<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, 1996

                                      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) 236-4167

Securities registered pursuant to Section 12(b) of the Act:  None
<TABLE> 
<S>                                                          <C> 
Securities registered pursuant to Section 12(g) of the Act:  Limited Partnership Units
                                                             -------------------------
                                                                  (Title of Class)
</TABLE> 

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 stock held by non-affiliates: the
registrant is a limited partnership and, accordingly, has no voting stock held
by non-affiliates or otherwise.

                      Documents Incorporated by Reference

The registrant's "1996 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 1996,
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 1996 ON FORM 10-K

                               Table of Contents
                               -----------------
<TABLE>
<CAPTION>
                                                      PART I                                                   PAGE
                                                      ------                                                   ----
<S>           <C>                                                                                              <C>
Item 1.       Business......................................................................................     1

Item 2.       Properties....................................................................................     7

Item 3.       Legal Proceedings.............................................................................     8

Item 4.       Submission of Matters to a Vote of Security Holders...........................................     8


                                                      PART II
                                                      -------

Item 5.       Market for Registrant's Common Equity and Related Stockholder Matters.........................     8

Item 6.       Selected Financial Data.......................................................................     9

Item 7.       Management's Discussion and Analysis of Financial Condition and Results of Operations.........    11

Item 8.       Financial Statements and Supplementary Data...................................................    14

Item 9.       Changes in and Disagreements with Accountants on Accounting and Financial Disclosure..........    14


                                                     PART III
                                                     --------

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


                                                      PART IV
                                                      -------

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

</TABLE>

                                      -i-
                                      
<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 the Advisors, 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.

                  When the Fund began trading in January 1994, it had an initial
capitalization of $35,835,000. A total of an additional $83,967,393 was invested
in the Units through December 31, 1996 (the last sale of Units occurred as of
September 1, 1996), and Units with an aggregate Net Asset Value of $59,470,442
had been redeemed (including December 31, 1996 redemptions which were not
actually paid out until January 1997). As of December 31, 1996, the
capitalization of the Fund was $84,173,541, and the Net Asset Value per Unit,
originally $100 as of January 4, 1994, had risen to $142.95 As of December 31,
1996, the Fund had 2,994 Limited Partners.

                  Through December 31, 1996, the net gain in the Net Asset Value
per Unit was 42.95%. The highest month-end Net Asset Value per Unit through
December 31, 1996 was $146.22 (November 30, 1996) and the lowest $97.36
(February 28, 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 significant profits
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.

                  The Fund trades in diverse international futures and forward
markets with the ability rapidly to deploy and redeploy its capital across
different sectors of the global economy. These markets are traded through
futures, options on

                                       1
<PAGE>
 
futures and forward contracts and offer the ability to trade either side of a
market (long or short). The Fund's use of a limited number of Advisors, and
allocation of the predominant portion of its assets to a still smaller group of
Advisors, is intended to enhance its profit potential beyond that of the broadly
diversified multi-advisor funds while retaining the potential risk control
benefits of combining independent non-correlated strategies into an overall
trading portfolio.

                  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.)

                  One of the objectives of the Fund is to provide
diversification to a limited portion of the risk segment of the Limited
Partners' portfolios into an investment field that 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 not used
to purchase or acquire any asset but rather held 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 Investment 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 commitment 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.

                                       2
<PAGE>
 
                  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 or invested in short-term Treasury bills. 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; (b) short-term Treasury
bills purchased by the Fund; and (c) 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 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 average
daily U.S. dollar Available Assets held in the offset accounts during such
month. The Fund receives all the 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. Consequently, the Fund does not earn interest on foreign
margin deposits. The Fund does, however, earn interest

                                       3
<PAGE>
 
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.

                  Forward Transactions.  Spot and forward currency contracts are
                  --------------------
the only non-exchange traded instruments held by the Fund.

                  To date, approximately 20% to 30% of the Fund's trades by
volume have been in forward currency contracts, but from time to time the
percentage of the Fund's trading represented by forward currency trades may fall
substantially outside this range. In using the F/X Desk, the Fund trades through
MLF. Because the Fund need not deposit any margin with MLF in respect of the
Fund's forward trading, the Fund's additional risk in trading in such
unregulated markets should be limited to a possible loss of unrealized profits
on open forward positions which a counterparty accessed through MLF would not,
in the event of its bankruptcy, be able to pay to MLF for the account of the
Fund (MLF not itself being obligated to pay such unrealized profits to the
Fund unless MLF is paid by MLF'S counterparty).

                  Having the Fund (and the other MLF clients using the F/X Desk)
trade through the F/X Desk on the basis of MLF's credit lines permits the F/X
Desk to access a wide range of counterparties without the need of such
counterparties evaluating the individual credit of the Fund (or any other MLF
client).

                  Charges

                  The following table summarizes the charges incurred by the
Fund during 1994, 1995 and 1996.
<TABLE> 
<CAPTION> 
                                        1994                             1995                               1996
                             -----------------------------   -------------------------------   --------------------------------
                                              % 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                     $3,730,625         7.02%         $5,532,963           7.46%         $6,646,004            7.55%
Commissions**

Administrative
Expenses**                       128,642         0.24%            190,792           0.26%             57,091            0.06

Profit Shares                  1,103,649         2.08%          1,492,857           2.01%          1,808,020            2.05

Incentive Override                41,867         0.08%            965,454           1.30%            834,271            0.95
                            ------------     ------------    ------------      ------------     ------------      -------------
       Total                  $5,004,783         9.42%         $8,182,066          11.03%         $9,345,386           10.61 %
                            ============     ============    ============      ============     ============      =============

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

</TABLE> 
** A portion of the Brokerage Commissions in prior periods have been
reclassified to conform to the current period presentation of the Administrative
fees. In addition 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."

                                       4
<PAGE>
 
                  The Fund's average month-end Net Assets during 1994, 1995 and
1996 equaled $53,119,205, $74,120,244 and $87,987,052, respectively.

                  During 1994, 1995 and 1996, the Fund earned $1,972,722,
$3,786,925 and $3,978,137 in interest income, or approximately 3.71%, 5.11% and
4.52% 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.

                        ------------------------------
                               "Breakeven Table"
<TABLE> 
<CAPTION> 
                                                                                          Column II
                                                          Column I                       "Breakeven"
                                                        "Breakeven"                     Dollar Return
                                                     Percentage Return                    Required
                                                          Required               ($5,000 Initial Investment)
EXPENSES                                            First Twelve Months              First Twelve Months
AND INTEREST INCOME                                     of Investment                   of Investment
------------------------------------------------------------------------------------------------------------
<S>                                                <C>                           <C>  
Brokerage Commission "Wrap Fee"(1)                         7.25%                            $362.50
-----------------------------------------------------------------------------------------------------------
Administrative Fee(2)                                      0.25%                            $ 12.50
------------------------------------------------------------------------------------------------------------
F/X Desk Service and Related Fees(3)                       0.25%                            $ 12.50
------------------------------------------------------------------------------------------------------------
Profit Shares(4)                                           2.00%                            $100.00
------------------------------------------------------------------------------------------------------------
Incentive Override(5)                                      0.31%                            $ 15.50
------------------------------------------------------------------------------------------------------------
Redemption Charge(6)                                       3.10%                            $155.00
------------------------------------------------------------------------------------------------------------
Interest Income(7)                                        (5.00)%                          $(250.00)
------------------------------------------------------------------------------------------------------------
RETURN ON $5,000 INITIAL
INVESTMENT REQUIRED TO                                     8.16%                            $408.00
"BREAKEVEN"
------------------------------------------------------------------------------------------------------------
</TABLE> 
         Notes to "Breakeven Table"

         (1)      Brokerage Commissions include the Consulting Fees payable to
                  the Advisors by Merrill Lynch Futures, Consulting Fees range
                  from 2% to 4% per annum of Fund assets being managed,
                  depending on the Advisor.

         (2)      Beginning October 1, 1996, the annual Brokerage Commissions
                  payable to MLF were reduced to 7.25% from 7.50%, with 0.25%
                  per annum being recharacterized as an Administrative Fee
                  payable directly to MLIP by the Fund.  This 
                  recharacterization had no effect on investors.

         (3)      Estimated; paid on a per-transaction basis. The "bid-ask"
                  spreads paid on forward currency trades are difficult to
                  estimate and are not included as an expense in the "Breakeven
                  Table." The F/X Desk is the Foreign Exchange Service Desk
                  organized by MLIP through which the Fund trades forward
                  currency contracts.

         (4)      It is not possible to predict the Profit Shares which might be
                  paid in a "breakeven" year. MLIP believes, based on the
                  experience of the Fund to date, that 2.0% of average month-end
                  capitalization is a reasonable estimate of "breakeven" Profit
                  Share expense, however, actual Profit Shares could differ.

         (5)      No Incentive Override might, in fact, be due despite the
                  approximately 3.1% Net Asset Value gain necessary to offset
                  the redemption charge of $155 (based on an initial $5,000
                  investment). See "Available Assets." However, for purposes of
                  the "Breakeven Table," the Incentive Override has been
                  estimated at 10% of such 3.1% gain.

         (6)      Redemption charges would equal 3.1% of the initial $5,000 
                  investment because these charges would equal 3% of the $5,155
                  year-end Net Asset Value necessary in order for the investor 
                  to receive net redemption proceeds of $5,000 after 
                  subtracting the 3% redemption charge.

         (7)      Estimated; based on current 91-day Treasury bill rates.  Such 
                  estimate does not reflect the economic benefit 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 -- Interest Earned on the Fund's
                  U.S. Dollar Available Assets."

                                       5
<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 1994, 1995 and 1996, 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 $13, $88 and $74,             
                                                             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               As of October 1, 1996, the Brokerage Commissions payable by 
                                                             the Fund were reduced from 7.50% to 7.25% annually, and the 
                                                             Fund began to pay MLIP a monthly Administrative Fee equal to
                                                             0.020833 of 1% of the Fund's month-end assets (0.25%        
                                                             annually). This change had no economic effect on the Fund.  
                                                             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 F/X Desk 
  Counterparties                                             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.                             
</TABLE>


                                      -6-
<PAGE>
 
<TABLE> 
<CAPTION> 

                         Description of Current Charges (Cont'd)

Recipient                  Nature of Payment                 Amount of Payment
---------                  -----------------                 -----------------
<S>                        <C>                               <C>   
MLIP                       Annual Incentive Overrides        Paid by the Fund as a whole on an annual basis and by       
                                                             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.                                                      

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. 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 to be
  Others                                                     negligible.                                                 
</TABLE>

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

                  Regulation

                  The General Partner, the Trading Advisors and the Commodity
Broker are each subject to regulation by the Commodity Futures Trading
Commission and the National Futures Association. Other than in respect of its
periodic reporting requirements, 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.



                                      -7-
<PAGE>
 
Item 3:  LEGAL PROCEEDINGS
         -----------------  

         There are no pending legal proceedings to which the Partnership or the
General Partner is a party.

         John W. Henry & Company, Inc. ("JWH") is one of the Advisors retained
by the Fund, managing approximately 24% of the Fund's assets as of January 1,
1997. In September 1996, JWH was named as a co-defendant in class action
lawsuits brought in the California Superior Court, Los Angeles County and in the
New York Supreme Court, New York County. In November, JWH was named as a
co-defendant in a class action complaint filed in Superior Court of the State of
Delaware for Newcastle County that contained the same allegations as the New
York and California complaints. The actions, which seek unspecified damages,
purport to be brought on behalf of investors in certain Dean Witter, Discover &
Co. ("Dean Witter") commodity pools, some of which are advised by JWH, and are
primarily directed at Dean Witter's alleged fraudulent selling practices in
connection with the marketing of those pools. JWH is essentially alleged to have
aided and abetted or directly participated with Dean Witter in those practices.
JWH believes the allegations against it are without merit; it intends to contest
these allegations vigorously, and is convinced that it will be shown to have
acted properly and in the best interest of the investors.

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 established 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, 1996, there were 2,995 holders of Units,
including the General Partner and the Trading Advisors.

         (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.

                                      -8-
<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, 1996 to      January 1, 1995 to       January 4, 1994 to
Income Statement Data                    December 31, 1996       December 31, 1995         December 31, 1994
---------------------                    -----------------       -----------------         -----------------
<S>                                      <C>                     <C>                       <C> 
Revenues:

  Trading Profits (Loss)
     Realized Gain                           $20,458,327             $17,455,764              $  453,726
     Change in Unrealized (Loss) Gain         (3,294,990)                299,233               5,331,556
                                            ------------             -----------              ----------
       Total Trading Results                  17,163,337              17,754,997               5,785,282

  Interest Income                              3,978,137               3,786,925               1,972,722
                                            ------------             -----------              ----------
       Total Revenues                         21,141,474              21,541,922               7,758,004
                                            ------------             -----------              ----------
Expenses:
  Brokerage Commissions                        6,646,004               5,723,755               3,859,267
  Administrative Fees                             57,091                       0                       0
  Profit Shares                                1,808,020               1,492,857               1,103,649
  Incentive Override                             834,271                 965,454                  41,867
                                            ------------               ---------              ----------
       Total Expenses                          9,345,386               8,182,066               5,004,783
                                            ------------               ---------              ----------
                                                                    
    Net Income                              $ 11,796,088             $13,359,856              $2,753,221
                                            ============             ===========              ==========

<CAPTION> 
Balance Sheet Data*                       December 31, 1996       December 31, 1995        December 31, 1994
------------------                        -----------------       -----------------        -----------------
<S>                                       <C>                     <C>                      <C> 
Fund Net Asset Value                        $84,173,541              $89,140,493             $67,078,533
Net Asset Value per Unit                       $ 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.

<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
--------------------------------------------------------------------------------------------------------------------------
</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, 1996

  Type of Pool: Selected-Advisor/Publicly-Offered/Non-"Principal Protected"/(1)/
                      Inception of Trading: January 4, 1994
                      Aggregate Subscriptions: $116,181,819
                       Current Capitalization: $84,173,541
                    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, 1996: $142.95

<TABLE> 
<CAPTION> 
==================================================================================
                           Monthly Rates of Return /(4)/
----------------------------------------------------------------------------------
       Month                  1996                1995                1994
<S>                          <C>                <C>                 <C>   
----------------------------------------------------------------------------------
      January                 1.25%              (2.74)%             (1.40)%
----------------------------------------------------------------------------------
      February               (6.42)%              5.48%              (1.26)%
----------------------------------------------------------------------------------
       March                  1.37%               9.13%               1.28%
----------------------------------------------------------------------------------
       April                  7.63%               1.76%               0.40%
----------------------------------------------------------------------------------
        May                  (3.87)%              2.09%               3.29%
----------------------------------------------------------------------------------
       June                   3.35%              (0.29)%              2.67%
----------------------------------------------------------------------------------
       July                  (3.12)%             (3.15)%             (2.23)%
----------------------------------------------------------------------------------
      August                  0.45%              (0.29)%             (1.96)%
----------------------------------------------------------------------------------
    September                 3.77%              (1.21)%              1.52%
----------------------------------------------------------------------------------
     October                  7.73%              (0.11)%              2.06%
----------------------------------------------------------------------------------
    November                  5.24%               1.89%              (0.37)%
----------------------------------------------------------------------------------
    December                 (2.24)%              6.12%               0.18%
----------------------------------------------------------------------------------
  Compound Annual            14.96%              19.48%               4.08%
  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 OPERATION
         --------------------

         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.

         In the Partnership's three years of trading through December 1996, MLIP
has made only a limited number of changes in either the Fund's Advisors or in
the allocation of its assets among them: (i) replacing a former core Advisor
(which discontinued operations) with ARA Portfolio Management Company, L.L.C. as
of January 1, 1995; (ii) allocating assets to non-core Advisors beginning July
1, 1996; and (iii) adding a third non-core Advisor as of December 1, 1996.

          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.

                                     -11-
<PAGE>
 
         Performance Summary

         1994

         Statistics. During 1994, the Fund's average month-end Net Assets
         ----------
equaled $53,119,205. The Fund recognized gross trading gains of $5,785,282, and
incurred Brokerage Commissions of $3,859,267, Profit Shares of $1,103,649 and
Incentive Overrides of $41,867 (or 10.89%, 7.27%, 2.08% and 0.08%, respectively,
of average month-end Net Assets). Interest income of $1,972,722 or 3.71% of
average month-end Net Assets resulted in net income of $2,753,221, and a 4.08%
increase in the Net Asset Value per Unit.

         Overview.  1994 was characterized by relatively quiet markets without
         --------
many major price trends. United States interest rates generally declined during
the period, and as they did, so did the U.S. dollar as compared to the
Deutschemark and certain other major currencies.

         1995

         Statistics. During 1995, the Fund's average month-end Net Assets
         ----------
equaled $74,120,244. The Fund recognized gross trading gains of $17,754,997, and
incurred Brokerage Commissions of $5,723,755, Profit Shares of $1,492,857 and
Incentive Overrides of $965,454 (or 23.95%, 7.72%, 2.01% and 1.30%,
respectively, of average month-end Net Assets). Interest income of $3,786,925 or
5.11% of average month-end Net Assets resulted in net income (without reduction
for organization and initial offering cost reimbursement payments) of
$13,359,856, and a 19.48% increase in the Net Asset Value per Unit.

         Overview. 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 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

         Statistics. During 1996, the Partnership's average month-end Net Assets
         ----------
equaled $87,987,052. The Fund recognized gross trading gains of $17,163,337, and
incurred Brokerage Commissions of $6,646,004, Administrative Fees of $57,091,
Profit Shares of $1,808,020 and Incentive Overrides of $834,271 (or 19.51%,
7.55%, 0.06%, 2.05% and 0.95%, respectively, of average month-end Net Assets).
Interest income of $3,978,137 or 4.52% of average month-end Net Assets resulted
in a net gain of $11,796,088 and a 14.96% increase in the Net Asset Value per
Unit.

         Overview. 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

                                     -12-
<PAGE>
 
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.

         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 continuous
offering of its Units.

                                     -13-
<PAGE>
 
         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.

         In terms of cash flow, it makes little difference whether a market
position remains open (so that the profit or loss on such positions remains
unrealized), as cash settlement of unrealized gains and losses occurs
periodically whether or not positions are closed out. The only meaningful
difference between realized and unrealized gains or losses in the case of the
Fund is that unrealized items reflect gains or losses on positions which the
Advisors have determined not to close out (presumably, in the hope of future
profits), whereas realized gains or losses reflect amounts received or paid in
respect of positions no longer being maintained.

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 and 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 principal officers of MLIP and their business backgrounds
are as follows.

                  John R. Frawley, Jr.      Chief Executive Officer, President
                                            and Director

                  James M. Bernard          Chief Financial Officer,
                                            Senior Vice President and Treasurer

                  Jeffrey F. Chandor        Senior Vice President, Director of
                                            Sales, Marketing and Research and 
                                            Director

                  Allen N. Jones            Chairman and Director

                  Steven B. Olgin           Vice President, Secretary and 
                                            Director of Administration

                                     -14-
<PAGE>
 
                  John R. Frawley, Jr. was born in 1943. Mr. Frawley is Chief
Executive Officer, President and a Director of MLIP as well as Co-Chairman of
MLF. He joined Merrill Lynch, Pierce, Fenner & Smith ("MLPF&S") in 1966 and has
served in various positions, including Retail and Institutional Sales, Manager
of New 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 inception in 1990 through its dissolution in 1994.
Mr. Frawley is currently a member of the CFTC's Financial Products Advisory
Committee. In January 1996, he was re-elected to a one-year term as Chairman of
the Managed Futures Association, the national trade association of the United
States managed futures industry. Mr. Frawley is also a Director of that
organization, and a Director of the Futures Industry Institute. Mr. Frawley also
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.

                  James M. Bernard was born in 1950. Mr. Bernard is Chief
Financial Officer, Senior Vice President and Treasurer of MLIP. He joined MLF in
1983. Before that he was the Commodity Controller for Nabisco Brands Inc. from
November 1976 to 1982 and a Supervisor at Ernst & Whinney from 1972 to November
1976. Mr. Bernard is a member of the American Institute of Certified Public
Accountants and holds a Bachelor of Science degree from St. John's University
and a Master of Business Administration degree from Fordham University.

                  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 Equity,
Derivative Products 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.

                  Allen N. Jones was born in 1942.  Mr. Jones is Chairman and a
Director 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. In February 1994, Mr. Jones
became the Director of Individual Financial Services of the Merrill Lynch
Private Client Group. From January 1992 to June 1992, he held the position of
First Vice President of MLPF&S. From January 1990 to June 1992, he held the
position of District Director of MLPF&S. Before January 1990, he held the
position of Senior Regional Vice President of MLPF&S.

                  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 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 Futures Association's Government Relations
Committee and has served as an arbitrator for the NFA.

                  At its December 1996 Board of Directors meeting, MLIP formed a
Finance Committee composed of representatives of several different operating and
administrative units at Merrill Lynch to oversee the financial controls and
accounting procedures implemented by MLIP. The Finance Committee will meet
periodically to review MLIP's financial reporting, monitoring and record
keeping, as well as all proposed changes -- other than the selection of Advisors
-- affecting the operations of the Fund.

                  As of December 31, 1996, the principals of MLIP owned Units
with an aggregate Net Asset Value of approximately $98,636, and MLIP's general
partner interest in the Fund was valued at approximately $1.3 million.

                  MLIP acts as general partner to thirteen 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) IV
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

                                     -15-
<PAGE>
 
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:
                  -----------------------------

                  The General Partner is the sole promoter and controlling
person of the Partnership.

Item 11: EXECUTIVE COMPENSATION
         ----------------------

         The officers of the General Partner are remunerated 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 BENEFICIAL OWNERS AND MANAGEMENT
         --------------------------------------------------------------

         (a)      Security Ownership of Certain Beneficial Owners:
                  -----------------------------------------------

                  As of December 31, 1996, no person or "group" is known to be
or have been the beneficial owner of more than five percent of the Units. All of
the Partnership's units of general partnership interest are owned by the General
Partner.

         (b)      Security Ownership of Management:
                  --------------------------------

                  As of December 31, 1996, 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.                500           Less than 1%
                  Jeffrey Chandor                      50           Less than 1%
                  Madanda Machayya                     73           Less than 1%

                                     -16-
<PAGE>
 
                  As of December 31, 1996, the General Partner owned 8,985 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 1996 the Partnership paid: (i) Brokerage Commissions of
$6,646,004 to the Commodity Broker, which included $3,122,910 in consulting fees
paid by the Commodity Broker to the Trading Advisors; (ii) Administrative Fees
of $57,091 to MLIP (the Administrative Fees only began to be paid as of October
1, 1996); and (iii) Incentive Overrides of $834,271 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
          ---------------------------------------------------------------

         (a)1.    Financial Statements (found in Exhibit 13.01):            Page
                  --------------------                                      ----

                  Independent Auditors' Report                                1 
                                                                              
                  Statements of Financial Condition as of December 31,        
                  1996 and 1995                                               2 
                                                                              
                  For the years ended December 31, 1996 and 1995 and          
                  the period from January 4, 1994 (Commencement of            
                  Operations) to December 31, 1994:                           
                          Statements of Income                                3 
                          Statements of Changes in Partners' Capital          4 

                  Notes to Financial Statements                               5 

         (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.

                                     -18-
<PAGE>
 
Designation                Description
-----------                -----------

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.

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 Investment 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 filed herewith.
-------------

13.01                      1996 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
1996.

                                     -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.
                                        President, Chief Executive Officer 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 14, 1997 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.            President and Chief Executive Officer and Director           March 14, 1997
------------------------------
John R. Frawley, Jr.

/s/ James M. Bernard                Chief Financial Officer, Treasurer (Principal Financial      March 14, 1997
-----------------------------       and Accounting Officer) and Senior Vice President
James M. Bernard                    

/s/ Jeffrey F. Chandor              Senior Vice President and Director of Sales,                 March 14, 1997
-------------------------------     Marketing and Research, and Director
Jeffrey F. Chandor                  

/s/ Allen N. Jones                  Director                                                     March 14, 1997
---------------------------------
Allen N. Jones

<CAPTION> 

(Being the principal executive officer, the principal financial and accounting officer and a majority of the directors of Merrill
Lynch Investment Partners Inc.)

<S>                                         <C>                                                  <C>
MERRILL LYNCH INVESTMENT                    General Partner of Registrant                        March 14, 1997
   PARTNERS INC.

By: /s/ John R. Frawley, Jr.
   ------------------------------
   John R. Frawley, Jr.
</TABLE>

                                      20
<PAGE>
 
                             ML GLOBAL HORIZONS L.P.

                                 1996 FORM 10-K

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

<TABLE>
<CAPTION>
                               Exhibit                                                                        
                               -------                                                                        
<S>                            <C>                                                                            
Exhibit 10.07                  Form of Advisory and Consulting Agreement Amendment by and                     
                               among Merrill Lynch Investment Partners Inc., each Advisor, the Fund           
                               and Merrill Lynch Futures Inc.                                                 
                                                                                                              
Exhibit 13.01                  1996 Annual Report and Independent Auditors' Report                            
</TABLE>



                                      21
<PAGE>
 
                 To the best of the knowledge and belief of the
                    undersigned, the information contained in
                      this report is accurate and complete.

                                James M. Bernard
                             Chief Financial Officer
                     Merrill Lynch Investment Partners Inc.
                               General Partner of
                             ML Global Horizons L.P.





                                      22