<Page>

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


                        Financial Statements for the years ended
                        December 31, 2003, 2002 and 2001
                        and Independent Auditors' Report


[MERRILL LYNCH LOGO]

<Page>

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

TABLE OF CONTENTS
--------------------------------------------------------------------------------

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

FINANCIAL STATEMENTS:

 Statements of Financial Condition as of December 31, 2003 and 2002                                       2

 Statements of Income for the years ended December 31, 2003, 2002 and 2001                                3

 Statements of Changes in Partners' Capital for the years ended December 31, 2003, 2002 and 2001          4

 Financial Data Highlights for the year ended December 31, 2003                                           5

 Notes to Financial Statements                                                                         6-10
</Table>

<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, 2003 and 2002, and the
related statements of income and of changes in partners' capital for each of the
three years in the period ended December 31, 2003 and the financial data
highlights for the year ended December 31, 2003. 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, 2003 and 2002, and the results of its
operations, 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
March 10, 2004

<Page>

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

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2003 AND 2002
--------------------------------------------------------------------------------

<Table>
<Caption>
                                                                                     2003            2002
                                                                                --------------  ---------------
<S>                                                                              <C>             <C>
ASSETS

Investment in MM LLC (Note 2)                                                    $ 53,823,502    $  11,852,508
Receivable from investment in MM LLC (Note 2)                                         741,550           17,205
                                                                                --------------  ---------------

      TOTAL                                                                      $ 54,565,052    $  11,869,713
                                                                                ==============  ===============

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
  Redemptions payable (Note 1)                                                   $    741,550    $      17,205
                                                                                --------------  ---------------

    Total liabilities                                                                 741,550           17,205
                                                                                --------------  ---------------

PARTNERS' CAPITAL (Note 3)
  General Partner (506,491 Units and 468 Units)                                       550,885          123,877
  Limited Partners (48,959,640 Units and 44,310 Units)                             53,272,617       11,728,631
                                                                                --------------  ---------------

    Total partners' capital                                                        53,823,502       11,852,508
                                                                                --------------  ---------------

      TOTAL                                                                      $ 54,565,052    $  11,869,713
                                                                                ==============  ===============

NET ASSET VALUE PER UNIT (Note 3)

  (Based on 49,466,131 and 44,778 Units outstanding)                             $     1.0881    $      264.69
                                                                                ==============  ===============
</Table>

See notes to financial statements.

                                        2
<Page>

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

STATEMENTS OF INCOME
FOR THE YEARS ENDED DECEMBER 31, 2003, 2002 AND 2001
--------------------------------------------------------------------------------

<Table>
<Caption>
                                                                   2003             2002            2001
                                                               --------------   --------------  ---------------
<S>                                                             <C>              <C>             <C>
REVENUES
Trading profit (loss):
  Realized                                                      $ 10,533,678     $  1,159,500    $   2,049,532
  Change in unrealized                                              (169,942)         351,754         (913,578)
  Settlement proceeds (Note 7)                                            -           109,968               -
                                                               --------------   --------------  ---------------

    Total trading results                                         10,363,736        1,621,222        1,135,954
                                                               --------------   --------------  ---------------

Interest income (Note 4)                                             588,108          236,922          473,244
                                                               --------------   --------------  ---------------

    Total revenues                                                10,951,844        1,858,144        1,609,198
                                                               --------------   --------------  ---------------
EXPENSES
Brokerage commissions (Note 4)                                     4,601,819        1,036,007        1,181,604
Administrative fee (Note 4)                                          135,348           29,600           33,760
Profit Share (Note 5)                                              1,524,986          315,044          261,917
                                                               --------------   --------------  ---------------

    Total expenses                                                 6,262,153        1,380,651        1,477,281
                                                               --------------   --------------  ---------------

NET INCOME                                                      $  4,689,691     $    477,493    $     131,917
                                                               ==============   ==============  ===============

NET INCOME PER UNIT:

 Weighted average number of General Partner
 and Limited Partner Units outstanding (Note 6)                   52,962,267           47,878           53,319
                                                               ==============   ==============  ===============

 Net income per weighted average
 General Partner and Limited Partner Unit                       $     0.0885     $       9.97    $        2.47
                                                               ==============   ==============  ===============
</Table>

All income and expense is derived from the invesment in MM LLC (Note 2)

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, 2003, 2002 AND 2001
--------------------------------------------------------------------------------

<Table>
<Caption>
                                               UNITS         GENERAL PARTNER    LIMITED PARTNERS       TOTAL
                                            ------------     ----------------   -----------------  ---------------
<S>                                          <C>              <C>                <C>                <C>
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

Net income                                            -                5,538             471,955          477,493

Redemptions                                      (5,684)             (18,658)         (1,408,511)      (1,427,169)
                                            ------------     ----------------   -----------------  ---------------

PARTNERS' CAPITAL,
 DECEMBER 31, 2002                               44,778              123,877          11,728,631       11,852,508

Combination (Note 3)                         56,013,115              460,679          43,744,706       44,205,385

Net income                                            -               51,726           4,637,965        4,689,691

Redemptions                                  (6,591,762)             (85,397)         (6,838,685)      (6,924,082)
                                            ------------     ----------------   -----------------  ---------------

PARTNERS' CAPITAL,
 DECEMBER 31, 2003                           49,466,131       $      550,885     $    53,272,617    $  53,823,502
                                            ============     ================   =================  ===============
</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, 2003
--------------------------------------------------------------------------------

The following per Unit data and ratios have been derived from information
provided in the financial statements and the financial statements of MM LLC.

<Table>
<S>                                                                  <C>
PER UNIT OPERATING PERFORMANCE:

Net asset value, beginning of year after combination (Note 3)        $  1.0000

Realized trading profit                                                 0.1960
Change in unrealized trading profit                                    (0.0009)
Interest income                                                         0.0111
Expenses                                                               (0.1181)
                                                                    -----------

Net asset value, end of year                                         $  1.0881
                                                                    ===========

TOTAL INVESTMENT RETURN, COMPOUNDED MONTHLY:
 Investment return before Profit Shares                                  11.72%
 Profit Shares                                                           -2.86%
Total investment return                                                   8.81%
                                                                    ===========

RATIOS TO AVERAGE NET ASSETS:
Operating expenses (not including Profit Shares)                          8.61%
 Profit Shares                                                            2.77%
                                                                    -----------

Expenses                                                                 11.38%
                                                                    ===========
</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. Merrill Lynch Investment
   Managers, LLC ("MLIM LLC") is the general partner of the Partnership, and is
   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). Merrill Lynch, Pierce, Fenner & Smith Incorporated
   ("MLPF&S") is the Partnership's commodity broker. MLIM LLC has agreed to
   maintain a general partner's interest of at least 1% of the total capital in
   the Partnership. MLIM LLC and each Limited Partner share in the profits and
   losses of the Partnership in proportion to their respective interests in it.

   Other multi-advisor funds (the "Multi-Advisor Funds") sponsored by MLIM 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 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. The following notes relate to
   the operation of the Partnership through its investment in MM LLC. MLIM LLC,
   on an ongoing basis, may change the number of Multi-Advisor Funds investing
   in MM LLC. As of December 2003, 2002 and 2001, the Partnership's percentage
   ownership share of MM LLC was 38.41%, 6.83%, and 6.35%, respectively. MLIM
   LLC selects the Advisors to manage MM LLC's assets, and allocates and
   reallocates such trading assets among existing, replacement and additional
   Advisors.

   Effective after the close of business on December 31, 2002, five of the
   Multi-Advisor Funds were combined into a single partnership. For further
   discussion of this combination, see Note 3.

   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 as well as the reported amounts of
   revenues and expenses during the reporting period. Actual results could
   differ from those estimates.

                                        6
<Page>

   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 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 Income of MM
   LLC. See Note 2 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 LLC pays for all routine operating costs (including legal, accounting,
   printing, postage and similar administrative expenses) of the Partnership.
   MLIM 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 4).

   No selling commissions have been paid directly by the Limited Partners. All
   selling commissions are paid by MLIM 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.

   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, 2003, 2002 or 2001.

   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.

                                        7
<Page>

2. INVESTMENT IN MM LLC

   The Partnership places all of its assets in MM LLC. The financial statements
   of MM LLC are bound together with this report and should be read in
   conjunction with the Partnership's financial statements. The investment in MM
   LLC is reflected in the financial statements at fair value based upon the
   Partnership's interest in MM LLC. Fair value of the investment in MM LLC is
   equal to the market value of the net assets of MM LLC allocable to the
   Partnership as an investor.

3. COMBINATION OF MULTI-ADVISOR FUNDS

   Effective after the close of business on December 31, 2002, the Partnership
   combined its net assets with five other similar Multi-Advisor Funds to form a
   combined ML Futures Investments L.P. in a tax-free reorganization. All of the
   Partnership's investors received 264.6949 new units of the combined
   Partnership with an initial Net Asset Value per Unit of $1.00 in exchange for
   each of their original Units. The aggregate Net Asset Value of each
   investor's new Units is equal to the aggregate Net Asset Value of their
   original Units. Conversion of the shares had no adverse economic effect on
   investors in any of the Multi-Advisor Funds. The General Partner contributed
   $192 to the Partnership, the amount necessary due to the effects of rounding
   to insure all investors received shares equal in value to their original
   holdings. The combined Partnership will continue to invest through MM LLC and
   the combination of the Multi-Advisor Funds did not change the operations of
   MM LLC. The combined Partnership's percentage of ownership of MM LLC was
   32.32% immediately after the combination.

   Following is a condensed statement of financial condition for the Combined
   Partnership immediately after the combination

<Table>
                      <S>                       <C>
                      Assets                    $ 56,508,105
                                               ==============

                      Liabilities               $    451,772
                      Partners' Capital           56,056,333
                                               --------------

                      Total                     $ 56,508,105
                                               ==============
</Table>

4. 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 .7083 of 1% (an 8.50% annual rate),
   reduced from an 8.75% annual rate prior to January 1, 2003, and pays MLIM 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.

                                        8
<Page>

   MLPF&S currently pays the Advisors, through MM LLC, annual Consulting Fees up
   to 2.50% of the Partnership'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, MM LLC and MLIM 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 LLC. The Advisory Agreements generally renew
   annually after they are entered into, subject to certain renewal rights.

   Profit Shares, currently ranging from 20% to 25% 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.

6. 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, 2003, 2002 and 2001 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. Note that weighted average units for 2003 assumes units after
   combination.

7. COPPER SETTLEMENT

   The Partnership, as a member of a class of plaintiffs, received a settlement
   payment in August 2002 relating to certain copper trades made by a number of
   investors, including the Partnership, during a period in the mid-1990s.
   Members of the class were those who purchased or sold Comex copper futures or
   options contracts between June 24, 1993 and June 15, 1996. The effect of the
   settlement payment was included in the Partnership's performance in August
   2002.

8. FAIR VALUE AND OFF-BALANCE SHEET RISK

   The Partnership invests indirectly in derivative instruments as a result of
   its investment in MM LLC, but does not itself hold any derivative instrument
   positions. The nature of this Partnership has certain risks, which cannot be
   presented on the financial statements.

   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 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 MM LLC
   as well as the volatility and liquidity of the markets in which such
   derivative instruments are traded.

                                        9
<Page>

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

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


                                 Patrick Hayward
                             Chief Financial Officer
                      Merrill Lynch Investment Mangers, LLC
                               General Partner of
                           ML Futures Investments L.P.

                                       10