<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, 2002
                                       or
                  / / Transition Report Pursuant to Section 13
                 or 15(d) of the Securities Exchange Act of 1934

                         Commission file number: 0-15298

                 THE FUTURES EXPANSION FUND LIMITED PARTNERSHIP
             (Exact name of registrant as specified in its charter)

            DELAWARE                                            13-3365950
 (State or other jurisdiction of                             (I.R.S. Employer
 incorporation or organization)                             Identification No.)

                  C/O MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
                           PRINCETON CORPORATE CAMPUS
                      800 SCUDDERS MILL ROAD - SECTION 2-G
                          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 of the registrant: the registrant is a limited partnership; as of
February 1, 2003, limited partnership units with an aggregate value of
$5,685,445 were outstanding and held by non-affiliates.

                       DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2002 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2002,
is incorporated by reference into Part II, Item 8, and Part IV hereof and filed
as an Exhibit herewith.

<Page>

                 THE FUTURES EXPANSION FUND LIMITED PARTNERSHIP

                       Annual Report for 2002 on Form 10-K

                                TABLE OF CONTENTS

<Table>
<Caption>
                                                      PART I                                                   PAGE
                                                                                                               ----
<S>           <C>                                                                                               <C>
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.........................     5

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

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

Item 7A.      Quantitative and Qualitative Disclosures About Market Risks...................................    11

Item 8.       Financial Statements and Supplementary Data...................................................    11

Item 9.       Changes in and Disagreements with Accountants on Accounting and Financial Disclosure..........    11

                                                     PART III

Item 10.      Directors and Executive Officers of the Registrant............................................    11

Item 11.      Executive Compensation........................................................................    12

Item 12.      Security Ownership of Certain Beneficial Owners and Management................................    13

Item 13.      Certain Relationships and Related Transactions................................................    13

Item 14.      Controls and Procedures.......................................................................    14

                                                      PART IV

Item 15.      Exhibits, Financial Statement Schedules and Reports on Form 8-K...............................    14
</Table>

                                       -i-
<Page>

                                     PART I

ITEM 1: BUSINESS

        (a)    GENERAL DEVELOPMENT OF BUSINESS:

               The Futures Expansion Fund Limited Partnership (the "Fund") was
organized under the Delaware Revised Uniform Limited Partnership Act on August
13, 1986. Its single public offering of units of limited partnership interest
("Units") commenced on October 27, 1986, and the Fund began trading on January
2, 1987 through a joint venture (the "Joint Venture") with and under the
direction of Millburn Ridgefield Corporation ("Millburn"). Millburn Ridgefield
has been the Fund's sole trading advisor since inception. The Fund, through the
Joint Venture, engages in the speculative trading of commodity futures, options
on futures, forward contracts on currencies, financial instruments, stock
indices, metals, energy and agricultural products. The Fund's objective is to
achieve, through speculative trading, substantial capital appreciation over
time.

               Merrill Lynch Alternative Investments LLC ("MLAI LLC"), 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"), is the Fund's commodity broker.

               Merrill Lynch Alternative Investments LLC was formerly known as
MLIM Alternative Strategies LLC ("MLIM AS LLC"). As of February 28, 2003, MLIM
Alternative Strategies LLC changed its name to Merrill Lynch Alternative
Investments LLC, as part of an internal Merrill Lynch reorganization. This
change did not affect the personnel involved in the management of the Fund. As
used herein, the capitalized term "MLAI LLC" also refers to the general partner
at times when its name was MLIM Alternative Strategies LLC, as applicable.

               As of December 31, 2002, the capitalization of the Fund was
$5,535,305, and the Net Asset Value per Unit, originally $100 as of January 2,
1987, had risen to $288.52.

               Through December 31, 2002, the highest month-end Net Asset Value
per Unit was $305.50 (September 30, 2002) and the lowest was $100.05 (September
30, 1987).

        (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.

               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.

               The Joint Venture Agreement between the Fund and Millburn may be
terminated by MLAI LLC, acting on behalf of the Fund, under certain
circumstances involving, for example, substantial losses or changes in control
of Millburn.

               MILLBURN

               Millburn is one of the longest operating of all active managed
futures advisors. Principals of Millburn have been managing client assets in the
futures and forward markets since 1972, and as of December 31,

                                        1
<Page>

2002 Millburn was managing approximately $559 million of client and proprietary
capital in these markets. As of such date, Millburn and its affiliates were also
managing over $1 billion in other disciplines.

               Millburn uses a highly systematic trend-following approach which
relies primarily on technical, market-related information. Millburn regards its
strategies as long-term in nature, and gives substantial emphasis to risk
management -- through, for example, analysis of leverage, implementation of
"stop-loss" liquidation points on all open positions and ongoing rebalancing of
portfolio commitments based on volatility risk assessments of the different
markets traded.

               Millburn implements multiple systems in analyzing each market in
which it trades. Only if all systems implemented in a market generate a positive
trading signal will a "full position" be taken. A "full position" represents the
maximum exposure that the risk control overlay in the trading system will allow
in a given market based on account equity, market volatility and other factors.
Because Millburn utilizes multiple trading systems, a negative signal in one
system may be offset by positive signals in the other systems. Partial positions
may be taken if one or more trading systems generate a neutral or negative
trading signal while the other system(s) generate positive signal(s). This
multi-system approach is intended to help to filter out the "whipsaw" effect
which short-term "noise" price fluctuations and reversals can otherwise have on
trend-following systems -- resulting in the dissipation of account equity
through the frequent acquisition and liquidation of positions. The use of
multiple evaluative models gives Millburn's strategy a degree of internal
diversification which has the potential to increase its risk control
capabilities.

               As is the case with most trend-following systems, Millburn seeks
to achieve cumulative profitability through capturing sustained price trends of
significant duration and magnitude. Such trends tend to be relatively infrequent
(often occurring only two to three times or less during a year in any given
market). The early determination of the beginning and end of such major trends
is an important feature of successful trading. Millburn's technical trading
systems are designed with the objective that they will generate a trading signal
when market conditions indicate a trend is likely to occur. If the trend is not
subsequently confirmed or quickly reverses itself, positions are closed out in
an attempt to limit capital losses. Positions which are profitable are
maintained until the trading systems indicate that the trend has ended.

               The money management principles, computer assisted research into
historical trading data, and experience of the principals of Millburn are
factors upon which decisions concerning the percentage of assets to be used for
each market traded and the size of positions taken or maintained are based. From
time to time, decisions to increase or decrease the size of a position, long or
short, may be made. Such decisions also require the exercise of judgment and may
include consideration of the volatility of the particular market; the pattern of
price movements, both inter-day and intra-day; open interest; volume of trading;
changes in spread relationships between various forward contracts; and overall
portfolio balance and risk exposure.

               With respect to the execution of trades, Millburn may rely to an
extent upon the judgment of others, including dealers, bank traders and floor
brokers. No assurance is given that Millburn can execute trades regularly at or
near the desired buy or sell point.

               The trading method, systems and money management principles
utilized by Millburn are proprietary and confidential. The foregoing description
is general and is not intended to be complete.

               USE OF PROCEEDS AND INTEREST INCOME

               MARKET SECTORS.
               The Fund trades in a diversified group of markets under the
direction of Millburn. Millburn can, and does, from time to time materially
alter the allocation of its overall trading commitments among different market
sectors. There is essentially no restriction on the commodity interests which
may be traded by Millburn or the rapidity with which Millburn may alter its
market sector allocations.

               Management's discussion and analysis contains information
relating to the market sectors traded by the Fund. There can, however, be no
assurance as to which markets may be included in the Fund's portfolio or in
which market sectors the Fund's trading may be concentrated at any one time or
over time.

                                        2
<Page>

               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.

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

               CUSTODY OF ASSETS.
               All of the Fund's assets are currently held in CFTC-regulated
customer accounts at MLPF&S.

               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 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 2002, 2001 and 2000.

<Table>
<Caption>
                                  2002                        2001                         2000
                      ----------------------------------------------------------------------------------------
                                     % 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              $ 512,653       9.82%         $ 567,221       9.58%        $ 586,401       9.69%
Administrative Fees         13,491       0.26%            14,927       0.25%           15,432       0.26%
Profit Shares              169,772       3.25%             1,164       0.02%          154,404       2.55%
                      ----------------------------------------------------------------------------------------
Total                    $ 695,916      13.33%         $ 583,312       9.85%        $ 756,237      12.50%
                      ========================================================================================
</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 assets maintained at
MLPF&S.

               The Fund's average month-end Net Assets during 2002, 2001 and
2000 equaled $5,220,051, $5,922,361, and $6,049,763, respectively.

                                        3
<Page>

               During 2002, 2001 and 2000, the Fund earned $85,992, $205,992,
and $363,374 in interest income, or approximately 1.65%, 3.48% and 6.01% of the
Fund's average month-end Net Assets.

                         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
                                           0.792 of 1% of the Fund's month-end
                                           assets (a 9.50% annual rate).

                                           During 2002, 2001 and 2000, the
                                           round-turn (each purchase and sale or
                                           sale and purchase of a single futures
                                           contract) equivalent rate of the
                                           Fund's flat-rate Brokerage
                                           Commissions was approximately $239,
                                           $220 and $202, respectively.

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

MLAI LLC          Administrative Fees      A flat monthly Administrative Fee
                                           equal to 0.021 of 1% (0.25% annual
                                           rate) of the Fund's month-end assets.
                                           MLAI LLC pays all of the Fund's
                                           routine administrative costs.

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

Millburn          Profit Share             20% of any New Trading Profit
                                           achieved by the Fund as of the end of
                                           each calendar year and upon
                                           redemption of Units.

Millburn          Consulting Fees          MLPF&S pays Millburn annual
                                           consulting fees of .167 of 1% (a 2%
                                           annual rate) of the Fund's month-end
                                           assets after reduction for a portion
                                           of the brokerage commissions.

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

               REGULATION

               MLAI LLC, Millburn and MLPF&S are each subject to regulation by
the Commodity Futures Trading Commission (the "CFTC") and the National Futures
Association ("NFA"). Other than in respect of its periodic reporting
requirements under the Securities Exchange Act of 1934, the Fund itself is
generally not subject to regulation by the Securities and Exchange Commission.
However, MLAI LLC itself is registered as an "investment adviser" under the
Investment Advisers Act of 1940.

               (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 revenue 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.

                                        4
<Page>

ITEM 2: PROPERTIES

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

               The Fund's administrative offices are the administrative offices
of MLAI LLC (Merrill Lynch Alternative Investments LLC, Princeton Corporate
Campus, 800 Scudders Mill Road - Section 2G, Plainsboro, New Jersey 08536). MLAI
LLC performs all administrative services for the Fund from MLAI LLC's offices.

ITEM 3: LEGAL PROCEEDINGS

               Merrill Lynch -- the sole stockholder of Merrill Lynch Group,
Inc. (which is the indirect parent of MLAI 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 the financial condition
of MLAI LLC or the Fund.

               MLAI 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 matter to a vote of its Limited
Partners.

                                     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 redeem Units as of the end of
each month at Net Asset Value.

        (b)    HOLDERS:

               As of December 31, 2002, there were 199 holders of Units,
including MLAI LLC.

        (c)    DIVIDENDS:

               The Fund has made no distributions, nor does MLAI LLC presently
intend to make any distributions in the future.

        (d)    SECURITIES AUTHORIZED FOR ISSUANCE UNDER EQUITY COMPENSATION
PLANS:

        Item 5(b)

               Not applicable.

                                        5
<Page>

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           2002           2001            2000            1999            1998
--------------------------------------------------------------------------------------------------------
<S>                         <C>            <C>             <C>             <C>             <C>
Revenues:

Trading Profits (Loss)
   Realized                 $  1,377,467   $    526,413    $    (92,810)   $   (160,036)   $    761,007
   Change in Unrealized           87,802       (911,167)        860,160          62,797        (176,383)
                            ----------------------------------------------------------------------------
   Total Trading Results       1,465,269       (384,754)        767,350         (97,239)        584,624
                            ----------------------------------------------------------------------------

Interest Income                   85,992        205,992         363,374         383,867         433,501
                            ----------------------------------------------------------------------------

   Total Revenues              1,551,261       (178,762)      1,130,724         286,628       1,018,125
                            ----------------------------------------------------------------------------

Expenses:
   Brokerage Commissions         512,653        567,221         586,401         761,747         860,552
   Administrative Fees            13,491         14,927          15,432          20,044          22,646
   Profit Shares                 169,772          1,164         154,404           5,571         118,954
                            ----------------------------------------------------------------------------
   Total Expenses                695,916        583,312         756,237         787,362       1,002,152
                            ----------------------------------------------------------------------------

Net Income (Loss)           $    855,345   $   (762,074)   $    374,487    $   (500,734)   $     15,973
                            ============================================================================

<Caption>
                            DECEMBER 31,   DECEMBER 31,    DECEMBER 31,    DECEMBER 31,    DECEMBER 31,
BALANCE SHEET DATA                  2002           2001            2000            1999           1998
--------------------------------------------------------------------------------------------------------
<S>                         <C>            <C>             <C>             <C>             <C>
Fund Net Asset Value        $  5,535,305   $  5,211,670    $  6,275,966    $  6,953,434    $  8,559,611
Net Asset Value per Unit    $     288.52   $     244.58    $     279.65    $     259.64    $     277.65
                            ----------------------------------------------------------------------------
</Table>

--------------------------------------------------------------------------------
                       MONTH-END NET ASSET VALUE PER UNIT
--------------------------------------------------------------------------------

<Table>
<Caption>
----------------------------------------------------------------------------------------
              JAN.          FEB.         MAR.         APR.          MAY          JUNE
----------------------------------------------------------------------------------------
  <S>       <C>           <C>          <C>          <C>           <C>          <C>
  1998      $281.99       $274.64      $277.27      $254.92       $265.04      $267.36
----------------------------------------------------------------------------------------
  1999      $264.44       $272.54      $275.86      $289.39       $279.89      $291.36
----------------------------------------------------------------------------------------
  2000      $264.16       $258.89      $244.12      $245.36       $240.78      $229.50
----------------------------------------------------------------------------------------
  2001      $280.42       $274.51      $296.42      $282.48       $283.19      $275.27
----------------------------------------------------------------------------------------
  2002      $248.80       $236.53      $238.62      $227.03       $236.14      $268.07
----------------------------------------------------------------------------------------

<Caption>
----------------------------------------------------------------------------------------
             JULY          AUG.        SEPT.          OCT.         NOV.          DEC.
----------------------------------------------------------------------------------------
  <S>       <C>          <C>          <C>           <C>          <C>           <C>
  1998      $250.99      $268.54      $282.27       $275.27      $271.62       $277.65
----------------------------------------------------------------------------------------
  1999      $281.46      $282.95      $283.19       $251.12      $255.31       $259.64
----------------------------------------------------------------------------------------
  2000      $225.87      $231.34      $225.23       $233.86      $245.75       $279.65
----------------------------------------------------------------------------------------
  2001      $257.47      $264.20      $254.53       $266.70      $239.84       $244.58
----------------------------------------------------------------------------------------
  2002      $282.64      $288.05      $305.50       $282.57      $270.41       $288.52
----------------------------------------------------------------------------------------
</Table>

Pursuant to CFTC policy, monthly performance is presented from January 1, 1998,
even though the Units were outstanding prior to such date.

                                        6
<Page>

                 THE FUTURES EXPANSION FUND LIMITED PARTNERSHIP
                                DECEMBER 31, 2002

   TYPE OF POOL: Single Advisor/Publicly-Offered/Non-"Principal Protected"(1)
                      INCEPTION OF TRADING: January 2, 1987
                      AGGREGATE SUBSCRIPTIONS: $56,741,035
                       CURRENT CAPITALIZATION: $5,535,305
                   WORST MONTHLY DRAWDOWN(2): (11.32)% (10/99)
             WORST PEAK-TO-VALLEY DRAWDOWN(3): (23.41)% (4/01-4/02)

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

              NET ASSET VALUE PER UNIT, DECEMBER 31, 2002: $288.52

--------------------------------------------------------------------------------
                           MONTHLY RATES OF RETURN(4)
--------------------------------------------------------------------------------

<Table>
<Caption>
         -----------------------------------------------------------------
         MONTH              2002      2001      2000      1999      1998
         -----------------------------------------------------------------
         <S>               <C>    <C>          <C>     <C>         <C>
         January           1.73%     0.27%     1.74%   (4.76)%     2.27%
         -----------------------------------------------------------------
         February          (4.93)    (2.11)    (2.00)     3.06     (2.61)
         -----------------------------------------------------------------
         March              0.88      7.98     (5.70)     1.22      0.96
         -----------------------------------------------------------------
         April             (4.86)    (4.70)     0.51      4.90     (8.06)
         -----------------------------------------------------------------
         May                4.01      0.25     (1.86)    (3.28)     3.97
         -----------------------------------------------------------------
         June              13.52     (2.80)    (4.69)     4.10      0.88
         -----------------------------------------------------------------
         July               5.44     (6.46)    (1.57)    (3.40)    (6.12)
         -----------------------------------------------------------------
         August             1.91      2.62      2.42      0.53      6.99
         -----------------------------------------------------------------
         September          6.06     (3.66)    (2.64)     0.08      5.11
         -----------------------------------------------------------------
         October           (7.51)     4.78      3.83     (11.32)   (2.48)
         -----------------------------------------------------------------
         November          (4.30)   (10.07)     5.08      1.67     (1.33)
         -----------------------------------------------------------------
         December           6.70      1.97     13.79      1.70      2.22
         -----------------------------------------------------------------
         Compound Annual
         Rate of Return    17.97% (12.54)%     7.72%   (6.49)%     0.69%
         -----------------------------------------------------------------
</Table>

               (1) Certain funds, including funds sponsored by MLAI 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, 1998 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, 1998 from a month-end cumulative Monthly
Rate of Return without such cumulative Monthly Rate of Return being equaled or
exceeded as of a subsequent month-end. For example, if the Monthly Rate of
Return was (1)% in each of January and February, 1% in March and (2)% in April,
the Peak-to-Valley Drawdown would still be continuing at the end of April in the
amount of approximately (3)%, whereas if the Monthly Rate of Return had been
approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

               (4) Monthly Rate of Return is the net performance of the 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.

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

        OPERATIONAL OVERVIEW

               The Fund's success depends on Millburn's ability to recognize and
capitalize on trends and other profit opportunities in different sectors of the
world economy. Millburn's trading methods are confidential, so that
substantially the only information that can be furnished regarding the Fund's
results of operations is its performance record, as set forth above. Unlike most
operating businesses, general economic or seasonal conditions have no direct
effect on the profit potential of the

                                        7
<Page>

Fund, while, at the same time, its past performance is not necessarily
indicative of future results. Because of the speculative nature of its trading,
operational or economic trends have little relevance to the Fund's results.
Millburn believes, however, that there are certain market conditions -- for
example, markets with strong price trends -- in which the Fund has a better
opportunity of being profitable than in others.

        RESULTS OF OPERATIONS

               GENERAL

               MLAI LLC believes that 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) Millburn's systems are affected differently by trending markets as
well as by particular types of trends.

               MLAI 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 to the Fund's trades; it does not advise with respect to, or direct,
any such trading.

               MLAI LLC relies primarily on Millburn's risk management policies
and strategies to control the market risk inherent in the Fund's trading. MLAI
LLC reviews the positions acquired by Millburn on a daily basis in an effort to
determine whether such policies and strategies are being followed and whether
the overall positions of the Fund may have become what MLAI LLC determines as
being excessively concentrated in a limited number of markets -- in which case
MLAI LLC may discuss the possibility of rebalancing or deleveraging the Fund's
portfolio with Millburn. To date, however, MLAI LLC has not intervened so as to
require any rebalancing or deleveraging of Millburn's trading.

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

        PERFORMANCE SUMMARY

               2002

<Table>
<Caption>
                                                                TOTAL TRADING
                                                                   RESULTS
                        <S>                                       <C>
                        Interest Rates and Stock Indices          $ 1,059,577
                        Agriculture                                  (111,261)
                        Currencies                                    507,935
                        Energy                                         (1,391)
                        Metals                                         10,409
                                                                  -----------
                                                                  $ 1,465,269
                                                                  ===========
</Table>

               The Fund's overall trading strategy was profitable for the year.
Significant gains were realized in the financial futures sectors.

               Trading in interest rates was the most profitable sector for the
Fund during 2002. Most of the profits were earned between June and September.
The trend of declining interest rates created a profitable environment for the
trading strategies. Rates on government debt declined in both the U.S. and
Europe in response to eroding expectations for economic recovery and lackluster
stock markets. In the U.S., factors such as the mortgage industry seeking
protection from the surge in mortgage refinancing, corporate debt facing upward
pressure and the government debt prices rising due to continued flight to
quality played major roles in the sector. In Germany, the re-election of the
center-left coalition was taken as a negative for reform and growth for their
economy, causing rates to drop. In Japan, the Bank of Japan's announcement of
the purchase of stocks from major banks to stabilize the stock market caused the
unintentional sell off of Japanese Government Bonds, which the Fund had to cover
quickly to limit losses on those positions. The consistent downward trend of the
global stock markets

                                        8
<Page>

also proved profitable for the Fund's stock index futures positions. The trend
following models capitalized through short positions.

               Currencies were also very profitable for the year. The decline in
the U.S. dollar continued through June unabated. Positions versus the U.S.
dollar were profitable as were non-U.S. dollar cross trades involving the Euro.
The profits in the sector were mitigated later in the year but recovered
significantly in December. World events late in the year had macroeconomic
significance, which the Fund's trading strategy was designed to exploit. In
addition to the U.S./Iraqi confrontation, there was also the Venezuelan strike,
which crippled industry in that country, the nuclear threat in North Korea and
weakening equity prices throughout world.

               Metals trading brought in slight gains for the Fund. The
weakening economic climate was a factor in price declines for industrial metals,
bringing in gains of short positions in aluminum, copper and zinc. Gold was the
major beneficiary of the unstable situations throughout the global climate. Long
positions were profitable later in the year.

               The energy sector showed mixed performance throughout the year
but completed the year with slight losses. In March, there was a sharp upsurge
in energy prices based on expectation of global economic recovery and
trepidation regarding the possible impact of the Middle East violence on the
energy supply. Throughout the year, trading continued to be volatile. By the end
of the year, the Venezuelan strike, the U.S./Iraqi confrontation and cold
weather brought some positive performance back to the energy sector.

               Agricultural commodities trading was the weakest performer for
the year. Positions in corn, coffee, cotton, and sugar bounced around and showed
no significant trend in prices.

               2001

<Table>
<Caption>
                                                               TOTAL TRADING
                                                                  RESULTS
                        <S>                                        <C>
                        Interest Rates and Stock Indices           $ 449,993
                        Agriculture                                 (111,393)
                        Currencies                                    88,757
                        Energy                                      (806,162)
                        Metals                                        (5,949)
                                                                  ----------
                                                                  $ (384,754)
                                                                  ==========
</Table>

               The Fund's overall trading strategy was unprofitable for 2001 as
significant losses were sustained in the energy sector.

               Stock index trading was the most profitable strategy for the
Fund. Trading on short positions in the S&P 500 and DAX German Stock indices was
successful early in the year. A mid year lull resulted in losses on both long
and short positions in all markets. Global equity market continued to be weak up
to the September 11 terrorist attacks and dropped substantially thereafter.
Various short positions were highly profitable.

               Trading in the interest rates sector was also successful for the
Fund. As interest rate generally declined, the Fund's long positions in the
Japanese and German ten-year bonds were profitable early in the year. By mid
year, Japan and the Federal Reserve continued to cut rates, causing losses in
short positions in Japanese ten-year bonds and U.S. Treasury five and ten-year
notes. U.S. interest rates dropped after September 11, flooding the system with
liquidity. At the end of October, the U.S. Treasury announced that no additional
30-year bonds would be auctioned. These events benefited the Fund's various long
positions.

               Trading in the currency sector sustained slight profits at the
end of the year. In March, long positions in the strengthened U.S. dollar versus
the Japanese yen, Thai baht, Singapore dollar, Euro and Canadian dollar resulted
in gains. The downward trend in the Japanese yen and Euro reversed in April,
leading to losses in short positions. The Bank of Japan intervened vigorously in
the third quarter to avert Japanese yen appreciation versus the U.S. dollar and
Euro, leading to losses in long Japanese yen and Euro positions. During
December, the Japanese yen continued to weaken, resulting in gains in short
Japanese yen positions versus the U.S. dollar, British pound and Euro.

               Metals trading was slightly unprofitable. Trading in the metals
markets was close to flat. Long and short

                                        9
<Page>

gold and aluminum positions had mixed results throughout the year. A long gold
position in September was profitable as investors flocked to gold for safety in
the aftermath of the September 11 attacks.

               Agricultural commodities trading sustained losses during the
year. Agricultural commodity prices were generally weak. Small gains were
realized in the first quarter on short positions in cotton and sugar. But these
were offset by losses in short positions of coffee, cotton and sugar in the
remainder of the year.

               The Fund realized significant losses in the energy market. As
energy prices rallied in January, short positions in crude oil, heating oil and
natural gas were unprofitable. Losses were sustained in July on various short
positions when the energy market rallied on OPEC's decision to curtail
production. The September 11 attacks resulted in a perception that recession
would reduce energy demand. Prices dropped sharply, causing losses in long
positions in crude oil, heating oil, London gas oil and unleaded gasoline.

               2000

<Table>
<Caption>
                                                                         TOTAL TRADING
                                                                            RESULTS
                        <S>                                                  <C>
                        Interest Rates and Stock Indices                     $ 170,697
                        Agriculture                                            (81,498)
                        Currencies                                             194,973
                        Energy                                                 656,942
                        Metals                                                (173,764)
                                                                             ---------
                                                                             $ 767,350
                                                                             =========
</Table>

               The Fund's overall trading strategy was profitable for the year
as gains were realized in the energy, currency and interest rate and stock
indices sectors. Metals and agriculture commodities trading was unprofitable.
Significant gains were posted in energy trading as OPEC restricted production
and subsequently demand increased, leading to higher oil and gas prices.

               Trading in the energy sector generated the most profits for the
Fund. The year began with OPEC cutting production. Inclement weather in the
northeastern United States increased demand and coupled with limited supplies,
caused prices to surge. Long positions in crude oil and heating oil were
profitable. Energy markets, which had sold off in July, resumed their uptrend
with a strong rally in August and continued into September. The run up in
natural gas prices continued in December.

               Currency trading was profitable despite the losses early in the
year from non-U.S. cross currency trades in both the European and Asian markets.
The Euro hit all time lows against the U.S. dollar and the Japanese yen in early
September despite the European Central Bank intervention, benefiting the Fund's
short Euro positions. December was quite profitable on the resurgence of the
Euro versus both the U.S. dollar and Japanese yen and the weakness of the
Japanese yen versus the U.S. dollar.

               The interest rate sector posted gains for the year. In March,
intermediate and long-term interest rates fell in the U.S. and Europe, leading
to profitable long positions in U.S. Treasury five and ten-year notes and
30-year bonds and German and British ten-year bonds. Interest rates, which have
presented a difficult and volatile trading environment since February, returned
to profitability in August. November was very profitable as the action in global
interest rates was similar to that of August and September 1998 when Russia
defaulted and devalued, stock markets plunged and capital flew to the safest and
most liquid government securities.

               Trading in stock market indices sustained losses. Significant
worldwide decline in equity prices occurred early in February. Stock index
futures, which were in a difficult trading environment in the first half of the
year, returned to profitability in July and remained so throughout the third and
fourth quarters. However, the gains could not offset the first half year's
losses.

               Metals trading was unprofitable for the year. Long positions in
most metals, particularly copper and gold, resulted in losses. Gains were
primarily realized on short positions.

               Trading in agricultural commodities resulted in modest losses for
the Fund. Long and short positions in

                                       10
<Page>

sugar were slightly profitable, but not enough to offset losses in the cotton
and wheat sectors.

        LIQUIDITY; CAPITAL RESOURCES

               The Fund's costs are generally proportional to its asset base,
and, within broad ranges of capitalization, the Millburn's trading positions
(and the resulting gains and losses) should increase or decrease in approximate
proportion to the size of the Fund account managed by Millburn.

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

               In its trading to date, the Fund has from time to time had
substantial unrealized gains and losses on its open positions. These gains or
losses are received or paid on a periodic basis as part of the routine clearing
cycle on exchanges or in the over-the-counter markets (the only over-the-counter
market in which the Fund trades is the inter-bank forward market in currencies).
In highly unusual circumstances, market illiquidity could make it difficult for
Millburn to close out open positions, and any such illiquidity could expose the
Fund to significant losses, or cause it to be unable to recognize unrealized
gains.

ITEM 7A:       QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

               Not applicable.

ITEM 8:        FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

Net Income by Quarter
Eight Quarters through December 31, 2002

<Table>
<Caption>
                               FOURTH         THIRD        SECOND         FIRST
                              QUARTER        QUARTER       QUARTER       QUARTER
                                2002           2002         2002           2002
                              -------        -------       -------       -------
<S>                         <C>            <C>           <C>           <C>
Total Income                $  (261,328)   $ 1,078,865   $   732,251   $     1,473
Total Expenses                   70,458        345,483       155,573       124,402
                            ------------------------------------------------------
Net Income                  $  (331,786)   $   733,382   $   576,678   $  (122,929)
                            ======================================================
Net Income per Unit         $    (17.10)   $     37.46   $     28.72   $     (5.86)

<Caption>
                               FOURTH          THIRD          SECOND         FIRST
                              QUARTER         QUARTER        QUARTER        QUARTER
                                2001           2001            2001           2001
                              -------         -------        -------        -------
<S>                         <C>            <C>            <C>            <C>
Total Income                $   (80,957)   $  (328,637)   $  (413,592)   $   644,425
Total Expenses                  132,827        126,006         54,652        269,828
                            --------------------------------------------------------
Net Income                  $  (213,784)   $  (454,643)   $  (468,244)   $   374,597
                            ========================================================
Net Income per Unit         $     (9.91)   $    (20.77)   $    (21.19)   $     16.78
</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. MLAI 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 and financial disclosure.

                                    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 MLAI LLC. Trading decisions are made by Millburn on behalf of
the Fund.

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

ROBERT M. ALDERMAN      Chairman, Chief Executive Officer and Manager

                                       11
<Page>

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

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

               Mr. Alderman was born in 1960. Mr. Robert M. Alderman is
Chairman, Chief Executive Officer and Manager of MLAI LLC. 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 Master's of Business Administration from the
Carroll School of Management Boston College and a Bachelor of Arts from Clark
University.

        Steven B. Olgin was born in 1960. Mr. Olgin is a Vice President, Chief
Adminstrative Officer and a Manager of MLAI LLC. He joined MLAI 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 MLAI 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, 2002, the principals of MLAI LLC had no investment in
the Fund, and MLAI LLC's general partner interest in the Fund was valued at
$56,550.

        As of February 28, 2003, MLAI LLC acts as general partner to three
public futures funds whose units of limited partnership interest are registered
under the Securities Exchange Act of 1934: John W. Henry & Co./Millburn L.P., ML
JWH Strategic Allocation Fund L.P. and the Fund. Because MLAI LLC serves as the
sole general partner of each of these funds, the officers and managers of MLAI
LLC effectively manage them as officers and directors of such funds. Prior to
February 28, 2003, MLAI LLC (while still known as MLIM AS LLC) acted as general
partner of six public futures funds whose units of limited partnership interest
are registered under the Securities Exchange Act of 1934.

        (c)    IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

               None.

        (d)    FAMILY RELATIONSHIPS:

               None.

        (e)    BUSINESS EXPERIENCE:

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

        (f)    INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

               None.

        (g)    PROMOTERS AND CONTROL PERSONS:

               Not applicable.

                                       12
<Page>

ITEM 11: EXECUTIVE COMPENSATION

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

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

        (a)    SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

<Table>
<Caption>
                                               AMOUNT OF NATURE OF
TITLE OF CLASS    NAME OF BENEFICIAL OWNER     BENEFICIAL OWNERSHIP    PERCENT OF CLASS
--------------    ------------------------     --------------------    ----------------
<S>               <C>                                   <C>                        <C>
Limited           Elizabeth Waterman                    1,500 units                8.19%
Partnership       c/o James Waterman
Units             472 North Maple Avenue
                  Greenwich, CT  06830
</Table>

        (b)    SECURITY OWNERSHIP OF MANAGEMENT:

               As of December 31, 2002, MLAI LLC owned 196 Units
(Unit-equivalent general partnership interest), which was 1.02% 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 Millburn,
are affiliates of Merrill Lynch. Merrill Lynch negotiated with Millburn over the
level of its advisory fees and Profit Shares. However, none of the fees paid by
the Fund to any Merrill Lynch party were negotiated, and they are higher than
would have been obtained in arms-length bargaining.

               The Fund indirectly pays Merrill Lynch through MLPF&S and MLAI
substantial Brokerage Commissions and Administrative Fees, respectively, 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, MLAI LLC is the direct
beneficiary of the revenues received by different Merrill Lynch entities from
the Fund. MLAI LLC controls the management of the Fund and serves as its
promoter. Although MLAI LLC has not sold any assets, directly or indirectly, to
the Fund, MLAI LLC makes substantial profits from the Fund due to the foregoing
revenues.

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

               MLAI LLC pays substantial selling commissions and trailing
commissions to MLPF&S for distributing the Units. MLAI 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 MLAI LLC, acts as the principal commodity
broker for the Fund.

               In 2002, the Fund expensed: (i) Brokerage Commissions of $512,653
to MLPF&S, which included $107,802 in consulting fees earned by Millburn; and
(ii) Administrative Fees of $13,491 to MLAI LLC. In addition, MLAI

                                       13
<Page>

LLC and its affiliates may have derived certain economic benefits from
possession of a portion of the Fund's assets, as well as from foreign exchange
and EFP trading.

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

        (c)    INDEBTEDNESS OF MANAGEMENT:

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

        (d)    TRANSACTIONS WITH PROMOTERS:

               Not applicable.

ITEM 14: CONTROLS AND PRODECURES

               Merrill Lynch Alternative Investments LLC, the General Partner of
The Futures Expansion Fund Limited Partnership, with the participation of the
General Partner's Chief Executive Officer and the Chief Financial Officer, has
evaluated the effectiveness of the design and operation of its disclosure
controls and procedures with respect to the Fund within 90 days of the filing
date of this annual report, and, based on their evaluation, have concluded that
these disclosure controls and procedures are effective. Additionally, there were
no significant changes in the Fund's internal controls or in other factors that
could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

                                     PART IV

ITEM 15: EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

        (a)1.  FINANCIAL STATEMENTS (FOUND IN EXHIBIT 13.01):

<Table>
<Caption>
                                                                                                  PAGE:
                                                                                                  -----
               <S>                                                                                 <C>
               Independent Auditors' Report                                                           1

               Consolidated Statements of Financial Condition as of December 31, 2002 and 2001        2

               For the years ended December 31, 2002, 2001 and 2000:
                    Consolidated Statements of Operations                                             3
                    Consolidated Statements of Changes in Partners' Capital                           4

               Consolidated Financial Data Highlights for the year ended December 31, 2002            5

               Notes to Consolidated Financial Statements                                          6-11
</Table>

        (a)2.8(d) 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:

<Table>
<Caption>
Designation             Description
-----------             -----------
<S>                     <C>
3.01                    Amended and Restated Limited Partnership Agreement of
                        the Fund.
</Table>

                                       14
<Page>

<Table>
<S>                     <C>
EXHIBIT 3.01:           Is incorporated herein by reference from Exhibit 3.01
                        contained in Amendment No. 1 to the Registration
                        Statement (File No. 33-8377) filed on October 21, 1986,
                        on Form S-1 under the Securities Act of 1933 (the
                        "Registrant's Registration Statement").

3.02                    Amendment No. 1 to the Amended and Restated Limited
                        Partnership Agreement dated March 1, 1990.

EXHIBIT 3.02            Is incorporated by reference from Exhibit 3.02
                        contained in the Fund's report on Form 10-K for the
                        fiscal year ended December 31, 1989.

3.04                    Amended and Restated Certificate of Limited Partnership
                        of the Registrant, dated July 27, 1995.

EXHIBIT 3.04:           Is incorporated herein by reference from Exhibit 3.04
                        contained in the Fund's Report on Form 10-Q for the
                        Quarter ended September 30, 1995.

10.01                   Joint Venture Agreement between the Fund, MLIM
                        Alternative Strategies LLC and Millburn.

EXHIBIT 10.01:          Is incorporated herein by reference from Exhibit 10.01
                        contained in the Registrant's Registration Statement.

10.03                   Customer Agreement between the Joint Venture and MLPF&S.

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

10.05                   Form of Consulting Agreement between Millburn and the
                        Fund.

EXHIBIT 10.05:          Is incorporated herein by reference from Exhibit
                        10.05(a) contained in the Fund's Report on Form 10-K of
                        December 31, 1987, filed on March 28, 1988.

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 the Registrant's report on Form 10-K for
                        the year ended December 31, 1996.

10.07(a)                Form of Advisory and Consulting Agreement Amendment
                        among MLIM Alternative Strategies LLC, Millburn, the
                        Fund and MLPF&S.

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

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

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

13.01                   2002 Annual Report and Independent Auditors' Report.

EXHIBIT 13.01:          Is filed herewith.

28.01                   Prospectus of the Fund dated October 27, 1986.

EXHIBIT 28.01:          Is incorporated herein by reference as filed with the
                        Securities and Exchange Commission pursuant to Rule 424
                        under the Securities Act of 1933, Registration
                        Statement (File No. 33-8377) on Form S-1, on October
                        31, 1986.
</Table>

        (b)    REPORT ON FORM 8-K:

                                       15
<Page>

               No reports on Form 8-K were filed during the fourth quarter of
2002.

                                       16
<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.

                                   THE FUTURES EXPANSION FUND LIMITED
                                   PARTNERSHIP

                                   By: MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
                                       General Partner

                                   By: /s/ Robert M. Alderman
                                       ----------------------
                                   Robert M. Alderman
                                   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 31, 2003 by the
following persons on behalf of the Registrant and in the capacities indicated.

<Table>
<Caption>
SIGNATURE                    TITLE                                                        DATE
---------                    -----                                                        ----
<S>                          <C>                                                          <C>
/s/ Robert M. Alderman       Chairman, Chief Executive Officer and Manager                March 31, 2003
----------------------
Robert M. Alderman

/s/ Steven B. Olgin          Vice President, Chief Administrative Officer and Manager     March 31, 2003
-------------------
Steven B. Olgin

/s/ Michael L. Pungello      Vice President, Chief Financial Officer and Treasurer        March 31, 2003
-----------------------
Michael L. Pungello
</Table>

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the managers of Merrill Lynch Alternative Investments
LLC)

<Table>
<S>                                      <C>                                              <C>
MERRILL LYNCH ALTERNATIVE INVESTMENTS    General Partner of Registrant                    March 31, 2003
 LLC

By: /s/ Robert M. Alderman
    ----------------------
    Robert M. Alderman
</Table>

                                       17
<Page>

                                   EXHIBIT 99

          FORM OF CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63
                     OF TITLE 180 OF THE UNITED STATES CODE

I, Robert M. Alderman, certify that:

1. I have reviewed this annual report on Form 10-K of The Futures Expansion Fund
Limited Partnership;

2. Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this annual
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this annual report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

     a) designed such disclosure controls and procedures to ensure that material
     information relating to the registrant, including its consolidated
     subsidiaries, is made known to us by others within those entities,
     particularly during the period in which this annual report is being
     prepared;

     b) evaluated the effectiveness of the registrant's disclosure controls and
     procedures as of a date within 90 days prior to the filing date of this
     annual report (the "Evaluation Date"); and

     c) presented in this annual report our conclusions about the effectiveness
     of the disclosure controls and procedures based on our evaluation as of the
     Evaluation Date;

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

     a) all significant deficiencies in the design or operation of internal
     controls which could adversely affect the registrant's ability to record,
     process, summarize and report financial data and have identified for the
     registrant's auditors any material weaknesses in internal controls; and

     b) any fraud, whether or not material, that involves management or other
     employees who have a significant role in the registrant's internal
     controls; and

6. The registrant's other certifying officers and I have indicated in this
annual report whether there were significant changes in internal controls or in
other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.

Date: March 31, 2003

----------------------
By /s/ ROBERT M. ALDERMAN
   ----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

                                       18
<Page>

                                 EXHIBIT 99 (a)

                                  AS ADOPTED TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with this annual report of The Futures Expansion Fund Limited
Partnerhip on Form 10-K for the period ended December 31, 2002 as filed with the
Securities and Exchange Commission on the date hereof, I, Robert M. Alderman,
general partner of the Partnership, certify, pursuant to 18 U.S.C. Section 1350,
as adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

1. This annual report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this annual report fairly presents, in all
material respects, the financial condition and results of operations of The
Futures Expansion Fund Limited Partnership.


Date: March 31, 2003

----------------------
By /s/ ROBERT M. ALDERMAN
   ----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)

                                       19
<Page>

                                   EXHIBIT 99

          FORM OF CERTIFICATION PURSUANT TO SECTION 1350 OF CHAPTER 63
                     OF TITLE 180 OF THE UNITED STATES CODE

I, Michael L. Pungello, certify that:

1. I have reviewed this annual report on Form 10-K of The Futures Expansion Fund
Limited Partnerhip;

2. Based on my knowledge, this annual report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to make
the statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this annual
report;

3. Based on my knowledge, the financial statements, and other financial
information included in this annual report, fairly present in all material
respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this annual report;

4. The registrant's other certifying officers and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-14 and 15d-14) for the registrant and have:

     a) designed such disclosure controls and procedures to ensure that material
     information relating to the registrant, including its consolidated
     subsidiaries, is made known to us by others within those entities,
     particularly during the period in which this annual report is being
     prepared;

     b) evaluated the effectiveness of the registrant's disclosure controls and
     procedures as of a date within 90 days prior to the filing date of this
     annual report (the "Evaluation Date"); and

     c) presented in this annual report our conclusions about the effectiveness
     of the disclosure controls and procedures based on our evaluation as of the
     Evaluation Date;

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

     a) all significant deficiencies in the design or operation of internal
     controls which could adversely affect the registrant's ability to record,
     process, summarize and report financial data and have identified for the
     registrant's auditors any material weaknesses in internal controls; and

     b) any fraud, whether or not material, that involves management or other
     employees who have a significant role in the registrant's internal
     controls; and

6. The registrant's other certifying officers and I have indicated in this
annual report whether there were significant changes in internal controls or in
other factors that could significantly affect internal controls subsequent to
the date of our most recent evaluation, including any corrective actions with
regard to significant deficiencies and material weaknesses.

Date: March 31, 2003

----------------------
By /s/ MICHAEL L. PUNGELLO
   -----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

                                       20
<Page>

                                 EXHIBIT 99 (a)

                                  AS ADOPTED TO
                  SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with this annual report of The Futures Expanion Fund Limited
Partnerhip on Form 10-K for the period ended December 31, 2002 as filed with the
Securities and Exchange Commission on the date hereof, I, Michael L. Pungello,
general partner of the Partnership, certify, pursuant to 18 U.S.C. Section 1350,
as adopted pursuant of the Sarbanes-Oxley Act of 2002, that:

1. This annual report fully complies with the requirements of Section 13 or
15(d) of the Securities and Exchange Act of 1934; and

2. The information contained in this annual report fairly presents, in all
material respects, the financial condition and results of operations of The
Futures Expansion Fund Limited Partnership.


Date: March 31, 2003

------------------------
By /s/ MICHAEL L. PUNGELLO
   -----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)

                                       21
<Page>

                 THE FUTURES EXPANSION FUND LIMITED PARTNERSHIP

                                 2002 FORM 10-K

                                INDEX TO EXHIBITS

<Table>
<Caption>
                  EXHIBIT
                  -------
<S>               <C>
Exhibit 13.01     2002 Annual Report and Independent Auditors' Report
</Table>

                                       22