<Page>



                   ML FUTURES INVESTMENTS L.P.
                   (A DELAWARE LIMITED PARTNERSHIP)


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







[LOGO]MERRILL LYNCH

<Page>

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)



TABLE OF CONTENTS

                                                                            PAGE
                                                                            ----

INDEPENDENT AUDITORS' REPORT                                                  1

FINANCIAL STATEMENTS:

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

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

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

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

  Notes to Financial Statements                                            6-11

<Page>

INDEPENDENT AUDITORS' REPORT



To the Partners of
ML Futures Investments L.P.:

We have audited the accompanying statements of financial condition of ML Futures
Investments L.P. (the "Partnership") as of December 31, 2001 and 2000 and the
related statements of operations and of changes in partners' capital for each of
the three years in the period ended December 31, 2001 and the financial data
highlights for the year ended December 31, 2001. These financial statements and
financial data highlights are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements and financial data highlights based on our audits.

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

In our opinion, such financial statements and financial data highlights
present fairly, in all material respects, the financial position of ML
Futures Investments L.P. as of December 31, 2001 and 2000, and the results of
its operations and changes in its partners' capital and the financial data
highlights for each of the periods presented, in conformity with accounting
principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP


New York, New York
February 5, 2002

<Page>

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)


STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2001 AND 2000

<Table>
<Caption>
                                                                      2001              2000
                                                                ---------------    ---------------
<S>                                                             <C>                <C>
ASSETS

Investment in MM LLC (Note 6)                                    $  12,802,184      $  14,260,889
Receivable from investment in MM LLC (Note 6)                           93,869            250,414
                                                                ---------------    ---------------

            TOTAL                                                $  12,896,053      $  14,511,303
                                                                ===============    ===============

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
    Redemptions payable (Note 1)                                 $      93,869      $     250,414
                                                                ---------------    ---------------

        Total liabilities                                               93,869            250,414
                                                                ---------------    ---------------

PARTNERS' CAPITAL:
    General Partner (540 Units and 613 Units)                          136,997            154,104
    Limited Partners (49,922 Units and 56,108 Units)                12,665,187         14,106,785
                                                                ---------------    ---------------

        Total partners' capital                                     12,802,184         14,260,889
                                                                ---------------    ---------------

            TOTAL                                                $  12,896,053      $  14,511,303
                                                                ===============    ===============

NET ASSET VALUE PER UNIT
   (Based on 50,462 and 56,721 Units outstanding)                $      253.70      $      251.42
                                                                ===============    ===============
</Table>

See notes to financial statements.


                                      2
<Page>


ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

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

<Table>
<Caption>
                                                                     2001               2000               1999
                                                                ---------------    ---------------    ---------------
<S>                                                             <C>                <C>                <C>
INCOME (LOSS) FROM INVESTMENT (Note 6)                           $     131,917      $     708,390      $    (235,974)
                                                                ---------------    ---------------    ---------------

NET INCOME (LOSS)                                                $     131,917      $     708,390      $    (235,974)
                                                                ===============    ===============    ===============

NET INCOME (LOSS) PER UNIT:

  Weighted average number of General Partner
    and Limited Partner Units outstanding (Note 5)                      53,319             63,836             80,243
                                                                ===============    ===============    ===============

  Net income (loss) per weighted average
    General Partner and Limited Partner Unit                     $        2.47      $       11.10      $       (2.94)
                                                                ===============    ===============    ===============
</Table>

See notes to financial statements.



                                      3
<Page>


ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

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

<Table>
<Caption>
                                               UNITS          GENERAL PARTNER      LIMITED PARTNERS            TOTAL
                                          ---------------    -----------------    ------------------      ---------------
<S>                                       <C>                <C>                  <C>                     <C>
PARTNERS' CAPITAL,
  DECEMBER 31, 1998                               87,302      $       247,344      $     20,779,919        $  21,027,263


Net loss                                         -                     (2,886)             (233,088)            (235,974)


Redemptions                                      (15,669)             -                  (3,739,335)          (3,739,335)
                                          ---------------    -----------------    ------------------      ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1999                               71,633              244,458            16,807,496           17,051,954


Net income                                       -                      7,845               700,545              708,390

Redemptions                                      (14,912)             (98,199)           (3,401,256)          (3,499,455)
                                          ---------------    -----------------    ------------------      ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 2000                               56,721              154,104            14,106,785           14,260,889


Net income                                       -                      2,401               129,516              131,917

Redemptions                                       (6,259)             (19,508)           (1,571,114)          (1,590,622)
                                          ---------------    -----------------    ------------------      ---------------

PARTNERS' CAPITAL,
  DECEMBER 31, 2001                               50,462      $       136,997      $     12,665,187        $  12,802,184
                                          ===============    =================    ==================      ===============
</Table>

See notes to financial statements.


                                      4
<Page>

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)


FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2001

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

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

PER UNIT OPERATING PERFORMANCE:
-------------------------------

Net asset value, beginning of period                                $   251.42

Realized trading profit                                                  37.67
Change in unrealized                                                    (16.57)
Interest income                                                           8.79
Expenses                                                                (27.61)
                                                                   ------------

Net asset value, end of period                                      $   253.70
                                                                   ============

Total investment return, compounded monthly                               0.91%
                                                                   ============

RATIOS TO AVERAGE NET ASSETS:
-----------------------------

Expenses                                                                 10.85%
                                                                   ============

Net income                                                                0.97%
                                                                   ============
</Table>

See notes to financial statements.



                                      5
<Page>

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO FINANCIAL STATEMENTS


1.  SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

    ORGANIZATION

    ML Futures Investments L.P. (the "Partnership") was organized under the
    Delaware Revised Uniform Limited Partnership Act on November 14, 1988 and
    commenced trading activities on March 1, 1989. The Partnership engages,
    through an investment in a limited liability company (see below), in the
    speculative trading of futures, options on futures, forwards and options on
    forward contracts on a wide range of commodities. MLIM Alternative
    Strategies LLC ("MLIM AS LLC"), formerly Merrill Lynch Investment Partners
    Inc. ("MLIP"), a wholly-owned subsidiary of Merrill Lynch Investment
    Managers, LP ("MLIM") which, in turn, is an indirect wholly-owned
    subsidiary of Merrill Lynch & Co., Inc. ("Merrill Lynch"), is the general
    partner of the Partnership. Merrill Lynch, Pierce, Fenner & Smith
    Incorporated ("MLPF&S"), the successor to Merrill Lynch Futures Inc. ("MLF")
    by merger, is the Partnership's commodity broker. MLIM AS LLC has agreed to
    maintain a general partner's interest of at least 1% of the total capital in
    the Partnership. MLIM AS LLC and each Limited Partner share in the profits
    and losses of the Partnership in proportion to their respective interests in
    it.

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

    Many of the multi-advisor funds (the "Multi-Advisor Funds") sponsored by
    MLIM AS LLC, including the Partnership, allocate their assets to a number
    of the same independent advisors (the "Advisors"). These Multi-Advisor
    Funds invest in a limited liability company, ML Multi-Manager Portfolio LLC
    ("MM LLC"), a Delaware limited liability company, which operates a single
    account with each Advisor selected. MM LLC is managed by MLIM AS LLC, has
    no investors other than the Multi-Advisor Funds and serves solely as the
    vehicle through which the assets of such Multi-Advisor Funds are combined
    in order to be managed through single rather than multiple accounts. As of
    September 2000, two additional Multi-Advisor Funds were added to MM LLC.
    The placement of assets into MM LLC did not change the operations or fee
    structure of the Partnership. The following notes relate to the operation
    of the Partnership through its investment in MM LLC. The administrative
    authority over the Partnership remains with MLIM AS LLC. MLIM AS LLC, on
    an ongoing basis, may change the number of Multi-Advisor Funds investing in
    MM LLC. As of December 2001, 2000 and 1999, the Partnership's percentage
    ownership share of MM LLC was 6.35%, 5.76% and 17.40%, respectively.

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

    ESTIMATES

    The preparation of financial statements in conformity with accounting
    principles generally accepted in the United States of America requires
    management to make estimates and assumptions that affect the


                                      6
<Page>

    reported amounts of assets and liabilities and disclosure of contingent
    assets and liabilities at the date of the financial statements as well as
    the reported amounts of revenues and expenses during the reporting period.
    Actual results could differ from those estimates.

    CASH MANAGEMENT

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

    REVENUE RECOGNITION

    Commodity futures, options on futures, forwards and options on forward
    contracts are recorded on the trade date and open contracts are reflected in
    net unrealized profit (loss) on open contracts in the Statements of
    Financial Condition of MM LLC at the difference between the original
    contract value and the market value (for those commodity interests for which
    market quotations are readily available) or at fair value. The change in
    unrealized profit (loss) on open contracts from one period to the next is
    reflected in Change in unrealized under Trading profit (loss) in the
    Statements of Operations of MM LLC. See Note 6 for discussion of revenue
    recognition for the Partnership's investment in MM LLC.

    FOREIGN CURRENCY TRANSACTIONS

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

    OPERATING EXPENSES

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

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

    INCOME TAXES

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



                                      7
<Page>

    DISTRIBUTIONS

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

    REDEMPTIONS

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

    DISSOLUTION OF THE PARTNERSHIP

    The Partnership will terminate on December 31, 2008 or at an earlier date if
    certain conditions occur, as well as under certain other circumstances as
    set forth in the Limited Partnership Agreement.

2.  CONDENSED SCHEDULE OF INVESTMENTS

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

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

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

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

3.  RELATED PARTY TRANSACTIONS

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

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

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

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


                                      8
<Page>

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

4.  ADVISORY AGREEMENTS

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

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

5.  WEIGHTED AVERAGE UNITS

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

6.  INVESTMENT IN MM LLC

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



    Total revenues and fees with respect to such investments were set forth as
    follows:

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

<S>                                               <C>                       <C>                      <C>
Realized Profit                                    $          2,049,532      $            612,769     $            586,968
Change in Unrealized Profit/Loss                               (913,578)                  855,288                   93,125
Interest Income                                                 473,244                   850,698                  911,173

Brokerage Commissions                                         1,181,604                 1,264,386                1,689,484
Administrative Fees                                              33,760                    36,125                   48,271
Profit Shares                                                   261,917                   309,854                   89,485
                                                  ----------------------    ----------------------   ----------------------

Income/(Loss) from Investment                      $            131,917      $            708,390     $           (235,974)
                                                  ======================    ======================   ======================
</Table>



                                      9
<Page>

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

<Table>
<Caption>

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

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

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

<Caption>

                              FOR THE YEAR ENDED           FOR THE YEAR ENDED          FOR THE YEAR ENDED
                               DECEMBER 31, 2001            DECEMBER 31, 2000           DECEMBER 31, 1999
                             ----------------------      ----------------------      ----------------------
<S>                          <C>                         <C>                         <C>
Revenues                      $         22,936,034        $         28,324,323        $          9,090,190

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

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


7.  FAIR VALUE AND OFF-BALANCE SHEET RISK

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

    MARKET RISK

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

    MLIM AS LLC has procedures in place intended to control market risk
    exposure, although there can be no assurance that they will, in fact,
    succeed in doing so. These procedures focus primarily on monitoring the
    trading of the Advisors selected from time to time by the Partnership or MM
    LLC, and include calculating the Net Asset Value of their respective
    Partnership accounts and MM LLC accounts as of the close of business on each
    day and reviewing outstanding positions for over-concentrations both on an
    Advisor-by-Advisor and on an overall Partnership basis. While MLIM AS LLC
    does not itself intervene in the markets to hedge or diversify the
    Partnership's market exposure, MLIM AS LLC may urge Advisors to reallocate
    positions, or itself reallocate Partnership assets among Advisors (although
    typically only as of the end of a month) in an attempt to avoid
    over-concentrations. However, such interventions are unusual. Except in
    cases in which it appears that an Advisor has begun to deviate from past
    practice or trading policies or to be trading erratically, MLIM AS LLC's
    basic risk control procedures consist simply of the ongoing process of
    advisor monitoring and selection with the market risk controls being applied
    by the Advisors themselves.


                                      10
<Page>

    CREDIT RISK

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

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

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

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

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



                               Michael L. Pungello
                             Chief Financial Officer
                         MLIM Alternative Strategies LLC
                               General Partner of
                           ML Futures Investments L.P.



                                       11
<Page>






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


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











[LOGO]MERRILL LYNCH

<Page>

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


TABLE OF CONTENTS

                                                                            PAGE
                                                                            ----

INDEPENDENT AUDITORS' REPORT                                                 1

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

  Statements of Financial Condition                                          2

  Statements of Income                                                       3

  Statements of Changes in Members' Capital                                  4

  Notes to Financial Statements                                             5-9

<Page>

INDEPENDENT AUDITORS' REPORT




To the Members of
ML Multi-Manager Portfolio LLC:

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

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

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


DELOITTE & TOUCHE LLP


New York, New York
February 5, 2002

<Page>

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

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2001 AND 2000

<Table>
<Caption>
ASSETS
                                                                                      2001                            2000
                                                                                 ---------------                 ---------------
<S>                                                                              <C>                             <C>
Equity in commodity futures trading accounts:
    Cash and option premiums                                                      $ 205,396,650                   $ 139,346,615
    Net unrealized profit on open contracts (Note 2)                                  2,077,539                      13,995,141
Cash                                                                                     -                            2,835,198
Commercial Paper (Cost $95,200,766)                                                      -                           95,200,766
Accrued interest (Note 4)                                                               314,001                       1,618,036
                                                                                 ---------------                 ---------------
                TOTAL                                                             $ 207,788,190                   $ 252,995,756
                                                                                 ===============                 ===============

LIABILITIES AND MEMBERS' CAPITAL

LIABILITIES:
    Brokerage commissions payable (Note 4)                                        $     967,361                   $   1,265,023
    Profit Shares payable (Note 5)                                                      685,683                       3,036,430
    Administrative fees payable (Note 4)                                                 32,650                          41,341
    Due to Invested Funds                                                             4,638,713                       1,040,995
                                                                                 ---------------                 ---------------
            Total liabilities                                                         6,324,407                       5,383,789
                                                                                 ---------------                 ---------------

MEMBERS' CAPITAL:
    Voting Members                                                                  201,463,783                     247,611,967
                                                                                 ---------------                 ---------------
            Total Members' capital                                                  201,463,783                     247,611,967
                                                                                 ---------------                 ---------------
                TOTAL                                                             $ 207,788,190                   $ 252,995,756
                                                                                 ===============                 ===============
</Table>

See notes to financial statements.


                                      2
<Page>

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

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

<Table>
<Caption>
REVENUES                                                                              2001                             2000
                                                                                 ---------------                 ---------------
<S>                                                                              <C>                             <C>
Trading profit:
    Realized                                                                      $  26,679,581                   $   8,646,046
    Change in unrealized                                                            (11,977,991)                     11,538,356
                                                                                 ---------------                 ---------------
        Total trading results                                                        14,701,590                      20,184,402
Interest income (Note 1 & Note 4)                                                     8,234,444                       8,139,921
                                                                                 ---------------                 ---------------
        Total revenues                                                               22,936,034                      28,324,323
                                                                                 ---------------                 ---------------

EXPENSES
Brokerage commissions (Note 4)                                                       14,316,819                      10,015,693
Profit Shares (Note 5)                                                                2,968,452                       3,201,454
Administrative fees (Note 4)                                                            471,194                         340,752
                                                                                 ---------------                 ---------------
        Total expenses                                                               17,756,465                      13,557,899
                                                                                 ---------------                 ---------------

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

See notes to financial statements.


                                      3
<Page>

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

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

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

Additions                                                175,347,578

Net income                                                14,766,424

Withdrawals                                              (40,497,320)
                                                     ----------------

MEMBERS' CAPITAL,
  DECEMBER 31, 2000                                      247,611,967

Additions                                                  1,788,034

Net income                                                 5,179,569

Withdrawals                                              (53,115,787)
                                                     ----------------

MEMBERS' CAPITAL,
  DECEMBER 31, 2001                                   $  201,463,783
                                                     ================
</Table>

See notes to financial statements.


                                      4
<Page>

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

NOTES TO FINANCIAL STATEMENTS

1.  SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

    ORGANIZATION

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

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

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

    ESTIMATES

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

    CASH MANAGEMENT

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


                                      5
<Page>

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

    REVENUE RECOGNITION

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


    FOREIGN CURRENCY TRANSACTIONS

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

    INCOME TAXES

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

    DISTRIBUTIONS

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

    WITHDRAWALS

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

    DISSOLUTION OF THE COMPANY

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


                                      6
<Page>

2.  CONDENSED SCHEDULE OF INVESTMENTS

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

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

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

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


3.  FINANCIAL DATA HIGHLIGHTS

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

<Table>
<S>                                           <C>
Total investment return,
compounded monthly                                 2.09%
                                              ==========

RATIO TO AVERAGE NET ASSETS

Expenses                                           7.91%
                                              ==========

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

4.  RELATED PARTY TRANSACTIONS

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

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

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

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


                                      7
<Page>

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

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

5.  ADVISORY AGREEMENTS

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

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

6.  FAIR VALUE AND OFF-BALANCE SHEET RISK

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

    MARKET RISK

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

    MLIM AS LLC has procedures in place intended to control market risk
    exposure, although there can be no assurance that they will, in fact,
    succeed in doing so. These procedures focus primarily on monitoring the
    trading of the Advisors, calculating the Net Asset Value of the Company as
    of the close of business on each day and reviewing outstanding positions for
    over-concentrations. While MLIM AS LLC does not itself intervene in the
    markets to hedge or diversify the Company's market exposure, MLIM AS LLC may
    urge the Advisors to reallocate positions in an attempt to avoid
    over-concentrations. However, such interventions are unusual. Except in
    cases in which it appears that the Advisors have begun to deviate from past
    practice or trading policies or to be trading erratically, MLIM AS LLC's
    basic risk control procedures consist simply of the ongoing process of
    advisor monitoring, with the market risk controls being applied by the
    Advisors themselves.


                                      8
<Page>

    CREDIT RISK

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

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

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








                                 * * * * * * * *

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



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


                                       9