01    1,808,020          2.05    1,666,616          1.55

Incentive Override       965,454          1.30      834,271          0.95      289,162          0.27
                      ----------         -----   ----------         -----   ----------          ----
      Total           $8,182,066         11.03%  $9,345,386         10.61%  $9,949,460          9.26%
                      ==========         =====   ==========         =====   ==========          ====
</TABLE>
                          ____________________________

          The Fund reimbursed MLIP for a total of $447,000 of organizational and
offering costs over the first 24 months of operations (ending December 31,
1995).

          The foregoing table does not reflect the bid-ask spreads paid by the
Fund on its forward trading, or the benefits which may be derived by Merrill
Lynch from the deposit of certain of the Fund's U.S. dollar available assets in
offset accounts.  See Item 1(c).  "Narrative Description of Business -- Use of
Proceeds and Interest Income."

          The Fund's average month-end Net Assets during 1995, 1996 and 1997
equaled $74,120,244, $87,987,052 and $107,466,882, respectively.

          During 1995, 1996 and 1997, the Fund earned $3,786,925, $3,978,137,
and $5,278,840 in interest income, or approximately  5.11%, 4.52% and 4.91% of
the Fund's average month-end Net Assets.

          As of October 1, 1996, the 7.50% per annum Brokerage Commissions paid
by the Fund to MLF were recharacterized as 7.25% per annum Brokerage Commissions
and a 0.25% per annum Administrative Fee paid by the Fund to MLIP.  This
recharacterization had no economic effect on the Fund.

                                       4
<PAGE>
 
                         DESCRIPTION OF CURRENT CHARGES
<TABLE>
<CAPTION>
 
 
RECIPIENT             NATURE OF PAYMENT                         AMOUNT OF PAYMENT
------------------  ----------------------  ---------------------------------------------------------
<S>                 <C>                     <C>
MLF                 Brokerage Commissions   A flat-rate monthly commission of 0.6041 of 1% of the
                                            Fund's month-end assets (a 7.25% annual rate).
 
                                            During  1995, 1996 and 1997, the round-turn (each
                                            purchase and sale or sale and purchase of a single
                                            futures contract) equivalent rate of the Fund's flat-rate
                                            Brokerage Commissions was approximately $88,  $74
                                            and $98, respectively.

MLF                 Use of Fund assets      Merrill Lynch may derive an economic benefit from the
                                            deposit of certain of the Fund's U.S. dollar Available
                                            Assets in offset accounts; such benefit to date has not
                                            exceeded  3/4 of 1% of such average daily U.S. dollar
                                            Available Assets.

MLIP                Administrative Fees     The Fund pays MLIP a monthly Administrative Fee
                                            equal to 0.020833 of 1% of the Fund's month-end
                                            assets (0.25% annually).  MLIP pays all of the Fund's
                                            routine administrative costs.

MLIB                Bid-ask spreads         Under MLIP's F/X Desk arrangements, MLIB receives
                                            bid-ask spreads on the forward trades it executes with
                                            the Fund.

Other               Bid-ask spreads         The counterparties other than MLIB with which the
  Counterparties                            F/X Desk deals also each receive bid-ask spreads on
                                            the forward trades executed with the Fund.
 
MLIP                F/X Desk service fees   Under the F/X Desk arrangements, MLIP or another
                                            Merrill Lynch entity receives a service fee equal, at
                                            current exchange rates, to approximately $5.00 to
                                            $12.50 on each purchase or sale of each futures
                                            contract-equivalent forward contract executed with
                                            counterparties other than MLIB.

MLIB                EFP differentials       MLIB or an affiliate receives a differential spread for
                                            exchanging the Fund's spot currency positions (which
                                            are acquired through the F/X Desk, as described above)
                                            for equivalent futures positions.

MLIP                Annual Incentive        Paid by the Fund as a whole on an annual basis and by
                    Overrides               reduction of the Net Asset Value of Units when
                                            redeemed.  The Incentive Override equals 10% of any
                                            Net New Gain (as defined).  Units may generate Net
                                            New Gain and be subject to paying an Incentive
                                            Override even though the Net Asset Value per Unit has
                                            declined below the purchase price of such Units.

</TABLE> 

                                       5
<PAGE>
 
<TABLE> 
<CAPTION> 
<S>                 <C>                     <C> 
Trading Advisors    Profit Shares           Prior to January 1, 1997, all Advisors received
                                            quarterly Profit Shares ranging from 15% to 25%
                                            (depending on the Trading Advisor) of any New
                                            Trading Profit achieved by their Fund account.  As of
                                            January 1, 1997, a number of Advisors agreed to
                                            receive only annual Profit Shares.  Profit Shares are
                                            also paid upon redemption of Units.  New Trading
                                            Profit is calculated separately in respect of each
                                            Advisor, irrespective of the overall performance of the
                                            Fund.  The Fund may pay substantial Profit Shares
                                            during periods when it is incurring significant overall
                                            losses.
 
MLF;                Extraordinary expenses  Actual costs incurred; none paid to date, and expected
  Others                                    to be negligible.
 
</TABLE>

  REGULATION

 The General Partner, the Trading Advisors and the Commodity Broker are each
subject to regulation by the Commodity Futures Trading Commission (the "CFTC")
and the National Futures Association.  Other than in respect of its periodic
reporting requirements under the Securities Exchange Act of 1934, and the
registration of the Units for continuous public distribution under the
Securities Act of 1933, the Partnership itself is generally not subject to
regulation by the Securities and Exchange Commission.  However, MLIP itself is
registered as an "investment adviser" under the Investment Advisers Act of 1940.

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

  (xiii)  The Partnership has no employees.

  (d) Financial Information about 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 revenues derived from customers
in foreign countries.  The Partnership does, however, trade, from the United
States, on a number of foreign commodity exchanges.

ITEM 2:  PROPERTIES
         ----------

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

 The Partnership's only place of business is the place of business of the
General Partner (see Item 10 herein).  The General Partner performs all
administrative services for the Partnership from the General Partner's offices.

ITEM 3:  LEGAL PROCEEDINGS
         -----------------

 ML&Co. -- the sole stockholder of Merrill Lynch Group, Inc. (which is the sole
stockholder of MLIP) -- 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 ascertained 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 of financial condition of MLIP or the Fund.

  MLIP itself has never been the subject of any material litigation.

                                       6
<PAGE>
 
 On June 24, 1997, the CFTC accepted an Offer of Settlement from MLF and others,
in a matter captioned "In the Matter of Mitsubishi Corporation and Merrill Lynch
Futures Inc., et al.," CFTC Docket No. 97-10, pursuant to which MLF, without
admitting or denying the allegations against it, consented to a finding by the
Commission that MLF had violated Section 4c(a)(A) of the Commodity Exchange Act,
relating to wash sales (the CFTC alleged that the customer entered nearly
simultaneous orders without the intent to engage in a bona fide trading
transaction), and CFTC Regulation 1.37(a), relating to recordkeeping
requirements.  MLF agreed to cease and desist from violating Section 4c(a)(A) of
the Act and Regulation 1.37(a), and to pay a civil monetary penalty of $175,000.

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

  The Partnership has never submitted any matters to a vote of its Limited
Partners.

                                    PART II

ITEM 5:  MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS
         ---------------------------------------------------------------------

  (a)  Market Information:
       ------------------ 

         There is no public trading market for the Units, nor will one develop.
         Rather, Limited Partners may purchase or redeem Units as of the end of
         each month at Net Asset Value, subject to certain early redemption
         charges.

  (b)  Holders:
       ------- 

         As of December 31, 1997, there were 4,480 holders of Units, including
         the General Partner.

  (c)  Dividends:
       --------- 

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

                                       7
<PAGE>
 
ITEM 6:  SELECTED FINANCIAL DATA
         -----------------------

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

<TABLE>
<CAPTION>
                                            JANUARY 1,     JANUARY 1, 1996     JANUARY 1,       JANUARY 4,
                                               1997              TO               1995             1994
                                                TO          DECEMBER 31,           TO               TO
                                           DECEMBER 31,         1996          DECEMBER 31,     DECEMBER 31,
                                               1997                               1995             1994
-------------------------------------------------------------------------------------------------------------
INCOME STATEMENT DATA
---------------------
<S>                                       <C>              <C>               <C>              <C>
Revenues:

  Trading Profits (Loss)

     Realized Gain                           $  6,111,341      $20,458,327       $17,455,764      $   453,726

     Change in Unrealized Gain (Loss)           6,329,441       (3,294,990)          299,233        5,331,556
                                             ------------      -----------       -----------      -----------

       Total Trading Results                   12,440,782       17,163,337        17,754,997        5,785,282
 
  Interest Income                               5,278,840        3,978,137         3,786,925        1,972,722
                                             ------------      -----------       -----------      -----------
 
       Total Revenues                          17,719,622       21,141,474        21,541,922        7,758,004
                                             ------------      -----------       -----------      -----------

Expenses:
 
  Brokerage Commissions                         7,727,226        6,646,004         5,723,755        3,859,267

  Administrative Fees                             266,456           57,091                --               --

  Profit Shares                                 1,666,616        1,808,020         1,492,857        1,103,649

  Incentive Override                              289,162          834,271           965,454           41,867
                                             ------------      -----------       -----------      -----------
 
       Total Expenses                           9,949,460        9,345,386         8,182,066        5,004,783
                                             ------------      -----------       -----------      -----------

    Net Income                               $  7,770,162      $11,796,088       $13,359,856      $ 2,753,221
                                             ============      ===========       ===========      ===========

BALANCE SHEET DATA*                       DECEMBER 31,     DECEMBER 31,      DECEMBER 31,     DECEMBER 31,
                                              1997             1996              1995             1994
                                          ---------------  ---------------   ---------------  ---------------
 
Fund Net Asset Value                         $134,044,365      $84,173,541       $89,140,493      $67,078,533

Net Asset Value per Unit                          $153.86          $142.95           $124.35          $104.08

</TABLE> 

* Balance Sheet Data is based on redemption values, which differ immaterially
  from Net Asset Values as determined under Generally Accepted Accounting
  Principles ("GAAP") due to the treatment of organizational and initial
  offering cost reimbursements.

                                       8
<PAGE>
 
<TABLE>
<CAPTION>
MONTH-END NET ASSET VALUE PER UNIT
------------------------------------------------------------------------------------------------------------------
         JAN.     FEB.     MAR.     APR.      MAY     JUNE     JULY     AUG.     SEPT.    OCT.     NOV.     DEC.
------------------------------------------------------------------------------------------------------------------
<S>     <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>      <C>
1994    $ 98.60  $ 97.36  $ 98.60  $ 98.99  $102.25  $104.98  $102.64  $100.63  $102.16  $104.27  $103.89  $104.08
------------------------------------------------------------------------------------------------------------------
1995    $101.22  $106.76  $116.51  $118.56  $121.04  $120.69  $116.88  $116.54  $115.14  $115.01  $117.18  $124.35
------------------------------------------------------------------------------------------------------------------
1996    $125.91  $117.82  $119.43  $128.54  $123.56  $127.71  $123.72  $124.28  $128.97  $138.94  $146.22  $142.95
------------------------------------------------------------------------------------------------------------------
1997    $146.53  $151.84  $152.92  $149.41  $146.53  $146.46  $155.70  $148.90  $149.80  $147.06  $148.57  $153.86
------------------------------------------------------------------------------------------------------------------
</TABLE>

          The Net Asset Value per Unit varies, until December 31, 1994, from how
it would be calculated for purposes of GAAP due to the amortization of
organizational and initial offering costs.

                                       9
<PAGE>
 
                            ML GLOBAL HORIZONS L.P.
                               DECEMBER 31, 1997

Type of Pool:  Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                    Inception of Trading:   January 4, 1994
                    Aggregate Subscriptions:    $165,566,205
                     Current Capitalization:   $134,044,365
                 Worst Monthly Drawdown/(2)/:  (6.42)%  (2/96)
              Worst Peak-to-Valley Drawdown/(3)/:  (6.42)%  (2/96)
                                 _____________

             Net Asset Value per Unit, December 31, 1997:   $153.86

<TABLE>
<CAPTION>
          MONTHLY RATES OF RETURN /(4)/
-------------------------------------------------
     MONTH         1997    1996    1995     1994
-------------------------------------------------
<S>               <C>     <C>     <C>      <C>
January            2.50%   1.25%  (2.74)%  (1.40)%
-------------------------------------------------
February           3.62   (6.42)    5.48    (1.26)
-------------------------------------------------
March              0.71    1.37     9.13     1.28
-------------------------------------------------
April             (2.30)   7.63     1.76     0.40
-------------------------------------------------
May               (1.93)  (3.87)    2.09     3.29
-------------------------------------------------
June              (0.05)   3.35    (0.29)    2.67
-------------------------------------------------
July               6.31   (3.12)   (3.15)   (2.23)
-------------------------------------------------
August            (4.37)   0.45    (0.29)   (1.96)
-------------------------------------------------
September          0.60    3.77    (1.21)    1.52
-------------------------------------------------
October           (1.83)   7.73    (0.11)    2.06
-------------------------------------------------
November           1.03    5.24     1.89    (0.37)
-------------------------------------------------
December           3.56   (2.24)    6.12     0.18
-------------------------------------------------
Compound           7.61%  14.96%   19.48%    4.08%
 Annual
Rate of Return
-------------------------------------------------
</TABLE>

          (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 Fund currently allocates 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 MLIP, 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 Fund has no such feature.

          (2)  Worst Monthly Drawdown represents the largest negative Monthly
Rate of Return experienced by the Fund; 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 from a month-end cumulative Monthly Rate of Return without such
cumulative Monthly Rate of Return being equalled 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 Fund during
the month of determination (including interest income and after all expenses
have been accrued or paid) divided by the total equity of the Fund as of the
beginning of such month.

                                       10
<PAGE>
 
 ITEM 7:  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
          ---------------------------------------------------------------
RESULTS OF OPERATIONS
---------------------

                OPERATIONAL OVERVIEW; ADVISOR SELECTIONS

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

          MLIP's decision to terminate or reallocate assets among Trading
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 MLIP'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 MLIP's principals is an important factor in
its allocation decisions.

          MLIP has no timetable or schedule for making Advisor changes or
reallocations, and generally makes a medium-to long-term commitment to all
Advisors selected.  In particular, MLIP has to date made significantly fewer
reallocations of trading assets and adjustments in the Advisor combinations for
the Fund than in the case of many of MLIP's multi-advisor funds.  However, there
can be no assurance as to the frequency or number of Advisor changes that may
take place in the future, or as to how long any of the current Advisors will
continue to manage assets for the Partnership.

                RESULTS OF OPERATIONS

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

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

          MLIP attempts to control credit risk in the Fund's futures, forward
and options trading (the Fund does not trade derivatives other than futures and
forward contracts and options thereon) by trading only through MLF.  MLF acts
solely as a broker or counterparty to the Fund's trades; it does not advise with
respect to, or direct, any such trading.

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

          MLIP may consider making distributions to investors under certain
circumstances (for example, if substantial profits are recognized); however,
MLIP has not done so to date and does not presently intend to do so.

                PERFORMANCE SUMMARY

                1995

          In 1995, prevailing price trends in several key markets enabled the
Advisors to trade profitably for the Fund. Although trading in many of the
traditional commodity markets may have been lackluster, the currency and
financial markets offered exceptional trading conditions.  After months
characterized by very difficult trading environments, solid price trends across
many markets (including U.S. Treasury and non-dollar bond markets) began to
emerge during the first quarter of 1995.  In the second quarter, market
volatility once again began to affect trading, as many previously strong price
trends began to weaken and, in some cases, reverse.  The U.S. dollar hit new
lows versus the Japanese yen and Deutschemark before rebounding sharply.  In
addition, there were strong indications that the U.S. economy was slowing

                                       11
<PAGE>
 
which, when coupled with a failure of the German Central Bank to lower interest
rates, stalled a rally in the German bond market.  During the third quarter,
there was a correction in U.S. bond prices after several months of a strong
uptrend. Despite exposure to the global interest-rate markets, the Fund's long
positions in Treasury bonds had a negative impact on the Fund.  Throughout
August and into September, the U.S. dollar rallied sharply against the Japanese
yen and the Deutschemark as a result of the coordinated intervention by major
central banks and widespread recognition of the growing banking crisis in Japan.
Despite continued price volatility during the final quarter of 1995, the Trading
Advisors were able to identify several trends in key markets.  U.S. Treasury
bond prices continued their strong move upward throughout November, due both to
weak economic data and optimism on federal budget talks.  As the year ended, the
yield on the 30-year Treasury bond was pushed to its lowest level in more than
two years.

                1996

          1996 began with the East Coast blizzard, continuing difficulties in
federal budget talks and an economic slowdown having a negative impact on many
markets.  The Fund was profitable in January due to strong profits in currency
trading as the U.S. dollar reached a 23-month high against the Japanese yen.  In
February, however, the Fund incurred its worst monthly loss due to the sudden
reversals in several strong price trends and considerable volatility in the
currency and financial markets.  During March, large profits were taken in the
crude oil and gasoline markets as strong demand continued and talks between the
United Nations and Iraq were suspended.  This trend continued into the second
quarter, during which strong gains were also recognized in the agricultural
markets as a combination of drought and excessive rain drove wheat and grain
prices to historic highs.  In the late summer and early fall months, the Fund
continued to trade profitably as trending prices in a number of key markets
favorably impacted the Fund's performance.  In September heating oil hit a five-
year high on soaring prices in Europe, and the Fund was also able to capitalize
on downward trends in the metals markets.  Strong trends in the currency and
global bond markets produced significant gains in October and November, but the
year ended with declining performance as December witnessed the reversal of
several strong upward trends and increased volatility in key markets.

                1997

          Trend reversals and extreme market volatility, affected by such
factors as the Asian flu and El Nino, were characteristic of most of 1997.
However, the year proved to be a profitable one overall for the Fund as trends
in several key markets enabled the Trading Advisors to profit despite the
significant obstacles.  Although trading results in several sectors may have
been lackluster, the global currency and bond markets offered noteworthy trading
opportunities, which resulted in significant profits in these markets during the
year.  Additionally, the currency and interest rate sectors of the Fund's
portfolio represented its largest percentage of market commitments.

          In currency markets, the U.S. dollar rallied and started 1997 on a
strong note, rising to a four-year high versus the Japanese yen and two-and-a-
half year highs versus the Deutsche mark and the Swiss franc.  However, the
dollar underwent two significant corrections during the year.  The first
correction occurred in the Spring against the Japanese yen, due to the G7
finance ministers' determination that a further dollar advance would be counter-
productive to their current goals.  From August through mid-November, the dollar
corrected against the Eurocurrencies in advance of a well-advertised tightening
by the Bundesbank.  By mid-December the dollar had bounced back to new highs
against the yen and was rallying against the mark.

          Global interest rate markets began the year on a volatile note, as
investors evaluated economic data for signs of inflation.  By the middle of the
year, economic data in key countries was positive indicating lower inflation and
igniting a worldwide rally in the bond markets.  Specifically, investor
sentiment was particularly strong in the U.S., where prices on the 30-year
Treasury bond and 10-year Treasury note rose to their highest levels in over two
years.  This followed a largely positive economic report delivered by Federal
Reserve Chairman Greenspan in testimony before Congress.  Effects of the plunge
in the Hong Kong stock market in late October spread rapidly throughout the
world's financial markets, including global bond markets.  After continued
volatility in subsequent months made trading difficult, 1997 interest rate
trading ended on a positive note when U.S. and Japanese bond markets rallied as
a flight to safety from plunging stock markets around the world occurred in
December.

          In energy markets, a slump in crude oil prices was characteristic of
its lackluster performance from the beginning of the year.  Early in 1997,
volatility returned in the energy markets, reflecting the impact of a winter
significantly warmer than normal.  By mid-year, the decline in prices reversed
sharply as Saudi Arabia and Iran, together representing about 45% of OPEC's oil
production, joined forces to pressure oil-producing nations to stay within OPEC
production quotas. In December, financial and economic problems in Asia reduced
demand for oil, and, in combination with ample supplies, resulted in crude oil
prices declining once again.

                                       12
<PAGE>
 
          PERFORMANCE OVERVIEW

          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.  This negatively impacted revenues because interest
income is typically a major component of commodity pool profitability.  In
addition, low interest rates are frequently associated with reduced fixed-income
market volatility, and in static markets the Fund'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 assets charge. The only Fund costs (other than the
insignificant F/X Desk service fees and EFP differentials, as well as bid-ask
spreads on forward contracts) which are not based on a percentage of the Fund's
assets are the Profit Shares payable to the Trading Advisors on an Advisor-by-
Advisor basis and the Incentive Override payable to MLIP on the basis of overall
Fund performance.  During periods when Profit Shares are a high percentage of
net trading gains, it is likely that there has been substantial performance non-
correlation among the Advisors (so that the total Profit Shares paid to those
Advisors which have traded profitably are a high percentage, or perhaps even in
excess, of the total profits recognized, as other Advisors have incurred
offsetting losses, reducing overall trading gains but not the Profit Shares paid
to the successful Advisors) -- suggesting the likelihood of generally trendless,
non-consensus markets.

          The events that primarily determine the Fund's profitability are those
that produce sustained and major price movements.  The Advisors are generally
more likely to be able to profit from sustained trends, irrespective of their
direction, than from static markets.  During the course of the Partnership's
performance to date, such events have ranged from Federal Reserve Board
reductions in interest rates, the apparent refusal of Iraq to arrive at a
settlement which would permit it to sell oil internationally, the inability of
the U.S. government to agree upon a federal budget and a combination of drought
and excessive rain negatively impacting U.S. agricultural harvesting as well as
planting.  While these events are representative of the type of circumstances
which materially affect the Fund, the specific events which will do so in the
future cannot be predicted or identified.

          Unlike many investment fields, there is no meaningful distinction in
the operation of the Fund between realized and unrealized profits.  Most of the
contracts traded by the Fund are highly liquid and can be closed out at any
time. Furthermore, the profits on many open positions are effectively realized
on a daily basis through the payment of variation margin.

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

          LIQUIDITY AND CAPITAL RESOURCES

          The amount of capital raised for the Fund should not, except at
extremely high levels of capitalization, have a significant impact on its
operations.  The Fund's costs are generally proportional to its asset base, and,
within broad ranges of capitalization, the Advisors' trading positions (and the
resulting gains and losses) should increase or decrease in approximate
proportion to the size of the Fund account managed by each of them,
respectively.

                The Partnership raises additional capital only through the
offering of its Units.

          Inflation per se is not a significant factor in the Fund's
profitability, although inflationary cycles can give rise to the type of major
price movements that can have a materially favorable or adverse impact on the
Fund's performance.

          In its trading to date, the Fund has from time to time had substantial
unrealized gains and losses on its open positions.  These gains or losses are
received or paid on a periodic basis as part of the routine clearing cycle on
exchanges or in the over-the-counter markets (the only over-the-counter market
in which the Fund trades is the inter-bank forward market in currencies).  In
highly unusual circumstances, market illiquidity could make it difficult for
certain Advisors to close out open positions, and any such illiquidity could
expose the Fund to significant losses, or cause it to be unable to recognize
unrealized gains.  However, in general, there is no meaningful difference
between the Fund's realized and unrealized gains.

 

                                       13
<PAGE>
 
          THE YEAR 2000 COMPUTER ISSUE

          Merrill Lynch's modifications for Year 2000 systems compliance are
proceeding according to plan and are expected to be completed in early 1999.
Based on information currently available, the remaining expenditures are
estimated at $200 million and will cover hardware and software upgrades, systems
consulting, and computer maintenance. These expenditures are not expected to
have a material adverse impact on Merrill Lynch's financial position, results of
operations, or cash flows in future periods.  However, the failure of Merrill
Lynch's securities exchanges, clearing organizations, vendors, clients, or
regulators to resolve their own processing issues in a timely manner could
result in a material financial risk.  Merrill Lynch is devoting necessary
resources to address all Year 2000 issues in a timely manner.

ITEM 7A.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
          ----------------------------------------------------------

                Not applicable.

ITEM 8:  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
         -------------------------------------------

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

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

ITEM 9:  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
         ---------------------------------------------------------------
FINANCIAL DISCLOSURE
--------------------

         There were no changes in or disagreements with accountants on
accounting or financial disclosure.

                                    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 the General Partner. Trading decisions are made by
the Trading Advisors on behalf of the Partnership.

          The directors and executive officers of MLIP as of February 1, 1998
and their respective business backgrounds are as follows.
 
John R. Frawley, Jr.                    Chairman, Chief Executive Officer,
                                        President and Director

Jeffrey F. Chandor                      Senior Vice President, Director of
                                        Sales, Marketing and Research and
                                        Director
 
Joseph H. Moglia                        Director
 
Allen N. Jones                          Director
 
Stephen G. Bodurtha                     Director
 
Michael A. Karmelin                     Chief Financial Officer, Vice
                                        President and Treasurer
 
Steven B. Olgin                         Vice President, Secretary and Director
                                        of Administration

          John R. Frawley, Jr. was born in 1943.  Mr. Frawley is Chairman, Chief
Executive Officer,  President and a Director of MLIP and Co-Chairman of MLF.  He
joined Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S") in 1966 and
has served in various positions, including Retail and Institutional Sales,
Manager of New

                                       14
<PAGE>
 
York Institutional Sales, Director of Institutional Marketing, Senior Vice
President of Merrill Lynch Capital Markets and Director of International
Institutional Sales.  Mr. Frawley holds a Bachelor of Science degree from
Canisius College.  Mr. Frawley served on the CFTC's Regulatory Coordination
Advisory Committee from its formation in 1990 through its dissolution in 1994.
Mr. Frawley is currently serving his fourth consecutive  one-year term as
Chairman of the Managed Funds Association (formerly, the Managed Futures
Association), a national trade association that represents the managed futures,
hedge funds and fund of funds industry.  Mr. Frawley is also a Director of that
organization.  Mr. Frawley currently serves on a  panel created by the Chicago
Mercantile Exchange and The Board of Trade of the City of Chicago to study
cooperative efforts related to electronic trading, common clearing and the
issues regarding a potential merger.

          Jeffrey F. Chandor was born in 1942.  Mr. Chandor is Senior Vice
President, the Director of Sales, Marketing and Research and a Director of MLIP.
He joined MLPF&S in 1971 and has served as the Product Manager of International
Institutional Equities, Equity Derivatives and Mortgage-Backed Securities as
well as Managing Director of International Sales in the United States, and
Managing Director of Sales in Europe.  Mr. Chandor holds a Bachelor of Arts
degree from Trinity College, Hartford, Connecticut.

          Joseph H. Moglia was born in 1949.  He is a director of MLIP.  In
1971, he graduated from Fordham University with a Bachelor of Arts degree in
Economics.  He later received his Master of Science degree from the University
of Delaware.  He taught at the high school and college level for sixteen years.
Mr. Moglia joined MLPF&S in 1984, and has served in a number of senior roles,
including Director of New York Fixed Income Institutional Sales, Director of
Global Fixed Institutional Sales, and Director of the Municipal Division.  He is
currently Senior Vice President and Director of the Investment Strategy and
Product Group in Merrill Lynch Private Client, and Director of Middle Markets.

          Allen N. Jones was born in 1942.  Mr. Jones is a Director of MLIP and,
from July 1995 until January 1998, Mr. Jones was Chairman of the Board of
Directors of MLIP.  Mr. Jones graduated from the University of Arkansas with a
Bachelor of Science, Business Administration degree in 1964.  Since June 1992,
Mr. Jones has held the position of Senior Vice President of MLPF&S.  From June
1992 through February 1994, Mr. Jones was the President and Chief Executive
Officer of Merrill Lynch Insurance Group, Inc. ("MLIG") and remains on the Board
of Directors of MLIG and its subsidiary companies. From February 1994 to April
1997, Mr. Jones was the Director of Individual Financial Services of the Merrill
Lynch Private Client Group.  In April 1997, Mr. Jones became the Director of
Private Client marketing.

          Stephen G. Bodurtha was born in 1958.  Mr. Bodurtha is a Director of
MLIP.  In 1980, Mr. Bodurtha graduated from Wesleyan University, Middletown,
Connecticut with a Bachelor of Arts degree in Government, magna cum laude.  From
1980 to 1983, Mr. Bodurtha worked in the Investment Banking Division of Merrill
Lynch.  In 1985, he was awarded his Master of Business Administration degree
from Harvard University, where he also served as Associates Fellow (1985-1986).
From 1986 to 1989, Mr. Bodurtha held the positions of Associate and Vice
President with Kidder, Peabody & Co., Incorporated where he worked in their
Financial Futures & Options Group.  Mr. Bodurtha joined MLPF&S in 1989 and has
held the position of First Vice President since 1995.  He has been the Director
in charge of MLPF&S's Structured Investments Group since 1995.

          Michael A. Karmelin was born in 1947.  Mr. Karmelin is Chief Financial
Officer, Vice President and Treasurer of MLIP.  Prior to joining MLIP in April
1997, Mr. Karmelin was Chief Financial Officer of Merrill Lynch, Hubbard Inc.
("ML Hubbard"), a sponsor of real estate limited partnerships.  Mr. Karmelin
joined ML Hubbard in January 1994 and was a Vice President of ML Hubbard.  From
May 1994 to April 1997, he was the Chief Financial Officer of ML Hubbard,
responsible for its accounting, treasury and tax functions.  Prior to joining ML
Hubbard, Mr. Karmelin held several senior financial positions with ML&Co and
MLPF&S from December 1985 to December 1993, including Vice President/Senior
Financial Officer Corporate Real Estate and Purchasing, Manager Commitment
Control/Capital Budgeting, and Senior Project Manager/Project Analysis.  Prior
to joining ML&Co., Mr. Karmelin was employed at Avco Corporation for 17 years,
where he held a variety of financial positions.  Mr. Karmelin holds a B.B.A.
degree in Accounting from Baruch College, C.U.N.Y. and a Master of Business
Administration degree in Corporate Strategy and Finance from New York
University.  Mr. Karmelin passed the Certified Public Accounting examination in
1974 and is a member of the Treasury Management Association, the Institute of
Management Accountants and The Strategic Leadership Forum.

          Steven B. Olgin was born in 1960.  Mr. Olgin is Vice President,
Secretary and the Director of Administration of MLIP.  He joined MLIP in July
1994 and became a Vice President in July 1995.  From 1986 until July 1994, Mr.
Olgin was an associate of the law firm of Sidley & Austin.  In 1982, Mr. Olgin


                                       15
<PAGE>
 
graduated from The American University with a Bachelor of Science degree in
Business Administration and a Bachelor of Arts degree in Economics. In 1986, he
received his Juris Doctor degree from The John Marshall Law School. Mr. Olgin is
a member of the Managed Funds Association's Government Relations Committee and
has served as an arbitrator for the NFA. Mr. Olgin is also a member of the
Committee on Futures Regulation of the Association of the Bar of the City of New
York.

         Messrs. Moglia and Bodurtha became Directors in January 1998.

          As of December 31, 1997, the principals of MLIP owned Units with an
aggregate Net Asset Value of approximately $98,470, and MLIP's general partner
interest in the Fund was valued at approximately $1.5 million.

          MLIP acts as general partner to twelve public futures funds whose
units of limited partnership interest are registered under the Securities
Exchange Act of 1934:  The Futures Expansion Fund Limited Partnership, The
Growth and Guarantee Fund L.P., ML Futures Investments II L.P., ML Futures
Investments L.P., John W. Henry & Co./Millburn L.P., The S.E.C.T.O.R. Strategy
Fund/sm/ L.P., The SECTOR Strategy Fund/sm/ II L.P.,The SECTOR Strategy Fund/sm/
V L.P., The SECTOR Strategy Fund/sm/ VI L.P., ML Principal Protection L.P.
(formerly, ML Principal Protection Plus L.P.), ML JWH Strategic Allocation Fund
L.P. and the Fund. Because MLIP serves as the sole general partner of each of
these funds, the officers and directors of MLIP 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.

ITEM 11:  EXECUTIVE COMPENSATION
          ----------------------

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

ITEM 12:  SECURITY OWNERSHIP OF CERTAIN OWNERS AND MANAGEMENT
          ---------------------------------------------------

     (a) Security Ownership of Certain Beneficial Owners:
         ----------------------------------------------- 
 
     As of December 31, 1997, no person or "group" is known to be or have been
the beneficial owner of more than five percent of the Units.

                                       16
<PAGE>
 
     (b) Security Ownership of Management:
         -------------------------------- 

     As of December 31, 1997, the following officers of the General Partner
beneficially owned the following number of units:
 
                             Number of     Percent
 Name of Beneficial Owner   Units Owned    of Class
--------------------------  -----------  ------------
 
 John R. Frawley, Jr.               590  Less than 1%
 Jeffrey Chandor                     50  Less than 1%

          As of December 31, 1997, the General Partner owned 10,194 Units (unit-
equivalent general partnership interests), which was less than 2% of the total
Units outstanding.

         (c)    Changes in Control:
                ------------------ 

                None.

ITEM 13:  CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
          ----------------------------------------------

          (a) Transactions with Management and Others:
              --------------------------------------- 

          The General Partner acts as administrative and trading manager of the
Fund.  The General Partner provides all normal ongoing administrative functions
of the Partnership, such as accounting, legal and printing services. The General
Partner, which receives the Administrative Fees, pays all expenses relating to
such services.

          (b) Certain Business Relationships:
              ------------------------------ 

          MLF, an affiliate of the General Partner, acts as the principal
commodity broker for the Partnership.

          In 1997 the Partnership accrued:  (i) Brokerage Commissions of
$7,727,226 to the Commodity Broker, which included $2,047,264 in consulting fees
accrued by the Commodity Broker to the Trading Advisors;  (ii) Administrative
Fees of $266,456 to MLIP (the Administrative Fees only began to be paid as of
October 1, 1996); and (iii) Incentive Overrides of $289,162 to MLIP.  In
addition, MLIP and its affiliates may have derived certain economic benefits
from maintaining a portion of the Fund's assets in "offset accounts," as
described under Item 1(c), "Narrative Description of Business -- Use of Proceeds
and Interest Income -- Interest Earned on the Fund's U.S. Dollar Available
Assets" and "-- Description of Current Charges" and Item 11, "Executive
Compensation" herein.

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

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

          (c)  Indebtedness of Management:
               -------------------------- 

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

          (d)  Transactions with Promoters:
               --------------------------- 

               Not applicable.

                                       17
<PAGE>
 
                                 PART IV

ITEM 14:  EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K
          ---------------------------------------------------------------
<TABLE> 
<CAPTION>
<S>             <C>                                                                 <C> 
         (a)1.  Financial Statements (found in Exhibit 13.01):                      Page
                -----------------------------------------------------               ----

 
                Independent Auditors' Report                                          1
 
                Statements of Financial Condition as of December 31, 1997 and 1996    2
 
                For the years ended December 31, 1997, 1996 and 1995:
                    Statements of Income                                              3
                    Statements of Changes in Partners' Capital                        4
 
                Notes to Financial Statements                                      5-12
</TABLE> 
         (a)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.

         (a)3.  Exhibits:
                -------- 

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

Designation        Description
-----------        -----------

1.01               Selling Agreement among the Partnership, the General Partner,
                   Merrill Lynch Futures, the Selling Agent and the Trading
                   Advisors.

Exhibit 1.01:      Is incorporated herein by reference from Exhibit 1.01
------------       contained in Amendment No. 1 to the Registration Statement
                   (File No. 33-62998) filed on September 10, 1993, on Form S-1
                   under the Securities Act of 1933 (the "Registrant's
                   Registration Statement.")

3.01(i)            Amended and Restated Certificate of Limited Partnership of
                   the Registrant, dated August 25, 1994.

Exhibit 3.01(i):   Is incorporated herein by reference from Exhibit 3.01(i)
---------------    contained in the Registrant's Registration Statement.

3.01(ii)           Amended and Restated Limited Partnership Agreement of the
                   Partnership.

Exhibit 3.01(ii):  Is incorporated herein by reference from Exhibit 3.01(ii)
----------------   contained in the Registrant's Registration Statement (as
                   Exhibit A).

3.02(iii)          Amended and Restated Certificate of Limited Partnership of
                   the Partnership, dated July 27, 1995.

Exhibit 3.02(iii): Is incorporated by reference from Exhibit 3.02(iii) contained
-----------------  in the Registrant's report on Form 10-Q for the Quarter Ended
                   June 30, 1995.

10.01(d)           Form of Advisory Agreement between the Partnership, Merrill
                   Lynch Investment Partners Inc., Merrill Lynch Futures Inc.
                   and prospective trading advisors.

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

                                       18
<PAGE>
 
10.02              Form of Consulting Agreement between each trading advisor,
                   the Partnership and Merrill Lynch Futures Inc.

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

10.03              Form of Customer Agreement between the Partnership and
                   Merrill Lynch Futures Inc.

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

10.05              Form of Subscription Agreement and Power of Attorney.

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

10.06              Foreign Exchange Desk Service Agreement, dated July 1, 1993
                   among Merrill Lynch International Bank, Merrill Lynch
                   Investment Partners Inc., Merrill Lynch Futures Inc. and the
                   Fund.

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

10.07              Form of Advisory and Consulting Agreement Amendment among
                   Merrill Lynch Investment Partners Inc., each Advisor, the
                   Fund and Merrill Lynch Futures Inc.

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

13.01              1997 Annual Report and Independent Auditors' Report.

Exhibit 13.01:     Is filed herewith.
-------------                                                               

28.01              Prospectus of the Partnership dated December 6, 1995.

Exhibit 28.01:     Is incorporated by reference as filed with the Securities and
                   Exchange Commission pursuant to Rule 424 under the Securities
                   Act of 1933, Registration Statement (File No. 33-88994) on
                   Form S-1, effective December 6, 1995).


     (b)   Report on Form 8-K:
           ------------------ 

           No reports on Form 8-K were filed during the fourth quarter of 1997.

                                       19
<PAGE>
 
                                   SIGNATURES


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

                    ML GLOBAL HORIZONS L.P.

                    By:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                    General Partner

                    By: /s/ John R. Frawley, Jr.
                        ------------------------
                    John R. Frawley, Jr.
                    Chairman, Chief Executive Officer, President 
                      and Director (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 25, 1998 by the
following persons on behalf of the Registrant and in the capacities indicated.
<TABLE>
<CAPTION>
 Signature                   Title                                                    Date
---------                   -----                                                    -----
<S>                         <C>                                                      <C>
/s/ John R. Frawley, Jr.    Chairman, Chief Executive Officer, President             March 25, 1998
--------------------------  and Director (Principal Executive Officer)
John R. Frawley, Jr.
 
/s/ Michael A. Karmelin     Vice President, Chief Financial Officer, and             March 25, 1998
--------------------------
Michael A. Karmelin         Treasurer (Principal Financial and Accounting Officer)
 
/s/ Jeffrey F. Chandor      Senior Vice President, Director of Sales,                March 25, 1998
--------------------------
Jeffrey F. Chandor          Marketing and Research, and Director
 
/s/ Allen N. Jones          Director                                                 March 25, 1998
--------------------------
Allen N. Jones
</TABLE>

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the directors of Merrill Lynch Investment Partners
Inc.)
<TABLE> 
<CAPTION> 
<S>                                           <C>                                    <C>       
MERRILL LYNCH INVESTMENT                      General Partner of Registrant          March 25, 1998
  PARTNERS INC.

By: /s/ John R. Frawley, Jr.
    ----------------------------
     John R. Frawley, Jr.

</TABLE> 

                                       20
<PAGE>
 
                            ML GLOBAL HORIZONS L.P.

                                 1997 FORM 10-K

                               INDEX TO EXHIBITS
                               -----------------


               Exhibit
               -------

Exhibit 13.01  1997 Annual Report and Independent Auditors' Report

                                       21