<Page>

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 20549

                                    FORM 10-K

                (x) Annual Report Pursuant to Section 13 or 15(d)
                     of the Securities Exchange Act of 1934

                  For the fiscal year ended: December 31, 2001
                                       or
                  ( ) Transition Report Pursuant to Section 13
                 or 15(d) of the Securities Exchange Act of 1934

                         Commission file number: 0-15298

                 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 MLIM ALTERNATIVE STRATEGIES 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, 2002, limited partnership units with an aggregate value of
$4,882,518 were outstanding and held by non-affiliates.

                       DOCUMENTS INCORPORATED BY REFERENCE

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

<Page>

                 THE FUTURES EXPANSION FUND LIMITED PARTNERSHIP

                       ANNUAL REPORT FOR 2001 ON FORM 10-K

                                TABLE OF CONTENTS

<Table>
<Caption>
                                    PART I                                                            PAGE
                                                                                                      ----
<S>                                                                                                   <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


                                     PART IV

Item 14.      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
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.

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

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

                  As of December 31, 2001, the capitalization of the Fund was
$5,211,670, and the Net Asset Value per Unit, originally $100 as of January 2,
1987, had risen to $244.58.

                  Through December 31, 2001, the highest month-end Net Asset
Value per Unit was $296.42 (March 31, 2001) 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 MLIM AS LLC, acting on behalf of the Fund, under certain
circumstances involving, for example, substantial losses or changes in control
of Millburn.


                                       1
<Page>

                  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 January 1, 2002 Millburn was
managing approximately $376 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 filter out the "whipsaw" effect that 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.


                                       2
<Page>

                  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.

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

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

                  CHARGES

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

<Table>
<Caption>
                                 2001                        2000                         1999
                     --------------------------------------------------------------------------------------
                                     % OF AVERAGE                % OF AVERAGE                 % OF AVERAGE
                         DOLLAR        MONTH-END    DOLLAR         MONTH-END     DOLLAR         MONTH-END
     CHARGES             AMOUNT       NET ASSETS    AMOUNT        NET ASSETS     AMOUNT        NET ASSETS
-----------------------------------------------------------------------------------------------------------
<S>                   <C>            <C>          <C>            <C>           <C>            <C>
Brokerage             $  567,221         9.58%    $  586,401          9.69%    $  761,747          9.67%
Commissions

Administrative Fees       14,927         0.25%        15,432          0.26%        20,044          0.26%

Profit Shares              1,164         0.02%       154,404          2.55%         5,571          0.07%
                     ------------------------------------------------------------------------------------
Total                 $  583,312         9.85%    $  756,237         12.50%    $  787,362         10.00%
                     ====================================================================================
</Table>
                                           ----------------------------


                                       3
<Page>

                  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 2001, 2000 and
1999 equaled $5,922,361, $6,049,763 and $7,875,768, respectively.

                  During 2001, 2000 and 1999, the Fund earned $205,992, $363,374
and $383,867 in interest income, or approximately 3.48%, 6.01% and 4.87% 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 2001, 2000, and 1999, 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 $220, $202 and
                                                             $237, 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.

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

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

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 date.
Others
</Table>

                  REGULATION

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

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


                                       4
<Page>

                  (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.

ITEM 2:  PROPERTIES

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

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

ITEM 3:  LEGAL PROCEEDINGS

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

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

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

                  The Fund has never submitted any 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, 2001, there were 225 holders of Units,
including MLIM AS LLC.

         (c)      DIVIDENDS:

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

         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                     2001             2000             1999             1998             1997
-----------------------------------------------------------------------------------------------------------------------
<S>                                   <C>              <C>              <C>              <C>             <C>
Revenues:

Trading Profits (Loss)
     Realized                         $    526,413     $    (92,810)    $   (160,036)    $    761,007    $   1,551,671
     Change in Unrealized                 (911,167)         860,160           62,797         (176,383)        (102,280)
                                  -------------------------------------------------------------------------------------
     Total Trading Results
                                          (384,754)         767,350          (97,239)         584,624        1,449,391
                                  -------------------------------------------------------------------------------------

Interest Income                            205,992          363,374          383,867          433,501          470,192
                                  -------------------------------------------------------------------------------------

     Total Revenues                       (178,762)       1,130,724          286,628        1,018,125        1,919,583
                                  -------------------------------------------------------------------------------------
Expenses:

     Brokerage Commissions                 567,221          586,401          761,747          860,552        1,022,449
     Administrative Fees                    14,927           15,432           20,044           22,646           26,392
     Profit Shares                           1,164          154,404            5,571          118,954          278,351
                                  -------------------------------------------------------------------------------------
     Total Expenses                        583,312          756,237          787,362        1,002,152        1,327,192
                                  -------------------------------------------------------------------------------------

Net Income (Loss)                     $   (762,074)    $    374,487     $   (500,734)     $    15,973     $    592,391
                                  =====================================================================================
</Table>

<Table>
<Caption>
                                      DECEMBER 31,     DECEMBER 31,     DECEMBER 31,     DECEMBER 31,     DECEMBER 31,
BALANCE SHEET DATA                        2001             2000             1999             1998             1997
-----------------------------------------------------------------------------------------------------------------------
<S>                                   <C>              <C>              <C>              <C>             <C>
Fund Net Asset Value                  $  5,211,670     $  6,275,966     $  6,953,434     $  8,559,611    $   9,640,738
Net Asset Value per Unit              $     244.58     $     279.65     $     259.64     $     277.65    $     275.73
                                  -------------------------------------------------------------------------------------
</Table>

<Table>
<Caption>
                                       MONTH-END NET ASSET VALUE PER UNIT
         JAN.     FEB.     MAR.    APR.      MAY     JUNE     JULY    AUG.     SEPT.    OCT.     NOV.    DEC.
<S>     <C>      <C>     <C>      <C>      <C>      <C>      <C>     <C>      <C>      <C>      <C>     <C>
  1997  $277.32  $292.65 $283.51  $274.35  $277.52  $277.13  $295.54 $270.69  $273.08  $266.48  $265.12 $275.73

  1998  $281.99  $274.64 $277.27  $254.92  $265.04  $267.36  $250.99 $268.54  $282.27  $275.27  $271.62 $277.65

  1999  $264.44  $272.54 $275.86  $289.39  $279.89  $291.36  $281.46 $282.95  $283.19  $251.12  $255.31 $259.64

  2000  $264.16  $258.89 $244.12  $245.36  $240.78  $229.50  $225.87 $231.34  $225.23  $233.86  $245.75 $279.65

  2001  $280.42  $274.51 $296.42  $282.48  $283.19  $275.27  $257.47 $264.20  $254.53  $266.70  $239.84 $244.58
</Table>

Pursuant to CFTC policy, monthly performance is presented from January 1, 1997,
even though the Units were outstanding prior to such date.


                                       6
<Page>

                 THE FUTURES EXPANSION FUND LIMITED PARTNERSHIP
                                DECEMBER 31, 2001

   TYPE OF POOL: Single Advisor/Publicly-Offered/Non-"Principal Protected"(1)
                      INCEPTION OF TRADING: January 2, 1987
                      AGGREGATE SUBSCRIPTIONS: $56,741,035
                       CURRENT CAPITALIZATION: $5,211,670
                   WORST MONTHLY DRAWDOWN(2): (11.32)% (10/99)
             WORST PEAK-TO-VALLEY DRAWDOWN(3): (23.79)% (8/97-9/00)
                                  -------------

              NET ASSET VALUE PER UNIT, DECEMBER 31, 2001: $244.58

<Table>
<Caption>
                           MONTHLY RATES OF RETURN(4)

MONTH                2001        2000       1999        1998        1997
<S>                 <C>         <C>        <C>         <C>         <C>
January              0.27%       1.74%     (4.76%)      2.27%       6.54%

February            (2.11)      (2.00)       3.06      (2.61)       5.53

March                7.98       (5.70)       1.22       0.96       (3.12)

April               (4.70)       0.51        4.90      (8.06)      (3.23)

May                  0.25       (1.86)      (3.28)      3.97        1.16

June                (2.80)      (4.69)       4.10       0.88       (0.14)

July                (6.46)      (1.57)      (3.40)     (6.12)       6.64

August               2.62        2.42        0.53       6.99       (8.41)

September           (3.66)      (2.64)       0.08       5.11        0.88

October              4.78        3.83      (11.32)     (2.48)      (2.42)

November           (10.07)       5.08        1.67      (1.33)      (0.51)

December             1.97       13.79        1.70       2.22        4.00

Compound Annual
Rate of Return     (12.54)%      7.72%     (6.49%)      0.69%       5.93%
</Table>

                  (1) Certain funds, including funds sponsored by MLIM AS LLC,
are structured so as to guarantee to investors that their investment will be
worth no less than a specified amount (typically, the initial purchase price) as
of a date certain after the date of investment. The CFTC refers to such funds as
"Principal Protected." The Fund has no such feature.

                  (2) Worst Monthly Drawdown represents the largest negative
Monthly Rate of Return experienced since January 1, 1997 by the Fund; a Drawdown
is measured on the basis of month-end Net Asset Value only, and does not reflect
intra-month figures.

                  (3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline since January 1, 1997 from a month-end cumulative Monthly
Rate of Return without such cumulative Monthly Rate of Return being 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 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,


                                       7
<Page>

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

                  MLIM AS 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 period 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.

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

                  MLIM AS LLC relies primarily on Millburn's risk management
policies and strategies to control the market risk inherent in the Fund's
trading. MLIM AS 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 MLIM
AS LLC determines as being excessively concentrated in a limited number of
markets -- in which case MLIM AS LLC may discuss the possibility of rebalancing
or deleveraging the Fund's portfolio with Millburn. To date, however, MLIM AS
LLC has not intervened so as to require any rebalancing or deleveraging of
Millburn's trading.

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

        PERFORMANCE SUMMARY

                  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 announce 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 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


                                       8
<Page>

<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 5 and 10-year notes and 30-year
bonds and German and British 10-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 sugar were slightly profitable, but
not enough to offset losses in the cotton and wheat sectors.

                  1999
<Table>
<Caption>
                                               TOTAL TRADING
                                                  RESULTS
<S>                                            <C>
 Interest Rates and Stock Indices              $    51,637
 Agriculture                                      (500,784)
 Currencies                                         73,831
 Energy                                            219,142
 Metals                                             58,935
                                               ------------
                                               $   (97,239)
                                               ============
</Table>

                  The Fund finished 1999 with gains for the year in energy,
currency, stock index and metal trading. The


                                       9
<Page>

most significant market features during the year were the bull markets in crude
oil and crude oil products and the decline of the new Euro currency against
the U.S. dollar. Interest rate trading was slightly unprofitable. Agricultural
commodities encountered volatile whipsaw market conditions and generated losses
in excess of the profits from the four profitable market sectors.

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

                  Currency trading produced modest gains for the year, aided
mostly by profits from short positions versus the U.S. dollar in European
currencies, specifically the Euro, Swiss franc and Danish krone. The gains
were slightly offset by losses from non-U.S. dollar cross-rate trading. The
European Central Bank raised the repo rate in November due to inflation
pressures, which generated gains for short positions in the Euro currency. On
a trade-weighted basis, the Swiss franc ended the first quarter to close at a
seven-month low, mostly as a result of the stronger U.S. dollar. The Canadian
dollar also underwent similar fluctuations throughout the year. Euro currency
trading sustained losses as it continued to trade in the same choppy pattern
that has been evident during most of 1999.

                  Metals trading was profitable during 1999, primarily due to
the spectacular move up in gold and slight gains from short positions in
aluminum and copper. In early June, gold had reached its lowest level in over 20
years. A major statement from the president of the European Central Bank stated
that the member banks had agreed not to expand their gold lending. This sent
gold prices sharply higher in late September. Gold prices had stabilized in the
fourth quarter following the price surge. Early in the year, burdensome
warehouse stocks and questionable demand prospects weighed on base metals as
aluminum fell to a five-year low and copper fell to nearly an 11-year low. The
economic scenario for Asia, Brazil, Europe and emerging market nations helped to
keep copper and other base metals on the defensive as demand receded with
virtually no supply side response in the second quarter. A substantial increase
in Chinese imports combined with the recovery in the rest of Asia and Europe had
significantly improved demand for aluminum pushing prices higher during
December.

                  Stock Index trading was profitable during 1999 with gains in
Hong Kong's Hang Seng and Japan's Topix and Nikkei indices outweighing small
losses in the S&P 500 index. Stock indices continued their volatile swings
throughout the year as the Dow Jones Industrial Average closed above the 10,000
and 11,000 marks during the year. S&P 500 positions generated losses during the
year as the U.S. markets continued their volatile swings, which made the trading
environment extremely difficult. However, the Hong Kong and Japanese stock
indices recovered during the year producing gains for the Fund.

                  Interest rate trading was volatile during the year as the
Federal Reserve raised interest rates three times and the Japanese government's
continued desire to keep short-term rates at zero loomed over the markets
throughout the year. The Fund was slightly unprofitable due to losses from
Japanese ten-year bond trading and short-term Eurodollar deposits narrowly
outweighed gains from U.S. and European bond and note trading. Early in the
year, the yield on the Japanese government ten-year bond increased to 1.8%,
sharply above the record low of 0.695% it reached on October 7, 1998. This was
triggered by the Japanese Trust Partnership Bureau's decision to absorb a
smaller share of future issues, leaving the burden of financing future budget
deficits to the private sector.

                  Agriculture commodity trading generated the largest losses in
1999 as coffee, sugar, cotton, corn, wheat and soybeans encountered whipsaw
market conditions and continued volatility throughout the market sector. The
anticipation of supply/demand imbalance for coffee from an expected 2000-2001
bumper crop in Brazil pushed prices lower. These factors also led to an increase
in prices as there was a sharp decline in crop ratings during the second half of
the year. There was also a sharp upturn in soy prices. Losses in coffee trading
became evident due to cold temperature and lack of rainfall in Brazil.

         LIQUIDITY; CAPITAL RESOURCES


                                       10
<Page>

                  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, 2001

<Table>
                        FOURTH        THIRD        SECOND        FIRST       FOURTH       THIRD     SECOND          FIRST
                       QUARTER       QUARTER       QUARTER      QUARTER     QUARTER      QUARTER    QUARTER        QUARTER
                         2001         2001          2001         2001         2000        2000       2000           2000
                         ----         ----          ----         ----         ----        ----       ----           ----
<S>                 <C>           <C>          <C>           <C>         <C>          <C>         <C>          <C>
Total Income        $   (80,957)  $ (328,637)  $  (413,592)  $  644,425  $ 1,556,911  $   36,221  $ (222,556)  $  (239,852)
Total Expenses          132,827      126,006        54,652      269,828      299,950     138,678     150,879       166,730
                    --------------------------------------------------------------------------------------------------------
Net Income          $  (213,784)  $ (454,643)  $  (468,244)  $  374,597  $ 1,256,961  $ (102,457) $ (373,435)  $  (406,582)
Net Income per Unit $     (9.91)  $   (20.77)  $    (21.19)  $    16.78  $     54.12  $    (4.13) $   (14.51)  $    (15.34)
</Table>

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

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

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


                  There were no changes in or disagreements with independent
auditors on accounting 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 MLIM AS 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:

FABIO P. SAVOLDELLI    Chairman, Chief Executive Officer and Manager

ROBERT M. ALDERMAN     Manager

FRANK M. MACIOCE       Vice President and Manager

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

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

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

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

                  Frank M. Macioce was born in 1945. Mr. Macioce is a Vice
President and a Manager of MLIM AS LLC


                                       11
<Page>

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

                  Steven B. Olgin was born in 1960. Mr. Olgin is a Vice
President, Chief Adminstrative Officer and a Manager of MLIM AS LLC. He
joined MLIM AS LLC in July 1994 and became a Vice President in July 1995.
From 1986 until July 1994, Mr. Olgin was an associate of the law firm of
Sidley & Austin. In 1982, Mr. Olgin graduated from The American University
with a Bachelor of Science in Business Administration and a Bachelor of Arts
in Economics. In 1986, he received his Juris Doctor from The John Marshall
Law School. Mr. Olgin is a member of the Managed Funds Association's
Government Relations Committee and has served as an arbitrator for the
National Futures Association. Mr. Olgin is a member of the Illinois Bar.

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

                  As of December 31, 2001, the principals of MLIM AS LLC had no
investment in the Fund, and MLIM AS LLC's general partner interest in the Fund
was valued at $56,008.

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

         (c)      IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

                  None.

         (d)      FAMILY RELATIONSHIPS:

                  None.

         (e)      BUSINESS EXPERIENCE:

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

         (f)      INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

                  None.

         (g)      PROMOTERS AND CONTROL PERSONS:

                  Not applicable.

ITEM 11:  EXECUTIVE COMPENSATION

                  The managers and officers of MLIM AS LLC are remunerated by
MLIM AS LLC in their respective positions. The Fund does not itself have any
officers, directors or employees. The Fund pays Brokerage Commissions to an


                                       12
<Page>

affiliate of MLIM AS LLC and Administrative Fees to MLIM AS LLC. MLIM AS 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 MLIM AS LLC. There are no compensation plans or
arrangements relating to a change in control of either the Fund or MLIM AS
LLC.

ITEM 12: SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

         (a)      SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

<Table>
<Caption>
                                                     AMOUNT AND NATURE OF
TITLE OF CLASS    NAME OF BENEFICIAL OWNER           BENEFICIAL OWNERSHIP       PERCENT OF CLASS
--------------    ------------------------           --------------------       ----------------
<S>               <C>                                <C>                        <C>
Limited           Elizabeth Waterman                 1,500                      7.03%
Partnership       c/o James Waterman
Units             472 North Maple Avenue
                  Greenwich, CT  06830
</Table>

         (b)      SECURITY OWNERSHIP OF MANAGEMENT:

                  As of December 31, 2001, MLIM AS LLC owned 229 Units
(Unit-equivalent general partnership interest), which was 1.07% 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 pays Merrill Lynch substantial Brokerage Commissions
and Administrative Fees as well as bid-ask spreads on forward currency trades.
The Fund also pays MLPF&S interest on short-term loans extended by MLPF&S to
cover losses on foreign currency positions.

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

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

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

         (b)      CERTAIN BUSINESS RELATIONSHIPS:

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

                  In 2001, the Fund expensed: (i) Brokerage Commissions of
$567,221 to MLPF&S, which included $119,415 in consulting fees earned by
Millburn; and (ii) Administrative Fees of $14,927 to MLIM AS LLC. In addition,
MLIM AS 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.


                                       13
<Page>

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

                                     PART IV

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

<Table>
<Caption>
         (a)1.    FINANCIAL STATEMENTS (FOUND IN EXHIBIT 13.01):                                     PAGE:
<S>                                                                                                  <C>
                  Independent Auditors' Report                                                           1

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

                  Consolidated Statements of Operations For the years ended
                  December 31, 2001, 2000 and 1999                                                       3

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

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

                  Notes to Consolidated Financial Statements                                          6-10
</Table>

         (a)2.    FINANCIAL STATEMENT SCHEDULES:

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

         (a)3.    EXHIBITS:

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

DESIGNATION       DESCRIPTION

3.01              Amended and Restated Limited Partnership Agreement of the
                  Fund.

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.

                                       14
<Page>

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 AS
                  LLC and Millburn Ridgefield Corporation.

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 herein by reference from Exhibit 10.03
                  contained in the Registrant's Registration Statement.

10.05             Form of Consulting Agreement between Millburn Ridgefield
                  Corporation 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 AS 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
                  AS LLC, Millburn Ridgefield Corporation, 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             2001 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.

         (b)      REPORT ON FORM 8-K:

                  No reports on Form 8-K were filed during the fourth quarter of
2001.

                                       15
<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: MLIM ALTERNATIVE STRATEGIES LLC
                               (formerly Merrill Lynch Investment Partners Inc.)
                                   General Partner

                           By: /s/Fabio P. Savoldelli
                               -----------------------
                               Fabio P. Savoldelli
                               Chairman, Chief Executive Officer and Manager
                               (Principal Executive Officer)

         Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 29, 2002 by the
following persons on behalf of the Registrant and in the capacities indicated.

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

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

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

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

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the managers of MLIM Alternative Strategies LLC)
<Table>
<S>                                   <C>                                                  <C>
MLIM ALTERNATIVE STRATEGIES           General Partner of Registrant                         March 29, 2002
   LLC
</Table>

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


                                       16
<Page>

                 THE FUTURES EXPANSION FUND LIMITED PARTNERSHIP

                                 2001 FORM 10-K

                                INDEX TO EXHIBITS


                  EXHIBIT

Exhibit 13.01     2001 Annual Report and Independent Auditors' Report

                                      17