<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, 2001
                                       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 or other jurisdiction of                (I.R.S. Employer
     incorporation or organization)                Identification No.)

                       C/O MLIM ALTERNATIVE STRATEGIES LLC
                           PRINCETON CORPORATE CAMPUS
                       800 SCUDDERS MILL ROAD - SECTION 2G
                          PLAINSBORO, NEW JERSEY, 08536
                    (Address of principal executive offices)

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

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

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

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

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

Aggregate market value of the voting and non-voting common equity held by
non-affiliates: the registrant is a limited partnership; as of February 1, 2002,
limited partnership units with an aggregate value of $49,144,948 were
outstanding.

                       DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2001 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2001,
is incorporated by reference into Part II, Item 8 and Part IV hereof and filed
as an Exhibit herewith.

<Page>

                             ML GLOBAL HORIZONS L.P.

                       ANNUAL REPORT FOR 2001 ON FORM 10-K

                                TABLE OF CONTENTS


                            PART I                                     PAGE

Item 1.   Business                                                       1

Item 2.   Properties                                                     5

Item 3.   Legal Proceedings                                              5

Item 4.   Submission of Matters to a Vote of Security Holders            5


                            PART II

Item 5.   Market for Registrant's Common Equity and Related
          Stockholder Matters                                            6

Item 6.   Selected Financial Data                                        6

Item 7.   Management's Discussion and Analysis of
          Financial Condition and Results of Operations                  8

Item 7A.  Quantitative and Qualitative Disclosures
          About Market Risk                                             12

Item 8.   Financial Statements and Supplementary Data                   16

Item 9.   Changes in and Disagreements with Accountants on
          Accounting and Financial Disclosure                           16


                            PART III

Item 10.  Directors and Executive Officers of the Registrant            17

Item 11.  Executive Compensation                                        18

Item 12.  Security Ownership of Certain Beneficial
          Owners and Management                                         18

Item 13.  Certain Relationships and Related Transactions                18


                            PART IV

Item 14.  Exhibits, Financial Statement Schedules and
          Reports on Form 8-K                                           20

                                       i

<Page>

                                     PART I

ITEM 1:  BUSINESS

     (a)  GENERAL DEVELOPMENT OF BUSINESS:

          ML Global Horizons L.P. (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 Fund trades in the international
futures and forward markets under the direction of multiple independent
advisors (the "Advisors") applying proprietary strategies. The Fund's
objective is to achieve, through speculative trading, substantial capital
appreciation over time.

          MLIM Alternative Strategies LLC ("MLIM AS LLC"), formerly Merrill
Lynch Investment Partners Inc. ("MLIP"), a wholly-owned subsidiary of Merrill
Lynch Investment Managers, LP ("MLIM") which, in turn, is an indirect
wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("Merrill Lynch"), is
the general partner of the Fund. Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), the successor to Merrill Lynch Futures, Inc. ("MLF")
by merger, is the Fund's commodity broker.

          Effective May 31, 2001, MLIP converted to a Delaware limited
liability company and changed its name. Effective August 14, 2001, Merrill
Lynch Group, Inc. contributed all of the issued and outstanding shares of
MLIM AS LLC to its affiliate MLIM in a tax-free reorganization. All of the
officers of MLIP at the time continued with their former roles with MLIM AS
LLC. The changes had no impact on the Fund's investors. Effective November 2,
2001, MLF merged into its affiliate, MLPF&S, a wholly owned subsidiary of
Merrill Lynch. MLPF&S became the successor party to the agreements between
MLF and the Fund. The terms of the agreements remained unchanged and the
merger had no effect on the terms on which the Fund's transactions were
executed.

          When the Fund is offering its units of limited partnership interest
("Units"), it 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.

          As of December 31, 2001, the capitalization of the Fund was
$51,773,460, and the Net Asset Value per Unit, originally $100 as of January 4,
1994, had risen to $185.92.

          Through December 31, 2001, the highest month-end Net Asset Value per
Unit was $199.09 (October 31, 2001) and the lowest $97.36 (February 28, 1994).

     (b)  FINANCIAL INFORMATION ABOUT SEGMENTS:

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

     (c)  NARRATIVE DESCRIPTION OF BUSINESS:

          GENERAL

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

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

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

                                      -1-
<Page>

          One of the objectives of the Fund is to provide diversification for a
limited portion of the risk segment of the Limited Partners' portfolios.
Commodity pool performance has historically 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 with the United States stock and bond markets.

          USE OF PROCEEDS AND INTEREST INCOME

          SUBSCRIPTION PROCEEDS.

          MLIM AS LLC 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 Fund and available for use in its speculative trading.
In such trading, the Fund's assets are used as security for and to pay the
Fund'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 Fund. While being used for this purpose, the
Fund's assets are also generally available to earn interest, as more fully
described below. The Fund's last offering of Units was through March 31, 1998,
for trading effective April 1, 1998.

          MARKET SECTORS.

          The Fund 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. There is, essentially, no restriction on the commodity
interests which may be traded by any Advisor or the rapidity with which an
Advisor may alter its market sector allocations.

          MARKET TYPES.

          The Fund trades on a variety of United States and foreign futures
exchanges. Substantially all of the Fund's off-exchange trading takes place in
the highly liquid, institutionally-based currency forward markets.

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

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

          CUSTODY OF ASSETS.

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

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

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

          Merrill Lynch charges the Fund Merrill Lynch's cost of financing
realized and unrealized losses on the Fund's non-U.S. dollar denominated
positions.

          CHARGES

          The following table summarizes the charges incurred by the Fund during
2001, 2000 and 1999.

                                      -2-
<Page>

<Table>
<Caption>
                                      2001                         2000                       1999
                      ------------------------------------------------------------------------------------------
                                           % OF AVERAGE                % OF AVERAGE                % OF AVERAGE
                                DOLLAR     MONTH-END         DOLLAR    MONTH-END         DOLLAR    MONTH-END
CHARGES                         AMOUNT     NET ASSETS        AMOUNT    NET ASSETS        AMOUNT    NET ASSETS
----------------------------------------------------------------------------------------------------------------
<S>                        <C>             <C>           <C>              <C>        <C>              <C>
Brokerage Commissions      $  4,136,863     7.43%        $  4,862,392     7.44%      $  6,790,464     7.43%
Administrative Fee              142,650     0.26%             167,669     0.26%           234,154     0.26%
Profit Shares                 1,511,234     2.72%             837,948     1.28%           670,277     0.73%
Incentive Override               10,771     0.02%                --       0.00%             5,555     0.01%
                           --------------------------------------------------------------------------------
Total                      $  5,801,518    10.43%        $  5,868,009     8.98%      $  7,700,450     8.43%
                           ================================================================================
</Table>

          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
maintained at MLPF&S.

          The Fund's average month-end Net Assets during 2001, 2000 and 1999
equaled $55,652,433, $65,365,539 and $91,419,778, respectively.

          During 2001, 2000 and 1999, the Fund earned $1,987,808, $3,939,708,and
$4,451,948, respectively, in interest income, or approximately 3.57%, 6.03% and
4.87%, of the Fund's average month-end Net Assets.

          The Fund pays brokerage commissions to MLPF&S at a flat monthly
rate of .6041 of 1% (a 7.25% annual rate) of the Fund's month-end assets. The
Fund pays MLIM AS LLC a monthly administrative fee of .021 of 1% (a 0.25%
annual rate) of the Fund's month-end assets.


                                      -3-
<Page>

                         DESCRIPTION OF CURRENT CHARGES

<Table>
<Caption>
RECIPIENT                         NATURE OF PAYMENT                              AMOUNT OF PAYMENT
---------                         -----------------                              -----------------
<S>                             <C>                                     <C>
MLPF&S                          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 2001, 2000 and 1999, the
                                                                        round-turn (each purchase and sale or
                                                                        sale and purchase of a single futures
                                                                        contract) equivalent rates of the Fund's
                                                                        flat-rate Brokerage Commissions was
                                                                        approximately $88, $128 and $106,
                                                                        respectively.

MLPF&S                          Use of Fund assets                      Merrill Lynch may derive certain
                                                                        economic benefit from the deposit of
                                                                        certain of the Fund's U.S. dollar assets
                                                                        in accounts maintained at MLPF&S.

MLIM AS LLC                     Administrative Fees                     The Fund pays MLIM AS LLC a monthly
                                                                        Administrative Fee equal to .021 of
                                                                        1% of the Fund's month-end assets (0.25%
                                                                        annually). MLIM AS LLC pays all of the
                                                                        Fund's routine administrative costs.

Other Counterparties            Bid-ask spreads                         Bid-ask spreads on forward and related
                                                                        trades.

MLIM AS LLC                     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.

Advisors                        Profit Shares                           All Advisors can receive quarterly or
                                                                        annual Profit shares ranging from 15% to
                                                                        23% (depending on the Advisor) of any
                                                                        New Trading Profit achieved by their
                                                                        Fund account. Profit Shares are also
                                                                        paid upon redemption of Units and upon
                                                                        the net reallocation of assets away from
                                                                        an Advisor. 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.

Advisors                        Consulting fees                         MLPF&S pays the Advisors annual
                                                                        Consulting Fees generally ranging up to
                                                                        2% of the Fund's average month-end
                                                                        assets allocated to them for management,
                                                                        after reduction for a portion of the
                                                                        brokerage commissions.

MLPF&S;                         Extraordinary expenses                  Actual costs incurred; none paid to
Others                                                                  date.
</Table>

                                       -4-
<Page>

          REGULATION

          MLIM AS LLC, the Advisors and MLPF&S are each subject to regulation
by the Commodity Futures Trading Commission (the "CFTC") and the National
Futures Association (the "NFA"). Other than in respect of its periodic
reporting requirements under the Securities Exchange Act of 1934, and the
registration of the Units for continuous public distribution under the
Securities Act of 1933, the Fund itself is generally not subject to
regulation by the Securities and Exchange Commission (the "SEC"). However,
MLIM AS LLC itself is registered as an "investment adviser" under the
Investment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the
National Association of Securities Dealers.

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

          (xiii) The Fund has no employees.

     (d)  FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS

          The Fund does not engage in material operations in foreign
countries, nor is a material portion of the Fund's revenues derived from
customers in foreign countries. However, the Fund trades, from the United
States, on a number of foreign commodity exchanges. The Fund does not engage
in the sales of goods or services.

ITEM 2:    PROPERTIES

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

          The Fund's only place of business is the place of business of MLIM AS
LLC, Princeton Corporate Campus, 800 Scudders Mill Road-Section 2G, Plainsboro,
New Jersey 08536. MLIM AS LLC performs all administrative services for the Fund
from MLIM AS LLC's offices.

ITEM 3:    LEGAL PROCEEDINGS

          Merrill Lynch -- a partner of MLIM, which is the sole member of
MLIM AS LLC -- as well as certain of its subsidiaries and affiliates have
been named as defendants in civil actions, arbitration proceedings and claims
arising out of their respective business activities. Although the ultimate
outcome of these actions cannot be predicted at this time and the results of
legal proceedings cannot be predicted with certainty, it is the opinion of
management that the result of these matters will not be materially adverse to
the business operations or financial condition of MLIM AS LLC or the Fund.

          MLIM AS LLC itself has never been the subject of any material
litigation.

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

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

                                      -5-
<Page>

                                     PART II

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

     Item 5(a)

     (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, 2001, there were 1,903 holders of Units, including
MLIM AS LLC.

     (c)  DIVIDENDS:

          The Fund has made no distributions since trading commenced, nor does
MLIM AS LLC presently intend to make any distributions in the future.

     Item 5(b)

     Not applicable.


ITEM 6:    SELECTED FINANCIAL DATA

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

<Table>
<Caption>
                                   FOR THE YEAR    FOR THE YEAR    FOR THE YEAR    FOR THE YEAR    FOR THE YEAR
                                      ENDED           ENDED           ENDED            ENDED           ENDED
                                   DECEMBER 31,     DECEMBER 31,    DECEMBER 31,    DECEMBER 31,    DECEMBER 31,
INCOME STATEMENT DATA                 2001             2000            1999            1998             1997
-----------------------------------------------------------------------------------------------------------------
<S>                             <C>              <C>             <C>              <C>              <C>
Revenues:

Trading profit (loss)
     Realized                   $   9,573,592    $   1,325,278   $   8,710,125    $  17,962,463    $   6,111,341
     Change in Unrealized          (3,522,456)       4,703,837      (3,604,366)      (4,718,157)       6,329,441
                                ---------------------------------------------------------------------------------
        Total Trading Results       6,051,136        6,029,115       5,105,759       13,244,306       12,440,782
                                ---------------------------------------------------------------------------------

Interest Income                     1,987,808        3,939,708       4,451,948        6,051,782        5,278,840
                                ---------------------------------------------------------------------------------

     Total Revenues                 8,038,944        9,968,823       9,557,707       19,296,088       17,719,622
                                ---------------------------------------------------------------------------------

Expenses:
     Brokerage Commissions          4,136,863        4,862,392       6,790,464        8,970,371        7,727,226
     Profit Shares                  1,511,234          837,948         670,277        3,920,850        1,666,616
     Administrative Fees              142,650          167,669         234,154          309,323          266,456
     Incentive Override                10,771             --             5,555          153,883          289,162
                                ---------------------------------------------------------------------------------
     Total Expenses                 5,801,518        5,868,009       7,700,450       13,354,427        9,949,460
                                ---------------------------------------------------------------------------------
Net Income                      $   2,237,426    $   4,100,814   $   1,857,257    $   5,941,661    $   7,770,162
                                =================================================================================
</Table>

<Table>
<Caption>
BALANCE SHEET DATA         DECEMBER 31, 2001  DECEMBER 31, 2000  DECEMBER 31, 1999  DECEMBER 31, 1998  DECEMBER 31, 1997
------------------------------------------------------------------------------------------------------------------------
<S>                        <C>                <C>                <C>                <C>                <C>
Fund Net Asset Value       $     51,773,460   $     60,280,800   $     79,137,177   $    104,435,611   $    134,044,365
Net Asset Value per Unit   $         185.92   $         179.10   $         166.54   $         163.42   $         153.86
                           =============================================================================================
</Table>

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

<Table>
<Caption>
------------------------------------------------------------------------------------------------------------------------------
                                          MONTH-END NET ASSET VALUE PER INITIAL 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>
1997   $ 146.53  $ 151.84  $ 152.92  $ 149.41  $ 146.53  $ 146.46  $ 155.70  $ 148.90  $ 149.80  $ 147.06  $ 148.57  $ 153.86
------------------------------------------------------------------------------------------------------------------------------
1998   $ 154.11  $ 155.99  $ 156.90  $ 148.38  $ 148.82  $ 148.13  $ 146.66  $ 154.13  $ 157.43  $ 159.62  $ 162.62  $ 163.42
------------------------------------------------------------------------------------------------------------------------------
1999   $ 162.48  $ 163.98  $ 164.50  $ 167.59  $ 166.73  $ 169.02  $ 169.11  $ 168.78  $ 167.51  $ 161.64  $ 165.99  $ 166.54
------------------------------------------------------------------------------------------------------------------------------
2000   $ 168.83  $ 168.54  $ 164.59  $ 162.97  $ 166.07  $ 162.44  $ 161.84  $ 162.80  $ 160.30  $ 160.21  $ 169.32  $ 179.10
------------------------------------------------------------------------------------------------------------------------------
2001   $ 180.39  $ 183.37  $ 190.51  $ 182.78  $ 181.49  $ 183.64  $ 181.61  $ 182.38  $ 189.22  $ 199.09  $ 184.90  $ 185.92
------------------------------------------------------------------------------------------------------------------------------
</Table>

                                      -6-
<Page>

                             ML GLOBAL HORIZONS L.P.
                                DECEMBER 31, 2001

  TYPE OF POOL: Selected-Advisor/Publicly-Offered/Non-"Principal Protected"(1)
                      INCEPTION OF TRADING: January 4, 1994
                      AGGREGATE SUBSCRIPTIONS: $174,343,595
                       CURRENT CAPITALIZATION: $51,773,460
                    WORST MONTHLY DRAWDOWN(2): (7.13)% (11/01)
                WORST PEAK-TO-VALLEY DRAWDOWN(3): (7.13)% (11/01)

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

              NET ASSET VALUE PER UNIT, DECEMBER 31, 2001: $185.92

<Table>
<Caption>
--------------------------------------------------------------------------
                         MONTHLY RATES OF RETURN(4)
--------------------------------------------------------------------------
Month                2001        2000        1999        1998        1997
--------------------------------------------------------------------------
<S>                 <C>         <C>         <C>         <C>         <C>
January              0.72%       1.38%      (0.58)%      0.16%       2.50%
--------------------------------------------------------------------------
February             1.65       (0.17)       0.92        1.22        3.62
--------------------------------------------------------------------------
March                3.90       (2.34)       0.32        0.58        0.71
--------------------------------------------------------------------------
April               (4.06)      (0.99)       1.88       (5.43)      (2.30)
--------------------------------------------------------------------------
May                 (0.71)       1.91       (0.51)       0.30       (1.93)
--------------------------------------------------------------------------
June                 1.19       (2.19)       1.37       (0.46)      (0.05)
--------------------------------------------------------------------------
July                (1.11)      (0.37)       0.05       (0.99)       6.31
--------------------------------------------------------------------------
August               0.42        0.59       (0.20)       5.09       (4.37)
--------------------------------------------------------------------------
September            3.75       (1.53)      (0.75)       2.14        0.60
--------------------------------------------------------------------------
October              5.22       (0.06)      (3.50)       1.39       (1.83)
--------------------------------------------------------------------------
November            (7.13)       5.69        2.69        1.88        1.03
--------------------------------------------------------------------------
December             0.55        5.77        0.33        0.49        3.56
--------------------------------------------------------------------------
Compound Annual      3.81%       7.54%       1.91%       6.22%       7.61%
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 MLIM AS LLC, are structured so as to
guarantee to investors that their investment will be worth no less than a
specified amount (typically, the initial purchase price) as of a date certain
after the date of investment. The CFTC refers to such funds as "Principal
Protected." The Fund has no such feature.

          (2) Worst Monthly Drawdown represents the largest negative Monthly
Rate of Return experienced since January 1, 1997 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 since January 1, 1997 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.

                                      -7-
<Page>

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

           OPERATIONAL OVERVIEW; ADVISOR SELECTIONS

          The Fund's results of operations depend on MLIM AS LLC's ability to
select Advisors and the Advisors' ability to trade profitably. MLIM AS LLC'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.

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

          MLIM AS LLC has no timetable or schedule for making Advisor changes or
reallocations, and generally makes a medium- to long-term commitment to all
Advisors selected. In particular, MLIM AS LLC 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 MLIM AS LLC'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 Fund.

     RESULTS OF OPERATIONS

          GENERAL.

          MLIM AS LLC believes that selected 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.

          MLIM AS LLC attempts to control credit risk in the Fund's futures,
forward and options trading by trading only through MLPF&S. MLPF&S acts solely
as a broker or counterparty to the Fund's trades; it does not advise with
respect to, or direct, any such trading.

          MLIM AS LLC attempts to control the market risk inherent in the Fund's
trading by MLIM AS LLC's selected advisor strategy and Advisor selections. MLIM
AS LLC 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 MLIM AS LLC determines as being excessively concentrated in a limited
number of markets -- in which case MLIM AS LLC 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.

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

                                      -8-
<Page>

     PERFORMANCE SUMMARY

     2001

<Table>
<Caption>
                                           TOTAL TRADING
                                                 RESULTS
<S>                                   <C>
 Interest Rates                             $ 5,442,961
 Stock Indices                                1,721,439
 Agriculture                                   (274,339)
 Currencies                                    (567,009)
 Energy                                        (105,739)
 Metals                                        (166,178)
                                      ------------------
                                            $ 6,051,135
                                      ==================
</Table>

          The Fund's overall trading strategy was successful. Gains realized
in the interest rates and stock indices sectors more than offset other losses.

          Trading in the interest rates markets was the most profitable
strategy for the Fund. Eurodollar futures contracts rose dramatically early
in the year as the U. S. economy weakened and the Federal Reserve cut
interest rates. The announcement by the U.S. Treasury in October to cease
issuing 30 year debt, coupled with worldwide governments easing of monetary
policy, benefited long positions across the global yield curve. The global
fixed income market rally fizzled in November, returning to pre-September 11
levels.

          Stock index trading was also profitable. Short positions in the S&P
500 and Nikkei 225 indices were produced gains early in the year. Various
short positions also were successful as major indices in the world markets
fell as corporate earnings were poor and the global economic slump could
worsen as a result of the September 11 attacks. By year end, positive reports
on the U.S. economy and growing optimism for a brighter 2002 caused stock
markets to rally.

          Losses were realized in the energy markets. Natural gas prices
pulled back in January on low inventories and stagnant production. The sector
as a whole faced downside pressure from the slowing global economy and OPEC's
decision to leave production levels unchanged. Oil prices sank as traders
feared the September 11 attacks would cripple the airline industry. By
year-end, OPEC and non-OPEC countries agreed to limit production, causing a
sharp reversal in the year long downward trend, resulting in losses in short
positions.

          Metals trading resulted in losses for the Fund. Demand restraints
and a lack of momentum were the overall theme for the year. Weakness in the
Euro, a decline in the Australian dollar to an all time low and producer and
central bank selling sent gold prices lower. Long gold positions were
profitable as investors flocked to safety following the terrorists attacks.

          Trading in the agricultural commodities sector was unprofitable.
Gains were realized early in the year on short cotton positions as the market
sank to a 15-year low on poor demand and a possible planting increase. Grain
prices rose in July on concerns that hot and dry weather would cause lower
2001 production. Cattle fell to a one year low on demand concerns.

          Currency trading was unprofitable. The Euro fell from a high near
96 cents in the first quarter back to the 90 cent level, causing losses in
long positions. The weakening of the Euro and Japanese yen displayed how the
world economy was not immune to the economic slowdown of the U.S. Post
September 11 trading had long Swiss franc positions appreciating versus the
U.S. dollars as investors were attracted to Switzerland's neutral status.

     2000

<Table>
<Caption>
                              TOTAL TRADING
                                RESULTS
<S>                     <C>
Interest Rates          $          2,464,097
Stock Indices                     (2,254,151)
Agriculture                          151,043
Currencies                         3,947,684
Energy                             2,081,146
Metals                              (360,704)
                        --------------------
                        $          6,029,115
                        ====================
</Table>

          The Fund's overall trading strategy was profitable in 2000. Trading in
the currency, interest rate, energy and agriculture markets was successful,
while losses were realized in the stock indices and metal markets. The
majority of the Fund's profits were realized in November and December.

          Currency trading started slowly but was profitable by year-end. The
Euro declined against the U.S. dollar after officials from the Group of Seven
met and failed to express concern about its low levels. Other factors for its
decline include the slow pace of microeconomic reform in Europe, plans for a
European withholding tax and the scale of direct investment flows outside of
Europe. In the second quarter, currencies suffered overall when the Japanese
yen appreciated against the U.S. dollar due to speculation that the Japanese
government was considering a stimulus package after the G-8 summit in July.
In September, short Japanese yen positions were profitable as the Japanese
yen weakened against the U.S. dollar on anticipation that the U.S. Federal
Reserve would continue to increase interest rates. The Euro fell to a record
low despite stronger than expected European data and the success of the
German tax reform package. Short positions in the Canadian dollar were
profitable despite weakening U.S. dollar fundamentals, a large Canadian
budget surplus and plans for tax cuts in Canada. Euro and Japanese yen
trading was profitable in December.

          Trading in the interest rate markets was successful despite volatile
market conditions. Short Eurodollar trading was profitable as European Union
ministers blamed its slide in January on rapid U.S. growth and fears the Federal
Reserve would continue to raise interest rates. Losses were realized in the
Japanese 10-year bond, U.S. 10-year Treasury note and long U.S. Treasury
positions as the yield curve fluctuated widely during the first quarter. U.S.
bond yields fell in the second quarter as investors shifted to Treasuries due to
increased volatility in the NASDAQ and other equity markets. U.S. bonds were
unprofitable when bonds rallied during June after a higher than expected
unemployment report and a lack of interest rate action by the Federal Reserve.
Losses were incurred in the third quarter on Japanese 10-year bond positions. In
November and December, trading was profitable as uncertainty surrounding the
U.S. Presidential election caused investors to favor bond markets over equities.

          Energy trading was successful for the year. Long crude oil and
unleaded gas positions realized gains early in the year despite the possibility
of OPEC increasing crude oil production. Such a hike would still leave oil
inventories at levels much below normal. Prices continued to rise in the second
quarter as the International Energy Agency reported the need for additional oil
to prevent an inventory shortage. By August, long light crude oil positions
profited as the oil balance faced a significant inventory deficit, shrinking
production capacity, limited prospects of non-OPEC supply growth and OPEC's key
countries' desire for a higher average price. Fears of supply shortages pushed
prices higher as December saw colder temperatures than last year.

                                      -9-
<Page>

          Agriculture commodity trading resulted in modest gains for the year.
Losses were realized in the first quarter on short corn positions due to dry
conditions in Argentina, pushing corn prices higher. Long sugar positions were
profitable mid-year on a report from Brazil stating unfavorable weather
conditions will lead to a significant drop in 2000/2001 sugar production.
Agricultural trading resulted in gains in November as imbalance in supply versus
demand has caused weakness in the markets.

          Metals trading alternated from profitable to unprofitable during the
year. Base metal prices rose early on as concerns over higher interest rates and
the decline in global equity prices created defensive tones in the markets. Gold
prices ended the second quarter higher in reaction to the Federal Reserve
leaving interest rates unchanged and a report that the South African Reserve
Bank received a $500 million gold denominated loan. Long copper positions
profited from reports from China on increased production. Gold prices rose on
October 12 as result of heightened tensions between Israel and Palestine, a
surge in crude oil prices and a plunge in global equities. However, within three
days, prices fell below pre-rally levels.

          Trading in the stock index markets was the most unprofitable strategy
for the Fund. Volatile market conditions led to unprofitable positions in the
S&P 500 and the FTSE - Financial Times index - early in the year. Signs of
rising inflation led to losses in Nikkei 225 and S&P 500 positions on
concerns the Federal Reserve will continue to raise interest rates
aggressively to slow the robust economy. The S&P 500 finished September lower
as buyers retreated due to fears of an economic slowdown. The year closed
with losses from DAX German Stock Index and Hang Seng trading.

     1999
<Table>
<Caption>
                                       TOTAL TRADING
                                          RESULTS
<S>                            <C>
Interest Rates                 $           390,642
Stock Indices                             (598,587)
Agriculture                              2,153,572
Currencies                                  96,120
Energy                                   4,089,862
Metals                                  (1,025,850)
                               -------------------
                               $         5,105,759
                               ===================
</Table>

          The Fund finished 1999 with gains in energy, agriculture, interest
rate and currency trading and losses in metals and stock index trading.
Commodities spent 1999 in a transition phase, shifting from bearishness to a
more neutral position. Lack of demand, particularly in Asia, was the dominant
factor in the overall decline in commodity prices. The major surprise in the
oil market in 1999 was OPEC's high level of self-discipline, resulting in
crude oil rallies throughout the year. Interest rate trading was also
profitable for the Fund as the flight to quality in the bond market reversed
during the first half of 1999 and the Federal Reserve raised interest rates
three times during the year.

          Energy trading produced the largest gains during 1999. The Fund
profited from heating oil, crude oil and unleaded gas. Short positions in
heating oil proved most profitable for the Fund in the first quarter of the
year as prices dropped to their lowest levels in more than a decade. Gains in
crude oil and unleaded gas outweighed losses in natural gas trading as the
focus attention in the natural gas markets declined since the end of winter.
The remainder of the year saw the Fund profit from long positions in crude
oil, gasoil and unleaded gas positions as OPEC cut production to 1.716
million barrels per day and this resulted in higher prices for crude. Near
the end of the year, there was a continued upward momentum in crude oil
reflecting the tightening between supply and demand and prices hitting
ten-year highs.

          Trading in agricultural commodities was profitable overall for the
Fund in 1999. During the first half of the year gains in coffee, cocoa and
live cattle positions outweighed losses in corn and live hogs. Agricultural
commodities were weak almost across the board as they were saddled with
supply/demand imbalances and unpredictable weather throughout the world. The
second half of the year produced gains through cocoa and corn positions,
which offset losses in coffee, live hogs and soybean. The anticipation of
a supply/demand imbalance for coffee from an expected 2000-2001 bumper crop in
Brazil pushed prices lower. These losses were outweighed by short positions
in corn and cocoa as excess

                                      -10-
<Page>

supply had speculators selling heavily into the market throughout the fourth
quarter.

          Interest rate trading was volatile during the year as the Federal
Reserve raised interest rates three times and the Japanese government's
continued desire to keep short-term rates at zero loomed over the markets
throughout the year. The Fund generated gains in Japanese ten-year bonds and
U.S. ten-year Treasury notes that outweighed losses in Eurodollars and German
ten-year bonds. Early in the year, the yield on the Japanese government ten-year
bond increased to 1.8% sharply above the record low of 0.695% it reached on
October 7, 1998. This was triggered by the Japanese Trust Fund Bureau's decision
to absorb a smaller share of future issues, leaving the burden of financing
future budget deficits to the private sector. The second half of the year saw
large gains from short positions in U.S. Treasury notes as inflation worries and
fears that the Federal Reserve will continue to tighten rates well into 2000 saw
yields reach new multi-year highs.

          Currency trading produced modest gains during 1999 for the Fund.
The first half of the year saw profitable positions in the Japanese yen and
Euro trading, which slightly outweighed losses in the British pound and short
positions in the Australian dollar. The Australian dollar has been feeling
the pinch of commodity price weakness for a few years but rallied back since
its low in August of 1998. The second half of the year produced mixed
results, as profitable trading in the Japanese yen were offset by losses in
Euro currency trading and the British pound. Long Japanese yen positions
resulted in strong gains as the Bank of Japan refused to ease monetary policy
and investors added to their yen exposure, which reached a two-year high
during the second half of the year. Euro currency trading sustained losses as
it continued to trade in the same choppy pattern that has been evident during
most of 1999.

          Stock index trading was unprofitable throughout the majority of the
year for the Fund as losses in the Hang Seng, Nikkei 255, S&P 500 and CAC 40
offset slight gains in the DAX and FTSE 100. Stock indices continued their
volatile swings throughout the year as the Dow Jones Industrial Average closed
above the 10,000 and 11,000 marks during the year. Positions in the S&P 500,
Nikkei 225 and Hang Seng during second half of the year resulted in losses as
the markets volatility made the trading environment extremely difficult.

          Metals trading generated the largest losses for the Fund in 1999 as
losses in copper, nickel and silver offset gains in aluminum and gold. Gold had
failed to maintain its status as a safety vehicle and a monetary asset during
the first half of 1999. In early June, gold had reached its lowest level in over
20 years. A major statement from the president of the European Central Bank
stated that the member banks had agreed not to expand their gold lending. This
sent gold prices sharply higher in late September. The Fund held long positions
in gold futures at that time. Gold prices had stabilized in the fourth quarter
following the price surge. Early in the year, burdensome warehouse stocks and
questionable demand prospects weighed on base metals as aluminum fell to a
five-year low and copper fell to nearly an 11-year low. The economic scenario
for Asia, Brazil, Europe and emerging market nations helped to keep copper and
other base metals on the defensive as demand receded with virtually no supply
side response in the second quarter. A substantial increase in Chinese imports
combined with the recovery in the rest of Asia and Europe had significantly
improved demand for aluminum pushing prices higher during December.

     VARIABLES AFFECTING PERFORMANCE

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

          During all periods set forth under "Selected Financial Data," the
interest rates in many countries were at unusually low levels. The low
interest rates in the United States negatively impacted revenues because
interest income is typically a major component of the Fund's 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 Fund may be reduced as compared to high yielding and much lower risk
fixed income investments.

          The Fund's Brokerage Commissions and Administrative Fees are a
constant percentage of the Fund's assets allocated to trading. The only Fund
costs (other than the insignificant currency trading costs) which are not based
on a percentage of the Fund's assets (allocated to trading or total) are the
Profit Shares payable to the

                                      -11-
<Page>

Advisors on an Advisor-by-Advisor basis and the Incentive Override. During
periods when Profit Shares are a high percentage of net trading gains, it is
likely that there has been substantial performance non-correlation among the
Advisors (so that the total Profit Shares paid to those Advisors which have
traded profitably are a high percentage, or perhaps even in excess, of the
total profits recognized, as other Advisors have incurred offsetting losses,
reducing overall trading gains but not the Profit Shares paid to the
successful Advisors) -- suggesting the likelihood of generally trendless,
non-consensus markets.

          Unlike many investment fields, there is no meaningful distinction in
the operation of the 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.

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

     LIQUIDITY; CAPITAL RESOURCES

          The Fund borrows only to a limited extent and only on a strictly
short-term basis in order to finance losses on a non-U.S. dollar denominated
trading positions pending the conversion of the Fund's U.S. dollar deposits.
These borrowings are at a prevailing short-term rate in the relevant
currency. They have been immaterial to the Fund's operation to date and are
expected to continue to be so.

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

          Except in very unusual circumstances, the Fund should be able to close
out any or all of its open trading positions and liquidate any or all of its
securities holdings quickly and at market prices. This permits an Advisor to
limit losses as well as reduce market exposure on short notice should its
strategies indicate doing so. In addition, because there is a readily available
market value for the Fund's positions and assets, the Fund's monthly Net Asset
Value calculations are precise, and investors need only wait ten business days
to receive the full redemption proceeds of their Units.

ITEM 7A:   QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

INTRODUCTION

          PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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

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

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

          Value at Risk is a measure of the maximum amount which the Fund could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Fund's speculative trading and the recurrence in the markets
traded by the Fund of market movements far exceeding expectations could result
in actual trading or non-trading losses far beyond the indicated Value at Risk
or the Fund's experience to date (i.e., "risk of ruin"). In light of the
foregoing, as well as the risks and uncertainties intrinsic to all future
projections, the inclusion

                                      -12-
<Page>

of the quantification in this section should not be considered to constitute any
assurance or representations that the Fund's losses in any market sector will be
limited to Value at Risk or by the Fund's attempt to manage market risk.

QUANTIFYING THE FUND'S TRADING VALUE AT RISK

          QUANTITATIVE FORWARD-LOOKING STATEMENTS

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

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

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

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

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

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

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

          The following table indicates the average, highest and lowest trading
Value at Risk associated with the Fund's open positions by market category for
the fiscal years 2001 and 2000. During the fiscal year 2001, the Fund's average
capitalization was approximately $55,652,433. During the fiscal year 2000, the
Fund's average capitalization was approximately $65,365,539.

                                      -13-
<Page>

<Table>
<Caption>
                                       DECEMBER 31, 2001
                                       -----------------
                       AVERAGE     % OF AVERAGE   HIGHEST VALUE     LOWEST VALUE
MARKET SECTOR      VALUE AT RISK  CAPITALIZATION     AT RISK           AT RISK
-------------      -------------  --------------  -------------   --------------
<S>                <C>            <C>            <C>              <C>
Interest Rates     $  1,312,352        2.36%     $  1,971,774     $    719,448
Currencies            1,971,992        3.54%        2,510,890        1,230,825
Stock Indices           361,743        0.65%          691,360          248,503
Metals                  768,283        1.38%        1,191,400          248,450
Agriculture             776,016        1.39%        1,464,090          164,650
Energy                  293,830        0.53%          542,740          120,000
                   ------------  -----------     ------------     ------------
TOTAL              $  5,484,216        9.85%     $  8,372,254     $  2,731,876
                   ============  ===========     ============     ============
</Table>

<Table>
<Caption>
                                       DECEMBER 31, 2000
                                       -----------------
                       AVERAGE     % OF AVERAGE   HIGHEST VALUE     LOWEST VALUE
MARKET SECTOR      VALUE AT RISK  CAPITALIZATION     AT RISK           AT RISK
-------------      -------------  --------------  -------------   --------------
<S>                <C>            <C>            <C>              <C>
Interest Rates     $  1,244,405        1.90%     $  1,716,588     $    926,521
Currencies            1,755,798        2.69%        2,239,566        1,355,039
Stock Indices           437,529        0.67%          582,248          261,424
Metals                  589,009        0.90%          733,295          473,269
Agriculture             397,396        0.61%          563,728          173,326
Energy                  576,088        0.88%          637,450          506,920
                   ------------  -----------     ------------     ------------
TOTAL              $  5,000,225        7.65%     $  6,472,875     $  3,696,499
                   ============  ===========     ============     ============
</Table>

          Average, highest and lowest Value at Risk amounts relate to the
quarter-end amounts for each calendar quarter-end during the fiscal year.
Average Capitalization is the average of the Fund's capitalization at the end of
each calendar quarter of fiscal years 2001 and 2000.

MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK

          The face value of the market sector instruments held by the Fund is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Fund. The
magnitude of the Fund's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions unusual, but historically recurring from time to time
could cause the Fund to incur severe losses over a short period of time. The
foregoing Value at Risk table as well as the past performance of the Fund gives
no indication of this "risk of ruin."

NON-TRADING RISK

          FOREIGN CURRENCY BALANCES; CASH ON DEPOSIT WITH MLPF&S

          The Fund has non-trading market risk on its foreign cash balances not
needed for margin. However, these balances (as well as the market risk they
represent) are immaterial.

          The Fund also has non-trading market risk on the approximately 90%-95%
of its assets which are held in cash at MLPF&S. The value of this cash is not
interest rate sensitive, but there is cash flow risk in that if interest rates
decline so will the cash flow generated on these monies. This cash flow risk is
immaterial.

QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES

                                      -14-
<Page>

          The following qualitative disclosures regarding the Fund's market risk
exposures except for (i) those disclosures that are statements of historical
fact and (ii) the descriptions of how the Fund manages its primary market risk
exposure constitute forward-looking statements within the meaning of Section 27A
of the Securities Act and Section 21E of the Securities Exchange Act. The Fund's
primary market risk exposures as well as the strategies used and to be used by
MLIM AS LLC and the Advisors for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual
results of the Fund's risk controls to differ materially from the objectives of
such strategies. Government interventions, defaults and expropriations, illiquid
markets, the emergence of dominant fundamental factors, political upheavals,
changes in historical price relationships, an influx of new market participants,
increased regulation and many other factors could result in material losses as
well as in material changes to the risk exposures and the risk management
strategies of the Fund. There can be no assurance that the Fund's current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term.
Investors must be prepared to lose all or substantially all of their investment
in the Fund.

          The following were the primary trading risk exposures of the Fund as
of December 31, 2001, by market sector.

          INTEREST RATES.

          Interest rate risk is the principal market exposure of the Fund.
Interest rate movements directly affect the price of derivative sovereign bond
positions held by the Fund and indirectly the value of its stock index and
currency positions. Interest rate movements in one country as well as relative
interest rate movements between countries materially impact the Fund's
profitability. The Fund's primary interest rate exposure is to interest rate
fluctuations in the United States and the other G-7 countries. However, the Fund
also takes positions in the government debt of smaller nations e.g., New Zealand
and Australia. MLIM AS LLC anticipates that G-7 interest rates will remain the
primary market exposure of the Fund for the foreseeable future.

          CURRENCIES.

          The Fund trades in a large number of currencies. However, the
Fund's major exposures have typically been in the U.S.dollar/Japanese yen,
U.S. dollar/Euro and U.S. dollar/British pound positions. MLIM AS LLC does
not anticipate that the risk profile of the Fund's currency sector will
change significantly in the future. The currency trading Value at Risk figure
includes foreign margin amounts converted into U.S. dollars with an
incremental adjustment to reflect the exchange rate risk of maintaining Value
at Risk in a functional currency other than U.S. dollars.

          STOCK INDICES.

          The Fund's primary equity exposure is to G-7 equity index price
movements. As of December 31, 2001, the Fund's primary exposures were in the S&P
200, Financial Times (England), Nikkei (Japan) and DAX (Germany) stock indices.
MLIM AS LLC anticipates little, if any, trading in non-G-7 stock indices. The
Fund is primarily exposed to the risk of adverse price trends or static markets
in the major U.S., European and Asian indices.

          METALS.

          The Fund's primary metals market exposure is to fluctuations in the
price of gold and silver. Although certain of the Advisors will from time to
time trade base metals such as aluminum, nickel, copper and zinc, the principal
market exposures of the Fund have consistently been in the precious metals, gold
and silver (and, to an extent, platinum). MLIM AS LLC anticipates that gold and
silver will remain the primary metals market exposure for the Fund.

          COMMODITIES.

          The Fund's primary commodities exposure is to agricultural price
movements which are often directly affected by severe or unexpected weather
conditions. Soybeans, grains, coffee and livestock accounted for the
substantial bulk of the Fund's commodities exposure as of December 31, 2001.
In the past, the Fund has had material market exposure to orange juice and
cotton and may do so again in the future. However, MLIM AS LLC anticipates
that the Advisors will maintain an emphasis on soybeans and grains, in which
the Fund has historically taken its largest positions.

          ENERGY.

          The Fund's primary energy market exposure is to natural gas and oil
price movements, often resulting from political developments in the Middle
East and weather predictions. Oil prices can be volatile and substantial profits
and losses have been and are expected to continue to be experienced in this
market.


                                      -15-
<Page>

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

          The following were the only non-trading risk exposures of the Fund as
of December 31, 2001.

          FOREIGN CURRENCY BALANCES.

          The Fund's primary foreign currency balances are in Japanese yen,
British pounds and Euros. The Fund has minimal exchange rate exposure on these
balances.

          U.S. DOLLAR BALANCES.

          The Fund holds its U.S. dollars in cash at MLPF&S. The Fund has
immaterial cash-flow and interest-rate risk on its cash on deposit with MLPF&S
in that declining interest rates would cause the income from such cash to
decline.

QUALITATIVE DISCLOSURES REGARDING MEANS OF MANAGING RISK EXPOSURE

TRADING RISK

          MLIM AS LLC has procedures in place intended to control market risk
exposure, although there can be no assurance that they will, in fact, succeed in
doing so. These procedures focus primarily on monitoring the trading of the
Advisors selected from time to time for the Fund, and reviewing outstanding
positions for over-concentrations both on an Advisor-by-Advisor and on an
overall Fund basis. While MLIM AS LLC does not itself intervene in the markets
to hedge or diversify the Fund's market exposure, MLIM AS LLC may urge Advisors
to reallocate positions, or itself reallocate Fund assets among Advisors
(although typically only as of the end of a month), in an attempt to avoid
over-concentrations. However, such interventions are unusual.

          At the Advisor level, each Advisor applies its own risk management
policies to its trading. These policies generally limit the total exposure that
may be taken per "risk unit" of assets under management. In addition, many
Advisors follow diversification guidelines (often formulated in terms of the
maximum margin which they will commit to positions in any one contract or group
of related contracts), as well as imposing "stop-loss" points at which open
positions must be closed out. Occasionally, Advisors will limit the market
exposure of their Fund account through acquiring put or call options which
"collar" the risk of open positions. However, because of the typically high
degree of liquidity in the markets traded by the Fund and the expense of
acquiring options, most Advisors rely simply on stop-loss policies, requiring
the liquidation of positions once losses of a certain magnitude have been
incurred.

          Certain Advisors treat their risk control policies as strict rules;
others only as general guidelines for controlling risk.

     NON-TRADING RISK

          The Fund controls the non-trading exchange rate risk of its foreign
currency balances by regularly converting these balances back into U.S. dollars
(no less frequently than twice a month, and more frequently if a particular
foreign currency balance becomes unusually high).

          The Fund has cash flow interest rate risk on its cash on deposit with
MLPF&S in that declining interest rates would cause the income from such cash to
decline. However, a certain amount of cash or cash equivalents must be held by
the Fund in order to facilitate margin payments and pay expenses and
redemptions. MLIM AS LLC does not take any steps to limit the cash flow risk on
its cash held on deposit at MLPF&S.

                                      -16-
<Page>

ITEM 8:    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

SELECTED QUARTERLY FINANCIAL DATA
     ML GLOBAL HORIZONS LP


Net Income by Quarter
Eight Quarters through December 31, 2001
<Table>
<Caption>
                          FOURTH        THIRD       SECOND        FIRST          FOURTH       THIRD         SECOND         FIRST
                         QUARTER       QUARTER     QUARTER       QUARTER        QUARTER      QUARTER       QUARTER        QUARTER
                           2001          2001        2001         2001            2000         2000          2000           2000
                           ----          ----        ----         ----            ----         ----          ----           ----
<S>                   <C>           <C>          <C>           <C>           <C>          <C>            <C>            <C>
Total Income          $   (19,190)  $ 3,166,753  $(1,649,199)  $ 6,540,580   $ 8,419,675  $   423,884    $   383,383    $   741,881
Total Expenses            880,946     1,546,351      507,877     2,866,345     1,862,770    1,227,709      1,241,069      1,536,462
-----------------------------------------------------------------------------------------------------------------------------------
Net Income            $  (900,136)  $ 1,620,402  $(2,157,076)  $ 3,674,235   $ 6,556,905  $  (803,825)   $  (857,686)   $  (794,581)

Net Income per Unit   $     (3.16)  $      5.51  $     (7.03)  $     11.23   $     18.47  $     (2.09)   $     (2.10)   $     (1.73)
</Table>

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

          The supplementary financial information ("information about oil and
gas producing activities") specified by Item 302 of Regulation S-K is not
applicable. MLIM AS LLC promoted the Fund and is its controlling person.

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

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

                                      -17-
<Page>

                                    PART III

ITEM 10:   DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

10(a) and 10(b)  IDENTIFICATION OF DIRECTORS AND EXECUTIVE OFFICERS:

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

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

FABIO P. SAVOLDELLI   Chairman, Chief Executive Officer and Manager

ROBERT M. ALDERMAN    Manager

FRANK M. MACIOCE      Vice President and Manager

STEVEN B. OLGIN       Vice President, Chief Administrative Officer and Manager

MICHAEL L. PUNGELLO   Vice President, Chief Financial Officer and Treasurer

          Fabio P. Savoldelli was born in 1961. Mr. Savoldelli is Chairman,
Chief Executive Officer and a Manager of MLIM AS LLC. He oversees the Fund's
investments. Most recently, Mr. Savoldelli was Chief Investment Officer for
the Americas at the Chase Manhattan Private Bank, responsible for managers
investing assets in international and domestic institutional, private client
and ERISA funds. Previously, he was Deputy Chief Investment Officer and Head
of Fixed Income and Foreign Exchange at Swiss Bank Corp. London Portfolio
Management International. Mr. Savoldelli was educated at the University of
Windsor, Canada, and the London School of Economics.

          Effective March 1, 2002, Mr. Robert M. Alderman was elected a
Manager of MLIM AS LLC. Mr. Alderman was born in 1960. Mr. Alderman is a
Managing Director of MLIM and global head of Retail Sales and Business
Management for Alternative Investments. Prior to re-joining Merrill Lynch and
the International Private Client Group in 1999, he was a partner in the
Nashville, Tennessee based firm of J.C. Bradford & Co. where he was the
Director of Marketing, and a National Sales Manager for Prudential
Investments. Mr. Alderman first joined Merrill Lynch in 1987 where he worked
until 1997. During his tenure at Merrill Lynch, Mr. Alderman has held
positions in Financial Planning, Asset Management and High Net Worth
Services. He received his Masters of Business Administration from the Carroll
School of Management Boston College and a Bachelor of Arts from Clark
University. Mr. Alderman was elected as a Manager effective March 1, 2002.

          Frank M. Macioce was born in 1945. Mr. Macioce is a Vice President and
a Manager of MLIM AS LLC and the senior legal counsel responsible for
Alternative Investments. He joined MLIM in February 2000. From 1995 to 2000, Mr.
Macioce was General Counsel of Operations, Services and Technology for Merrill
Lynch, and from 1993 to 1995 served as Merrill Lynch Investment Banking General
Counsel. From 1980 to 1993 he served as Assistant General Counsel of Merrill
Lynch responsible for Corporate Law. During his 28 years with Merrill Lynch, he
has served as a director and officer of a number of its affiliates. Mr. Macioce
graduated from Purdue University with a Bachelor of Science in Economics and
Psychology in 1967 and from Vanderbilt Law School with a Juris Doctor in 1972.
Mr. Macioce is a member of the New York Bar.

          Steven B. Olgin was born in 1960. Mr. Olgin is a Vice President,
Chief Adminstrative Officer and a Manager of MLIM AS LLC. He joined MLIM AS
LLC 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 in Business Administration and a Bachelor of Arts in Economics. In
1986, he received his Juris Doctor from The John Marshall Law School. Mr.
Olgin is a member of the Managed Funds Association's Government Relations
Committee and has served as an arbitrator for the National Futures
Association. Mr. Olgin is a member of the Illinois Bar.

          Michael L. Pungello was born in 1957. Mr. Pungello is a Vice
President, Chief Financial Officer and Treasurer of MLIM AS LLC. He was First
Vice President and Senior Director of Finance for Merrill Lynch's Operations,
Services and Technology Group from January 1998 to March 1999. Prior to that,
Mr. Pungello spent over 18 years with Deloitte & Touche LLP, and was a
partner in their financial services practice from June 1990 to December 1997.
He graduated from Fordham University in 1979 with a Bachelor of Science in
Accounting and received his Master's of Business Administration in Finance from
New York University in 1987.

          As of December 31, 2001, MLIM AS LLC's general partner interest in the
Fund was valued at approximately $562,414.

                                      -18-
<Page>

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

     (c)  IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

                         None.

     (d)  FAMILY RELATIONSHIPS:

                         None.

     (e)  BUSINESS EXPERIENCE:

                         See Items 10 (a) and 10(b) above.

     (f)  INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

                         None.

     (g)  PROMOTERS AND CONTROL PERSONS:

                         Not applicable.

ITEM 11:   EXECUTIVE COMPENSATION

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

ITEM 12:   SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

     (a)  SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

          As of December 31, 2001, no person or "group" is known to be or have
been the beneficial owner of more than 5% of the Units.

     (b)  SECURITY OWNERSHIP OF MANAGEMENT:

          As of December 31, 2001, MLIM AS LLC owned 3,025 Units
(unit-equivalent general partnership interests), which was approximately
1.09% of the total Units outstanding.

     (c)  CHANGES IN CONTROL:

          None.

ITEM 13:   CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

     (a)  TRANSACTIONS BETWEEN MERRILL LYNCH AND THE FUND

          All of the service providers to the Fund, other than the Advisors, are
affiliates of Merrill Lynch. Merrill Lynch negotiated with the Advisors over the
level of its advisory fees and Profit Share. However, none of the

                                      -19-
<Page>

fees paid by the Fund to any Merrill Lynch party were negotiated, and they are
higher than would have been obtained in arm's-length bargaining.

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

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

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

          MLIM AS LLC pays substantial selling commissions and trailing
commissions to MLPF&S for distributing the Units. MLIM AS LLC is ultimately
paid back for these expenditures from the revenues it receives from the Fund.

     (b)  CERTAIN BUSINESS RELATIONSHIPS:

          MLPF&S, an affiliate of MLIM AS LLC, acts as the principal commodity
broker for the Fund.

          In 2001, the Fund expensed: (i) Brokerage Commissions of $4,136,863,
which included $772,257 in consulting fees earned by the Advisors; and (ii)
Administrative Fees of $142,650 to MLIM AS LLC. In addition, MLIM AS LLC and its
affiliates may have derived certain economic benefits from possession of the
Fund's assets, as well as from foreign exchange and EFP trading.

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

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

     (c)  INDEBTEDNESS OF MANAGEMENT:

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

     (d)  TRANSACTIONS WITH PROMOTERS:

          Not applicable.

                                      -20-
<Page>

                                     PART IV

ITEM 14:   EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

<Table>
     (a)1. FINANCIAL STATEMENTS (FOUND IN EXHIBIT 13.01):                         PAGE
           ----------------------------------------------                         ----
<S>                                                                              <C>
           Independent Auditors' Report                                             1
           Financial Statements
           Statements of Financial Condition as of December 31, 2001 and 2000       2

           Statements of Income For the years ended December 31, 2001, 2000
           and 1999                                                                 3
           Statements of Changes in Partners' Capital For the years ended
           December 31, 2001, 2000 and 1999                                         4

           Financial Data Highlights for the year ended December 31, 2001           5

           Notes to Financial Statements                                         6-10
</Table>

     (a)2.        FINANCIAL STATEMENT SCHEDULES:

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

     (a)3. EXHIBITS:

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

DESIGNATION              DESCRIPTION

1.01                     Selling Agreement among the Fund, MLIM AS LLC,
                         MLPF&S, the Selling Agent and the 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 Fund.

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 Fund, dated July 27, 1995.

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

10.01(d)                 Form of Advisory Agreement between the Fund, MLIM
                         Alternative Strategies LLC, MLPF&S and prospective
                         trading advisors.

                                    -21-
<Page>

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 Advisor,
                         the Fund and MLPF&S.

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 Fund and
                         MLPF&S.

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 in the Registrant's Registration Statement
                         (as Exhibit D).

10.06                    Foreign Exchange Desk Service Agreement, dated July 1,
                         1993 among Merrill Lynch International Bank, MLIM
                         Alternative Strategies LLC, MLPF&S 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 MLIM Alternative Strategies LLC, each Advisor,
                         the Fund and MLPF&S.

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

13.01                    2001 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 2001.

                                      -22-
<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:  MLIM ALTERNATIVE STRATEGIES LLC
                               (formerly Merrill Lynch Investment Partners Inc.)
                                    General Partner

                               By: /s/ Fabio P. Savoldelli
                                   -----------------------
                               Fabio P. Savoldelli
                               Chairman, Chief Executive Officer and Manager
                               (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 29, 2002 by the
following persons on behalf of the Registrant and in the capacities indicated.

<Table>
<Caption>
SIGNATURE                           TITLE                                                          DATE
---------                           -----                                                          ----
<S>                                 <C>                                                            <C>
/s/Fabio P. Savoldelli              Chairman, Chief Executive Officer and Manager                  March 29, 2002
----------------------              (Principal Executive Officer)
Fabio P. Savoldelli

/s/ Robert M. Alderman              Manager                                                        March 29, 2002
----------------------
Robert M. Alderman

/s/Steven B. Olgin                  Vice President, Chief Administrative Officer and Manager      March 29, 2002
------------------
Steven B. Olgin

/s/Michael L. Pungello              Vice President, Chief Financial Officer and Treasurer          March 29, 2002
----------------------              (Principal Financial and Accounting Officer)
Michael L. Pungello
</Table>

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the managers of MLIM Alternative Strategies LLC).

<Table>
<S>                                         <C>                                                    <C>
MLIM ALTERNATIVE                            General Partner of Registrant                          March 29, 2002
STRATEGIES LLC
</Table>

By: /s/ Fabio P. Savoldelli
    -------------------------
      Fabio P. Savoldelli

                                      -23-
<Page>

                             ML GLOBAL HORIZONS L.P.

                                 2001 FORM 10-K

                                INDEX TO EXHIBITS


                          EXHIBIT

Exhibit 13.01             2001 Annual Report and Independent Auditors' Report



                                      -24-