<Page>






                    THE S.E.C.T.O.R. STRATEGY FUND(SM) L.P.
                    (A DELAWARE LIMITED PARTNERSHIP)



                    Financial Statements for the years ended
                    December 31, 2001, 2000 and 1999 and
                    Independent Auditors' Report






[MERRILL LYNCH LOGO]


<Page>

THE S.E.C.T.O.R. STRATEGY FUND(SM) L.P.
(A DELAWARE LIMITED PARTNERSHIP)

TABLE OF CONTENTS

<Table>
<Caption>
                                                                                                       Page
                                                                                                       ----
<S>                                                                                                    <C>
INDEPENDENT AUDITORS' REPORT                                                                              1

FINANCIAL STATEMENTS:

  Statements of Financial Condition as of December 31, 2001 and 2000                                      2

  Statements of Operations 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                                                                        6-12

</Table>

<Page>

INDEPENDENT AUDITORS' REPORT




To the Partners of
  The S.E.C.T.O.R. Strategy Fund(SM) L.P.:

We have audited the accompanying statements of financial condition of The
S.E.C.T.O.R. Strategy Fund(SM) L.P. (the "Partnership") as of December 31, 2001
and 2000 and the related statements of operations and of changes in partners'
capital for each of the three years in the period ended December 31, 2001, and
the financial data highlights for the year ended December 31, 2001. These
financial statements and financial data highlights are the responsibility of the
Partnership's management. Our responsibility is to express an opinion on these
financial statements and financial data highlights based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial data highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial data highlights present
fairly, in all material respects, the financial position of The S.E.C.T.O.R.
Strategy Fund(SM) L.P. as of December 31, 2001 and 2000, and the results of its
operations and changes in its partners' capital and the financial data
highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America.


DELOITTE & TOUCHE LLP


New York, New York
February 5, 2002


<Page>

THE S.E.C.T.O.R. STRATEGY FUND(SM) L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2001 AND 2000

<Table>
<Caption>

ASSETS                                                    2001          2000
                                                       -----------   -----------
<S>                                                    <C>           <C>
Investment in MM LLC (Note 7)                          $ 9,528,485   $10,521,796
Receivable from investment in MM LLC (Note 7)              102,231       110,606
                                                       -----------   -----------

                TOTAL                                  $ 9,630,716   $10,632,402
                                                       ===========   ===========

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
    Redemptions payable (Note 1)                       $   102,231   $   110,606
                                                       -----------   -----------

            Total liabilities                              102,231       110,606
                                                       -----------   -----------

PARTNERS' CAPITAL:
    General Partner (517 Units and 576 Units)              103,027       113,763
    Limited Partners (47,298 Units and 52,695 Units)     9,425,458    10,408,033
                                                       -----------   -----------

            Total partners' capital                      9,528,485    10,521,796
                                                       -----------   -----------

                TOTAL                                  $ 9,630,716   $10,632,402
                                                       ===========   ===========

NET ASSET VALUE PER UNIT
(Based on 47,815 and 53,271 Units outstanding)         $    199.28   $    197.51
                                                       ===========   ===========
</Table>

See notes to financial statements.


                                       2
<Page>

THE S.E.C.T.O.R. STRATEGY FUND(SM) L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2001, 2000 AND 1999

<Table>
<Caption>
                                                       2001        2000        1999
                                                     ---------   ---------   ---------
<S>                                                  <C>         <C>         <C>
INCOME (LOSS) FROM INVESTMENT (Note 7)               $  99,245   $ 478,914   $(203,566)
                                                     ---------   ---------   ---------
NET INCOME (LOSS)                                    $  99,245   $ 478,914   $(203,566)
                                                     =========   =========   =========
NET INCOME (LOSS) PER UNIT:

    Weighted average number of General Partner and
    Limited Partner Units outstanding (Note 5)          50,642      63,467      87,544
                                                     =========   =========   =========

    Net income (loss) per weighted average
    General Partner and Limited Partner Unit         $    1.96   $    7.55   $   (2.33)
                                                     =========   =========   =========
</Table>

See notes to financial statements.


                                       3
<Page>

THE S.E.C.T.O.R. STRATEGY FUND(SM) L.P.
(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2001, 2000 AND 1999

<Table>
<Caption>
                                       General        Limited
                           Units       Partner        Partners          Total
                          ---------   -----------   -------------   -------------
<S>                       <C>         <C>           <C>             <C>
PARTNERS' CAPITAL
  DECEMBER 31, 1998        100,085    $  222,668    $ 18,712,013    $ 18,934,681

Net loss                        --        (3,218)       (200,348)       (203,566)

Redemptions                (25,466)      (18,073)     (4,760,555)     (4,778,628)
                          ---------   -----------   -------------   -------------
PARTNERS' CAPITAL
  DECEMBER 31, 1999         74,619       201,377      13,751,110      13,952,487

Net income                      --         5,741         473,173         478,914

Redemptions                (21,348)      (93,355)     (3,816,250)     (3,909,605)
                          ---------   -----------   -------------   -------------
PARTNERS' CAPITAL
  DECEMBER 31, 2000         53,271       113,763      10,408,033      10,521,796

Net income                      --         1,649          97,596          99,245

Redemptions                 (5,456)      (12,385)     (1,080,171)     (1,092,556)
                          ---------   -----------   -------------   -------------
PARTNERS' CAPITAL
  DECEMBER 31, 2001         47,815    $  103,027    $  9,425,458    $  9,528,485
                          =========   ===========   =============   =============
</Table>

See notes to financial statements.


                                       4
<Page>

THE S.E.C.T.O.R. STRATEGY FUND(SM) L.P.
(A DELAWARE LIMITED PARTNERSHIP)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2001

The following per unit data and ratios have been derived from information
provided in the financial statements.

<Table>
<Caption>
                                                2001
                                              --------
<S>                                           <C>
Increase (Decrease) in Net Asset Value

PER SHARE OPERATING PERFORMANCE:

Net asset value, beginning of period          $ 197.51

Realized trading profit                          29.58
Change in unrealized                            (13.00)
Interest income                                   6.89
Expenses                                        (21.70)
                                              --------

Net asset value, end of period                $ 199.28
                                              ========

Total investment return, compounded monthly       0.90%
                                              ========

RATIOS TO AVERAGE NET ASSETS:

Expenses                                         10.85%
                                              ========

Net income                                        0.98%
                                              ========
</Table>

See notes to financial statements.


                                       5
<Page>

THE S.E.C.T.O.R. STRATEGY FUND(SM) L.P.
(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS

1.    SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

      ORGANIZATION

      The S.E.C.T.O.R. Strategy Fund(SM) L.P. (the "Partnership") was organized
      under the Delaware Revised Uniform Limited Partnership Act on April 30,
      1990 and commenced trading activities on July 16, 1990. The Partnership
      engages, through an investment in a limited liability company (see below),
      in the speculative trading of futures, options on futures, forwards and
      options on forward contracts on a wide range of commodities. 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 Partnership. Merrill Lynch, Pierce, Fenner &
      Smith Incorporated ("MLPF&S"), the successor to Merrill Lynch Futures Inc.
      ("MLF") by merger, is the Partnership's commodity broker. MLIM AS LLC has
      agreed to maintain a general partner's interest of at least 1% of the
      total capital of the Partnership. MLIM AS LLC and each Limited Partner
      share in the profits and losses of the Partnership in proportion to their
      respective interests in it.

      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 Partnership'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 Partnership. The terms of the
      agreements remained unchanged and the merger had no effect on the terms on
      which the Partnership's transactions were executed.

      Many of the multi-advisor funds (the "Multi-Advisor Funds") sponsored by
      MLIM AS LLC, including the Partnership, allocate their assets to a number
      of the same independent advisors (the "Advisors"). These Multi-Advisor
      Funds invest in a limited liability company, ML Multi-Manager Portfolio
      LLC ("MM LLC"), a Delaware limited liability company, which operates a
      single account with each Advisor selected. MM LLC is managed by MLIM AS
      LLC, has no investors other than the Multi-Advisor Funds and serves solely
      as the vehicle through which the assets of such Multi-Advisor Funds are
      combined in order to be managed through single rather than multiple
      accounts. As of September 2000, two additional Multi-Advisor Funds were
      added to MM LLC. The placement of assets into MM LLC did not change the
      operations or fee structure of the Partnership. The following notes relate
      to the operation of the Partnership through its investment in MM LLC. The
      administrative authority over the Partnership remains with MLIM AS LLC.
      MLIM AS LLC, on an ongoing basis, may change the number of Multi-Advisor
      Funds investing in MM LLC. As of December 31, 2001, 2000, and 1999, the
      Partnership's percentage ownership share of MM LLC was 4.73%, 4.25%, and
      14.24%, respectively.

      MLIM AS LLC selects the Advisors to manage MM LLC's assets, and allocates
      and reallocates such trading assets among existing, replacement and
      additional Advisors.


                                       6
<Page>

      ESTIMATES

      The preparation of financial statements in conformity with accounting
      principles generally accepted in the United States of America requires
      management to make estimates and assumptions that affect the reported
      amounts of assets and liabilities and disclosure of contingent assets and
      liabilities at the date of the financial statements and the reported
      amounts of revenues and expenses during the reporting period. Actual
      results could differ from those estimates.

      CASH MANAGEMENT

      As of June 2000, the Partnership, through MM LLC, began an Income
      Enhancement Program, whereas a portion of its assets could be invested in
      Commercial Paper. This was done to improve the yield on the cash assets
      not required for margin for trading purposes at MLPF&S. These holdings
      generally have maturities of 30, 60 or 90 days and are held to maturity.
      As of December 31, 2001, the Income Enhancement Program is inactive.

      REVENUE RECOGNITION

      Commodity futures, options on futures, forwards and options on forward
      contracts are recorded on the trade date and open contracts are reflected
      in net unrealized profit (loss) on open contracts in the Statements of
      Financial Condition of MM LLC at the difference between the original
      contract value and the market value (for those commodity interests for
      which market quotations are readily available) or at fair value. The
      change in unrealized profit (loss) on open contracts from one period to
      the next is reflected in Change in unrealized under Trading profit (loss)
      in the Statements of Operations of MM LLC. See Note 7 for discussion of
      revenue recognition for the Partnership's investment in MM LLC.

      FOREIGN CURRENCY TRANSACTIONS

      The Partnership's functional currency is the U.S. dollar; however, it
      transacts business in currencies other than the U.S. dollar through MM
      LLC. Assets and liabilities denominated in currencies other than the U.S.
      dollar are translated into U.S. dollars at the rates in effect at the
      dates of the Statements of Financial Condition. Income and expense items
      denominated in currencies other than the U.S. dollar are translated into
      U.S. dollars at the rates in effect during the period. Gains and losses
      resulting from the translation to U.S. dollars are reported in total
      trading results.

      OPERATING EXPENSES

      MLIM AS LLC pays for all routine operating costs (including legal,
      accounting, printing, postage and similar administrative expenses) of the
      Partnership. MLIM AS LLC receives an administrative fee as well as a
      portion of the brokerage commissions paid to MLPF&S, by the Partnership,
      through MM LLC (see Note 3).

      No selling commissions have been or are paid directly by Limited Partners.
      All selling commissions are paid by MLIM AS LLC.

      INCOME TAXES

      No provision for income taxes has been made in the accompanying financial
      statements as each Partner is individually responsible for reporting
      income or loss based on such Partner's respective share of the
      Partnership's income and expenses as reported for income tax purposes.

                                       7
<Page>

      DISTRIBUTIONS

      The Limited Partners are entitled to receive, equally per Unit, any
      distribution which may be made by the Partnership. No such distributions
      have been declared for the years ended December 31, 2001, 2000 or 1999.

      REDEMPTIONS

      A Limited Partner may redeem some or all of such Partner's Units at Net
      Asset Value as of the close of business on the last business day of any
      month upon ten calendar days' notice.

      DISSOLUTION OF THE PARTNERSHIP

      The Partnership will terminate on December 31, 2010 or at an earlier date
      if certain conditions occur, as well as under certain other circumstances
      as set forth in the Limited Partnership Agreement.

2.    CONDENSED SCHEDULE OF INVESTMENTS

      In March 2001, the American Institute of Certified Public Accountants'
      Accounting Standards Executive Committee issued Statement of Position
      ("SOP") 01-1, "Amendment to Scope of Statement of Position 95-2, Financial
      Reporting by Nonpublic Investment Partnerships, to Include Commodity
      Pools" effective for fiscal years ending after December 15, 2001.
      Accordingly, commodity pools are now required to include a condensed
      schedule of investments identifying those investments, which constitute
      more than 5% of net assets, taking long and short positions into account
      separately.

      The Partnership's investments, through MM LLC, defined as Net unrealized
      profit on open contracts in the Statement of Financial Condition for MM
      LLC, as of December 31, 2001 is as follows.

<Table>
<Caption>
                                     LONG POSTIONS                    SHORT POSITIONS
                                     -------------                    ---------------               NET UNREALIZED
                                UNREALIZED    PERCENT OF          UNREALIZED    PERCENT OF         PROFIT (LOSS) ON   PERCENT OF
COMMODITY INDUSTRY SECTOR     PROFIT (LOSS)   NET ASSETS        PROFIT (LOSS)   NET ASSETS          OPEN POSITIONS    NET ASSETS
-------------------------     -------------   ----------        -------------   ----------          --------------    ----------
<S>                           <C>              <C>              <C>              <C>                <C>                 <C>
Agriculture                   $   (98,523)        -0.05%         $   278,886        0.14%            $   180,363          0.09%
Currencies                       (518,547)        -0.26%         $ 3,164,842        1.57%              2,646,295          1.31%
Energy                             (8,555)         0.00%         $  (109,665)      -0.05%               (118,220)        -0.06%
Interest rates                   (310,862)        -0.15%         $   159,725        0.08%               (151,137)        -0.08%
Metals                           (227,476)        -0.11%         $  (421,110)      -0.21%               (648,586)        -0.32%
Stock indices                     151,168          0.08%         $    17,656        0.01%                168,824          0.08%
                              -----------                        -----------                         -----------
Total                         $(1,012,795)        -0.50%         $ 3,090,334        1.53%            $ 2,077,539          1.03%
                              ===========                        ===========                         ===========
</Table>

3.    RELATED PARTY TRANSACTIONS

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

      Merrill Lynch charges the Partnership, through MM LLC, Merrill Lynch's
      cost of financing realized and unrealized losses on MM LLC's non-U.S.
      dollar-denominated positions.

      Through its investment in MM LLC, the Partnership pays brokerage
      commissions to MLPF&S at a flat monthly rate equal to .729 of 1% (an 8.75%
      annual rate), and pays MLIM AS LLC a monthly administrative fee of .021 of
      1% (a 0.25% annual rate) of the Partnership's month-end assets invested in
      MM LLC. Month-end assets are not reduced for purposes of calculating
      brokerage commissions and administrative fees by any accrued brokerage
      commissions, administrative fees, Profit Shares or other fees or charges.

      MLIM AS LLC estimates that the aggregate round-turn commission rates of MM
      LLC for the years ended December 31, 2001, 2000 and 1999 are $64, $82 and
      $136, respectively.

                                       8
<Page>

      MLPF&S currently pays the Advisors, through MM LLC, annual Consulting Fees
      up to 2.00% of the Partnership's average month-end assets allocated to
      them for management, after reduction for a portion of the brokerage
      commissions.

4.    ADVISORY AGREEMENTS

      Pursuant to the Advisory Agreements among the Advisors, MM LLC and MLIM AS
      LLC, the Advisors determine the commodity futures, options on futures,
      forwards and options on forward contracts traded on behalf of MM LLC,
      subject to certain rights reserved by MLIM AS LLC. The Advisory Agreements
      generally renew annually after they are entered into, subject to certain
      renewal rights.

      Profit Shares, currently ranging from 20% to 23% of any New Trading
      Profit, as defined, recognized by each Advisor considered individually
      irrespective of the overall performance of the Partnership, either as of
      the end of each calendar quarter or year and upon the net reallocation of
      assets away from an Advisor, are paid by MM LLC to each of the Advisors.
      Profit Shares are also paid out in respect of Units redeemed as of the end
      of interim months, to the extent of the applicable percentage of any New
      Trading Profit attributable to such Units.

5.    WEIGHTED AVERAGE UNITS

      The weighted average number of Units outstanding was computed for purposes
      of calculating net income (loss) per weighted average Unit. The weighted
      average number of Units outstanding for the years ended December 31, 2001,
      2000 and 1999 equals the Units outstanding, as of such date, adjusted
      proportionately for Units redeemed based on the respective length of time
      each was outstanding during the year.

6.    MERRILL LYNCH & CO., INC. GUARANTEE

      Merrill Lynch had guaranteed to the Partnership that it would have
      sufficient Net Assets as of the Principal Assurance Date that the Net
      Asset Value per Unit as of such Principal Assurance Date would equal,
      after adjustment for all liabilities to third parties, no less than the
      minimum assured Net Asset Value per Unit. Effective October 1, 1999, the
      Partnership restarted its trading program for a fourth Time Horizon of two
      years' duration and a new Principal Assurance Date of September 30, 2001,
      with a minimum assured Net Asset Value per Unit of $148.65. On September
      30, 2001, the Partnership did not renew its guarantee. Therefore, Limited
      Partners no longer have any assurance of a minimum Net Asset Value per
      Unit if they remain in the Partnership until a stated date in the future.

7.    INVESTMENT IN MM LLC

      The investment in MM LLC is reflected in the financial statements at fair
      value based upon the Partnership's interest in MM LLC. Fair value of the
      investment in MM LLC is equal to the market value of the net assets of MM
      LLC allocable to the Partnership as an investor. The resulting difference
      between cost and fair value is reflected on the Statements of Operations
      as Income (loss) from investment.


                                       9
<Page>

Total revenues and fees with respect to such investment were as follows:

<Table>
<Caption>
                                      FOR THE YEAR ENDED     FOR THE YEAR ENDED     FOR THE YEAR ENDED
                                       DECEMBER 31, 2001      DECEMBER 31, 2000      DECEMBER 31, 1999
                                      ------------------     ------------------     ------------------
<S>                                   <C>                    <C>                    <C>

Realized Profit                       $       1,527,372      $          432,373     $          502,980
Change in Unrealized Profit (Loss)             (676,917)                625,235                 80,383
Interest Income                                 351,782                 664,159                780,021

Brokerage Commissions                           881,767                 987,594              1,448,194
Administrative Fees                              25,193                  28,217                 41,377
Profit Shares                                   196,032                 227,042                 77,379
                                      ------------------     ------------------     ------------------

Income/(Loss) from Investment         $          99,245      $          478,914     $         (203,566)
                                      ==================     ==================     ==================
</Table>

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

<Table>
<Caption>
                                    DECEMBER 31, 2001      DECEMBER 31, 2000
                                   ------------------     ------------------
<S>                                <C>                    <C>
Assets                             $      207,788,190     $      252,995,756
                                   ==================     ==================

Liabilities                        $        6,324,407     $        5,383,789
Members' Capital                          201,463,783            247,611,967
                                   ------------------     ------------------

Total                              $      207,788,190     $      252,995,756
                                   ==================     ==================
</Table>

<Table>
<Caption>
                                   FOR THE YEAR ENDED     FOR THE YEAR ENDED     FOR THE YEAR ENDED
                                    DECEMBER 31, 2001      DECEMBER 31, 2000      DECEMBER 31, 1999
                                   ------------------     ------------------     ------------------
<S>                                <C>                    <C>                    <C>

Revenues                           $       22,936,034     $       28,324,323     $        9,090,190

Expenses                                   17,756,465             13,557,899             10,152,017
                                   ------------------     ------------------     ------------------

Net Income (Loss)                  $        5,179,569     $       14,766,424     $       (1,061,827)
                                   ==================     ==================     ==================
</Table>


                                      10
<Page>

8.    FAIR VALUE AND OFF-BALANCE SHEET RISK

      The nature of this Partnership has certain risks, which cannot be
      presented on the financial statements. The following summarizes some of
      those risks.

      MARKET RISK

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

      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 by the Partnership or
      MM LLC, and include calculating the Net Asset Value of their respective
      Partnership accounts and MM LLC accounts as of the close of business on
      each day and reviewing outstanding positions for over-concentrations both
      on an Advisor-by-Advisor and on an overall Partnership basis. While MLIM
      AS LLC does not itself intervene in the markets to hedge or diversify the
      Partnership's market exposure, MLIM AS LLC may urge Advisors to reallocate
      positions, or itself reallocate Partnership 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. Except in
      cases in which it appears that an Advisor has begun to deviate from past
      practice or trading policies or to be trading erratically, MLIM AS LLC's
      basic risk control procedures consist simply of the ongoing process of
      advisor monitoring and selection with the market risk controls being
      applied by the Advisors themselves.

      CREDIT RISK

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

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

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


                                      11
<Page>

                         * * * * * * * * * * * * * * *

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



                              Michael L. Pungello
                            Chief Financial Officer
                        MLIM Alternative Strategies LLC
                              General Partner of
                    The S.E.C.T.O.R. Strategy Fund(SM) L.P.


                                      12
<Page>






                               ML MULTI-MANAGER PORTFOLIO LLC
                               (A DELAWARE LIMITED LIABILITY COMPANY)



                               Financial Statements for the years ended
                               December 31, 2001 and 2000
                               and Independent Auditors' Report






[MERRILL LYNCH LOGO]

<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)


TABLE OF CONTENTS

<Table>
<Caption>
                                                            Page
                                                            ----
<S>                                                         <C>
INDEPENDENT AUDITORS' REPORT                                   1

FINANCIAL STATEMENTS FOR THE YEARS ENDED
DECEMBER 31, 2001 AND 2000:

  Statements of Financial Condition                            2

  Statements of Income                                         3

  Statements of Changes in Members' Capital                    4

  Notes to Financial Statements                              5-9

</Table>

<Page>

INDEPENDENT AUDITORS' REPORT




To the Members of
 ML Multi-Manager Portfolio LLC:

We have audited the accompanying statements of financial condition of ML
Multi-Manager Portfolio LLC (the "Company") as of December 31, 2001 and 2000
and the related statements of income and of changes in members' capital for
the years then ended. These financial statements are the responsibility of
the Company's management. Our responsibility is to express an opinion on
these financial statements based on our audits.

We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we
plan and perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.

In our opinion, such financial statements present fairly, in all material
respects, the financial position of ML Multi-Manager Portfolio LLC as of
December 31, 2001 and 2000, and the results of its operations and changes in
its members' capital for the years then ended in conformity with accounting
principles generally accepted in the United States of America.


DELOITTE & TOUCHE LLP


New York, New York
February 5, 2002

<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2001 AND 2000

<Table>
<Caption>

ASSETS                                                     2001           2000
                                                       ------------   ------------
<S>                                                    <C>            <C>
Equity in commodity futures trading accounts:
    Cash and option premiums                           $205,396,650   $139,346,615
    Net unrealized profit on open contracts (Note 2)      2,077,539     13,995,141
Cash                                                             --      2,835,198
Commercial Paper (Cost $95,200,766)                              --     95,200,766
Accrued interest (Note 4)                                   314,001      1,618,036
                                                       ------------   ------------

                TOTAL                                  $207,788,190   $252,995,756
                                                       ============   ============

LIABILITIES AND MEMBERS' CAPITAL

LIABILITIES:

    Brokerage commissions payable (Note 4)             $    967,361   $  1,265,023
    Profit Shares payable (Note 5)                          685,683      3,036,430
    Administrative fees payable (Note 4)                     32,650         41,341
    Due to Invested Funds                                 4,638,713      1,040,995
                                                       ------------   ------------

            Total liabilities                             6,324,407      5,383,789
                                                       ------------   ------------

MEMBERS' CAPITAL:

    Voting Members                                      201,463,783    247,611,967
                                                       ------------   ------------

            Total Members' capital                      201,463,783    247,611,967
                                                       ------------   ------------

                TOTAL                                  $207,788,190   $252,995,756
                                                       ============   ============
</Table>

See notes to financial statements.


                                       2
<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

STATEMENTS OF INCOME
FOR THE YEARS ENDED DECEMBER 31, 2001 AND 2000

<Table>
<Caption>
REVENUES                                               2001            2000
                                                   ------------    ------------
<S>                                                <C>             <C>
Trading profit:
    Realized                                       $ 26,679,581    $  8,646,046
    Change in unrealized                            (11,977,991)     11,538,356
                                                   ------------    ------------

        Total trading results                        14,701,590      20,184,402

Interest income (Note 1 & Note 4)                     8,234,444       8,139,921
                                                   ------------    ------------

        Total revenues                               22,936,034      28,324,323
                                                   ------------    ------------

EXPENSES

Brokerage commissions (Note 4)                       14,316,819      10,015,693
Profit Shares (Note 5)                                2,968,452       3,201,454
Administrative fees (Note 4)                            471,194         340,752
                                                   ------------    ------------

        Total expenses                               17,756,465      13,557,899
                                                   ------------    ------------

NET INCOME                                         $  5,179,569    $ 14,766,424
                                                   ============    ============
</Table>

See notes to financial statements.


                                       3
<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2001 AND 2000

<Table>
                                              VOTING MEMBERS
                                              --------------
<S>                                           <C>
MEMBERS' CAPITAL,
  DECEMBER 31, 1999                           $  97,995,285

Additions                                       175,347,578

Net income                                       14,766,424

Withdrawals                                     (40,497,320)
                                              --------------
MEMBERS' CAPITAL,
  DECEMBER 31, 2000                             247,611,967

Additions                                         1,788,034

Net income                                        5,179,569

Withdrawals                                     (53,115,787)
                                              --------------
MEMBERS' CAPITAL,
  DECEMBER 31, 2001                           $ 201,463,783
                                              ==============
</Table>

See notes to financial statements.


                                       4
<Page>

ML MULTI-MANAGER PORTFOLIO LLC
(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1.      SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

        ORGANIZATION

        ML Multi-Manager Portfolio LLC (the "Company") was organized under the
        Delaware Limited Liability Company Act on May 11, 1998 and commenced
        trading activities on June 1, 1998. The Company engages in the
        speculative trading of futures, options on futures, forwards and options
        on forward contracts on a wide range of commodities. 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"),
        has been delegated administrative authority over the Company. Merrill
        Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S"), the successor to
        Merrill Lynch Futures Inc. ("MLF") by merger, is the Company's commodity
        broker. The Company has one class of Membership Interests, Voting
        Interests. Voting Interests are held by multi advisor funds managed by
        MLIM AS LLC ("Members"). The Members control all business activities
        and affairs of the Company by agreement of the majority interest of the
        Members, subject to the discretionary trading authority vested in and
        delegated to the independent trading advisors (the "Advisors") and the
        administrative authority vested in and delegated to MLIM AS LLC. Each
        Member is a "commodity pool" sponsored and controlled by MLIM AS LLC and
        shares in the Trading results of the Company in proportion to their
        respective capital accounts.

        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 Company'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 Company. The terms of the agreements
        remained unchanged and the merger had no effect on the terms on which
        the Company's transactions were executed.

        MLIM AS LLC selects independent advisors to manage the Company's assets,
        and allocates and reallocates the Company's assets among existing,
        replacement and additional Advisors.

        ESTIMATES

        The preparation of financial statements in conformity with accounting
        principles generally accepted in the United States of America requires
        management to make estimates and assumptions that affect the reported
        amounts of assets and liabilities and disclosure of contingent assets
        and liabilities at the date of the financial statements and the reported
        amounts of revenues and expenses during the reporting period. Actual
        results could differ from those estimates.

        CASH MANAGEMENT

        As of June 2000, the Company began an Income Enhancement Program,
        whereas, a portion of its assets could be invested in Commercial Paper.
        This was done to improve the yield on the cash assets not required for
        margin for trading purposes. These holdings generally have maturities of
        30, 60, or 90 days and are held to maturity. As of December 31, 2001,
        the Income Enhancement Program is inactive.


                                       5
<Page>

        One Member may invest assets that are not allocated to any Advisor
        directly into the Income Enhancement Program. This member would receive
        a priority allocation of interest income earned on these assets before
        the allocation of interest income in proportion to those Members whose
        assets are allocated for trading purposes.

        REVENUE RECOGNITION

        Commodity futures, options on futures, forwards and options on forward
        contracts are recorded on the trade date and open contracts are
        reflected in Net unrealized profit on open contracts in the Statements
        of Financial Condition at the difference between the original contract
        value and the market value (for those commodity interests for which
        market quotations are readily available) or at fair value. The Change in
        unrealized profit on open contracts from one period to the next is
        reflected in Change in unrealized under Trading profit in the Statements
        of Income.

        FOREIGN CURRENCY TRANSACTIONS

        The Company's functional currency is the U.S. dollar; however, it
        transacts business in currencies other than the U.S. dollar. Assets
        and liabilities denominated in currencies other than the U.S. dollar
        are translated into U.S. dollars at the rates in effect at the date of
        the Statements of Financial Condition. Income and expense items
        denominated in currencies other than the U.S. dollar are translated
        into U.S. dollars at the rates in effect during the period. Gains and
        losses resulting from the translation to U.S. dollars are reported in
        total trading results.

        INCOME TAXES

        No provision for income taxes has been made in the accompanying
        financial statements as each Member is individually responsible for
        reporting income or loss based on such Member's respective share of the
        Company's income and expenses as reported for income tax purposes.

        DISTRIBUTIONS

        The Members are entitled to receive any distributions which may be made
        by the Company in proportion to their respective capital accounts. No
        such distributions have been declared for the years ended December 31,
        2001 or 2000.

        WITHDRAWALS

        Each Member may withdraw some or all of such Members' capital at the Net
        Asset Value as of the close of business on any business day. There are
        no withdrawal fees or charges.

        DISSOLUTION OF THE COMPANY

        The Company will terminate on December 31, 2028 or at an earlier date if
        certain conditions occur, as well as under certain other circumstances
        as set forth in the Organization Agreement.


                                       6
<Page>

2.      CONDENSED SCHEDULE OF INVESTMENTS

        In March 2001, the American Institute of Certified Public Accountants'
        Accounting Standards Executive Committee issued Statement of Position
        ("SOP") 01-1, "Amendment to Scope of Statement of Position 95-2,
        Financial Reporting by Nonpublic Investment Partnerships, to Include
        Commodity Pools" effective for fiscal years ending after December 15,
        2001. Accordingly, commodity pools are now required to include a
        condensed schedule of investments identifying those investments, which
        constitute more than 5% of net assets, taking long and short positions
        into account separately.

        The Company's investments, defined as Net unrealized profit on open
        contracts in the Statement of Financial Condition, as of December 31,
        2001 is as follows.

<Table>
<Caption>
                                     LONG POSTIONS                    SHORT POSITIONS
                                     -------------                    ---------------               NET UNREALIZED
                                UNREALIZED    PERCENT OF          UNREALIZED    PERCENT OF         PROFIT (LOSS) ON   PERCENT OF
COMMODITY INDUSTRY SECTOR     PROFIT (LOSS)   NET ASSETS        PROFIT (LOSS)   NET ASSETS          OPEN POSITIONS    NET ASSETS
-------------------------     -------------   ----------        -------------   ----------          --------------    ----------
<S>                           <C>              <C>              <C>               <C>                <C>               <C>
Agriculture                    $   (98,523)      -0.05%          $   278,886        0.14%             $   180,363         0.09%
Currencies                        (518,547)      -0.26%          $ 3,164,842        1.57%               2,646,295         1.31%
Energy                              (8,555)       0.00%          $  (109,665)      -0.05%                (118,220)       -0.06%
Interest rates                    (310,862)      -0.15%          $   159,725        0.08%                (151,137)       -0.08%
Metals                            (227,476)      -0.11%          $  (421,110)      -0.21%                (648,586)       -0.32%
Stock indices                      151,168        0.08%          $    17,656        0.01%                 168,824         0.08%
                               -----------                       -----------                          -----------

Total                          $(1,012,795)      -0.50%          $ 3,090,334        1.53%             $ 2,077,539         1.03%
                               ===========                       ===========                          ===========
</Table>

3.      FINANCIAL DATA HIGHLIGHTS

        The following ratios have been derived from information provided in the
        financial statements for the year ended December 31, 2001.

        Total investment return,
        compounded monthly          2.09%
                                    =====

        RATIO TO AVERAGE NET ASSETS:

<Table>
        <S>                        <C>
        Expenses                    7.91%
                                   ======

        Net income                  2.31%
                                   ======
</Table>

4       RELATED PARTY TRANSACTIONS

        Currently, all of the Company's U.S. dollar assets are maintained at
        MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the
        Company with interest at the prevailing 91-day U.S. Treasury bill rate.
        The Company 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 Company from the possession of such assets.

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

        As of June 2000, the Company can invest in Commercial Paper. MLPF&S acts
        as custodian for these assets. As of December 31, 2001, no Commercial
        Paper was held.

        Following the allocation of the Company's trading profit and interest
        income among the Members' Capital Accounts, MLIM AS LLC calculates the
        brokerage commissions, Profit Shares, administrative fees and other
        expenses due from the Company to third parties, relating to the
        Company's trading on behalf of the Members. Such brokerage commissions,
        fees and expenses are specifically allocated as of the end of each
        accounting period (not pro rata based on the Members' respective
        capital accounts) to, and deducted from, the Members' capital accounts
        and paid out by the Company. The Company pays brokerage commissions to
        MLPF&S at a flat monthly rate reflecting the fee arrangement between
        each Member and MLPF&S. For the years ended December 31, 2001 and 2000,
        the monthly rates for Members ranged from .291 of 1% (a 3.50% annual
        rate) to .729 of 1% (an 8.75% annual rate) of each Member's month-end
        assets invested in the Company.


                                       7
<Page>

        The Company pays MLIM AS LLC a monthly administrative fee ranging from
        .021 of 1% (a 0.25% annual rate) to .083 of 1% (a 1.00% annual rate) of
        each Member's month-end assets. Month-end assets are not reduced for
        purposes of calculating brokerage commissions and administrative fees by
        any accrued brokerage commissions, administrative fees, Profit Shares or
        other fees or charges.

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

5.      ADVISORY AGREEMENTS

        Pursuant to the Advisory Agreements among the Advisors, the Company and
        MLIM AS LLC, the Advisors determine the commodity futures, options on
        futures, forwards and options on forward contracts traded on behalf of
        the Company, subject to certain rights reserved by MLIM AS LLC. The
        Advisory Agreements generally renew one year after they are entered
        into, subject to certain renewal rights exercisable by the Company.

        The Company pays, from the Capital Account of each Member, to the
        Advisors quarterly or annual Profit Shares generally ranging from 20% to
        23% of any New Trading Profit, as defined, recognized by each Advisor,
        attributable to each Member's Capital Account, considered individually
        irrespective of the overall performance of the such Member's Capital
        Account. Profit Shares, which are calculated separately in respect of
        each Member's Capital Account, are determined as of the end of each
        calendar quarter or year and are also paid to each Advisor upon the
        withdrawal of capital from the Company by a Member for whatever purpose,
        other than to pay expenses and upon the reallocation of assets away from
        an Advisor.

6.      FAIR VALUE AND OFF-BALANCE SHEET RISK

        The nature of this Company has certain risks, which cannot be
        presented in the financial statements. The following summarizes some of
        those risks.

        MARKET RISK

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

        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, calculating the Net Asset Value of the Company
        as of the close of business on each day and reviewing outstanding
        positions for over-concentrations. While MLIM AS LLC does not itself
        intervene in the markets to hedge or diversify the Company's market
        exposure, MLIM AS LLC may urge the Advisors to reallocate positions in
        an attempt to avoid over-concentrations. However, such interventions are
        unusual. Except in cases in which it appears that the Advisors have
        begun to deviate from past practice or trading policies or to be trading
        erratically, MLIM AS LLC's basic risk control procedures consist simply
        of the ongoing process of advisor monitoring, with the market risk
        controls being applied by the Advisors themselves.


                                       8
<Page>

        CREDIT RISK

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

        The credit risk associated with these instruments from counterparty
        nonperformance is the net unrealized profit on open contracts, if any,
        included in the Statements of Financial Condition. The Company attempts
        to mitigate this risk by dealing almost exclusively with Merrill Lynch
        entities as clearing brokers.

        The Company, in its normal course of business, enters into various
        contracts, with MLPF&S acting as its commodity broker. Pursuant to the
        brokerage agreement with MLPF&S (which includes a netting arrangement),
        to the extent that such trading results in receivables from and payables
        to MLPF&S, these receivables and payables are offset and reported as a
        net receivable or payable and included in the Equity in commodity
        futures trading accounts in the Statements of Financial Condition.





                              *  *  *  *  *  *  *  *

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



                               Michael L. Pungello
                             Chief Financial Officer
                         MLIM Alternative Strategies LLC
                           Commodity Pool Operator of
                         ML Multi-Manager Portfolio LLC


                                       9