<PAGE>

                                                                   Exhibit 13.01


                   ML FUTURES INVESTMENTS L.P.
                   (A Delaware Limited Partnership)


                   Financial Statements for the years ended December 31, 1999,
                   1998 and 1997 and Independent Auditors' Report








[LOGO] Merrill Lynch
<PAGE>

ML FUTURES INVESTMENTS L.P.
(A Delaware Limited Partnership)
 ------------------------------


TABLE OF CONTENTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                                                                                                    Page
<S>                                                                                              <C>
INDEPENDENT AUDITORS' REPORT                                                                          1

FINANCIAL STATEMENTS FOR THE YEARS ENDED DECEMBER 31, 1999, 1998 AND 1997:

 Statements of Financial Condition                                                                    2

 Statements of Operations                                                                             3

 Statements of Changes in Partners' Capital                                                           4

 Notes to Financial Statements                                                                      5-11
</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, 1999 and 1998, and the
related statements of operations and of changes in partners' capital for each of
the three years in the period ended December 31, 1999. These financial
statements are the responsibility of the Partnership's management. Our
responsibility is to express an opinion on these financial statements based on
our audits.

We conducted our audits in accordance with generally accepted auditing
standards. 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 Futures Investments L.P. as of December
31, 1999 and 1998, and the results of its operations and changes in partners'
capital for each of the three years in the period ended December 31, 1999 in
conformity with generally accepted accounting principles.


DELOITTE & TOUCHE LLP


New York, New York
February 4, 2000
<PAGE>

ML FUTURES INVESTMENTS L.P.
(A Delaware Limited Partnership)
 ------------------------------

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 1999 AND 1998
--------------------------------------------------------------------------------


<TABLE>
<CAPTION>
                                                                            1999                 1998
                                                                      -----------------    ------------------
ASSETS
<S>                                                                  <C>                   <C>
Investments (Note 5)                                                      $ 17,051,954          $ 21,027,263
Receivable from investments (Note 5)                                           239,240               116,083
                                                                      -----------------    ------------------

            TOTAL                                                         $ 17,291,194          $ 21,143,346
                                                                      =================    ==================

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
    Redemptions payable                                                      $ 239,240             $ 116,083
                                                                      -----------------    ------------------

        Total liabilities                                                      239,240               116,083
                                                                      -----------------    ------------------

PARTNERS' CAPITAL:
    General Partner (1,027 Units and 1,027 Units)                              244,458               247,344
    Limited Partners (70,606 Units and 86,275 Units)                        16,807,496            20,779,919
                                                                      -----------------    ------------------

        Total partners' capital                                             17,051,954            21,027,263
                                                                      -----------------    ------------------

            TOTAL                                                         $ 17,291,194          $ 21,143,346
                                                                      =================    ==================

NET ASSET VALUE PER UNIT
   (Based on 71,633 and 87,302 Units outstanding)                             $ 238.05              $ 240.86
                                                                      =================    ==================
</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, 1999, 1998 AND 1997
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                           1999                       1998                       1997
                                                    -------------------        -------------------         ------------------
<S>                                                   <C>                            <C>                      <C>
REVENUES:
  Trading profit (loss):
    Realized (Note 1)                                              $ -                  $(254,925)               $ 1,195,296
    Change in unrealized (Note 1)                                    -                   (550,739)                   387,037
                                                    -------------------        -------------------         ------------------

        Total trading results                                        -                   (805,664)                 1,582,333

  Interest income (Note 2)                                           -                    204,729                    537,761
                                                    -------------------        -------------------         ------------------

        Total revenues                                               -                   (600,935)                 2,120,094
                                                    -------------------        -------------------         ------------------

EXPENSES:

  Brokerage commissions (Note 2)                                     -                    351,493                    922,012
  Profit Shares (Note 3)                                             -                          -                    115,595
  Administrative fees (Note 2)                                       -                     10,043                     26,159
                                                    -------------------        -------------------         ------------------

        Total expenses                                               -                    361,536                  1,063,766
                                                    -------------------        -------------------         ------------------

INCOME (LOSS) FROM INVESTMENTS (Note 5)                       (235,974)                 2,470,236                  1,181,613
                                                    -------------------        -------------------         ------------------

NET INCOME (LOSS)                                            $(235,974)               $ 1,507,765                $ 2,237,941
                                                    ===================        ===================         ==================

NET INCOME (LOSS) PER UNIT:

  Weighted average number of General Partner
    and Limited Partner Units outstanding (Note 4)              80,243                     98,445                    116,746
                                                    ===================        ===================         ==================

  Net income (loss) per weighted average
    General Partner and Limited
    Partner Unit                                               $ (2.94)                   $ 15.32                    $ 19.17
                                                    ===================        ===================         ==================
</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, 1999, 1998 AND 1997
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                     Units               General Partner        Limited Partners           Total
                                  -------------       ------------------------------------------------------------------
<S>                                 <C>                 <C>                   <C>                       <C>
PARTNERS' CAPITAL,
  DECEMBER 31, 1996                    122,597             $ 368,402             $ 24,906,584              $ 25,274,986

Redemptions                            (14,301)                    -               (3,127,522)               (3,127,522)

Net income                                   -                33,970                2,203,971                 2,237,941
                                  -------------       ---------------       ------------------       -------------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1997                    108,296               402,372               23,983,033                24,385,405

Redemptions                            (20,994)             (169,251)              (4,696,656)               (4,865,907)

Net income                                   -                14,223                1,493,542                 1,507,765
                                  -------------       ---------------       ------------------       -------------------

PARTNERS' CAPITAL,
  DECEMBER 31, 1998                     87,302               247,344               20,779,919                21,027,263

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

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

PARTNERS' CAPITAL,
  DECEMBER 31, 1999                     71,633             $ 244,458             $ 16,807,496              $ 17,051,954
                                  =============       ===============       ==================       ===================
</TABLE>

See notes to financial statements.

                                      -4-
<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
      (currently, 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 Partners Inc. ("MLIP"), a wholly-owned subsidiary
      of Merrill Lynch Group, Inc., which, in turn, is a wholly-owned subsidiary
      of Merrill Lynch & Co., Inc. ("Merrill Lynch"), is the general partner of
      the Partnership. MLIP has agreed to maintain a general partner's interest
      of at least 1% of the total capital in the Partnership. MLIP and each
      Limited Partner share in the profits and losses of the Partnership in
      proportion to their respective interests in it.

      Many of the multi-advisor funds (the "Multi-Advisor Funds") sponsored by
      MLIP allocate their assets to a number of the same independent advisors
      (the "Advisors"). However, because different Multi-Advisor Funds had
      historically allocated assets to slightly different Advisor groups, the
      Multi-Advisor Funds often were required to open and maintain individual
      trading accounts with each Advisor. MLIP consolidated the trading accounts
      of nine of its Multi-Advisor Funds (including the Partnership) as of June
      1, 1998. The consolidation was achieved by having these Multi-Advisor
      Funds close their existing trading accounts and invest in a limited
      liability company, ML Multi-Manager Portfolio L.L.C. ("MM LLC"), a
      Delaware limited liability company, which opened a single account with
      each Advisor selected. MM LLC is managed by MLIP, 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 placement of
      assets into MM LLC did not change the operations or fee structure of the
      Partnership; therefore, the following notes relate to the operation of the
      Partnership through its investment in MM LLC. The administrative authority
      over the Partnership remains with MLIP. MLIP, on an ongoing basis, may
      change the number of Multi-Advisor Funds investing in MM LLC.

      MLIP selects the Advisors to manage MM LLC's assets, and allocates and
      reallocates such trading assets among existing, replacement and additional
      Advisors. Merrill Lynch Futures Inc. ("MLF"), an affiliate of Merrill
      Lynch, is MM LLC's commodity broker.

      Estimates
      ---------

      The preparation of financial statements in conformity with generally
      accepted accounting principles requires management to make estimates and
      assumptions that effect 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.

                                      -5-
<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 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
      Trading profit (loss): Change in unrealized in the Statements of
      Operations. (As a result of the investment in MM LLC, there were no open
      contracts as of December 31, 1999 and 1998.) See Note 5 for discussion of
      revenue recognition for the Partnership's investment in Trading LLC's and
      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
      ------------------

      MLIP pays for all routine operating costs (including legal, accounting,
      printing, postage and similar administrative expenses) of the Partnership.
      MLIP receives an administrative fee as well as a portion of the brokerage
      commissions paid to MLF, by the Partnership, through MM LLC.

      Income Taxes
      ------------

      No provision for income taxes has been made in these 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
      had been made as of December 31, 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.

                                      -6-
<PAGE>

2.    RELATED PARTY TRANSACTIONS

      The majority of the Partnership's U.S. dollar assets are maintained at
      MLF. On assets held in U.S. dollars, Merrill Lynch credits the Partnership
      through MM LLC with interest at the prevailing 91-day U.S. Treasury bill
      rate. The Partnership through MM LLC 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 Partnership through 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 MLF at a flat monthly rate equal to .729 of 1% (an 8.75%
      annual rate) and pays MLIP a monthly administrative fee of .021 of 1% (a
      .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.

      Prior to the investment in MM LLC, MLIP estimates that the round-turn
      equivalent commission rate charged to the Partnership during the years
      ended December 31, 1998 and 1997, was approximately $68 and $116,
      respectively (not including, in calculating round-turn equivalents,
      forward contracts on a futures-equivalent basis).

      MLF currently pays the Advisors annual Consulting Fees up to 1.75% of the
      Partnership's average month-end assets allocated to them for management,
      after reduction for a portion of the brokerage commissions.

3.    AGREEMENTS

      Pursuant to the Advisory Agreements among the Advisors, MM LLC and MLIP,
      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 MLIP. The Advisory Agreements generally
      terminate one year 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 (Trading LLC's prior to
      June 1, 1998) 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.

4.    WEIGHTED AVERAGE UNITS

      The weighted average number of Units outstanding was computed for purposes
      of disclosing net income per weighted average Unit. The weighted average
      Units outstanding for the years ended December 31, 1999, 1998 and 1997
      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.

                                      -7-
<PAGE>

5.    INVESTMENTS

      Prior to investing in MM LLC, the Partnership placed assets under the
      management of certain of the Advisors by investing in private Limited
      Liability Companies ("Trading LLC's") formed by MLIP. The only members of
      the Trading LLCs were commodity pools sponsored by MLIP. Each Trading LLC
      traded under the management of a single Advisor pursuant to a single
      strategy and at a uniform degree of leverage. Placing assets with an
      Advisor through a Trading LLC rather than a managed account had no
      economic effect on the Partnership, except to the extent that the
      Partnership benefits from the Advisor not having to allocate trades among
      a member of different accounts (rather than acquiring a single position
      for the Trading LLC as a whole).

      The investments in MM LLC and previously in certain Trading LLC's are
      reflected in the financial statements at fair value based upon the
      Partnership's interest in MM LLC. Fair value 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 investments.


Total revenues and fees with respect to such investments are set forth as
follows:
<TABLE>
<CAPTION>
For the year ended         Total                  Brokerage             Administrative            Profit        Income (loss) from
December 31, 1999          Revenues               Commissions                 Fees                 Shares          Investments
----------------------------------------------------------------------------------------------------------------------------------

<S>                   <C>                     <C>                          <C>                <C>                  <C>
MM LLC                    $ 1,591,266             $ 1,689,484                  $ 48,271           $ 89,485             $ (235,974)
                   ===================      ==================      ====================     ==============      =================


For the year ended          Total                  Brokerage             Administrative            Profit          Income from
December 31, 1998          Revenues               Commissions                 Fees                 Shares          Investments
----------------------------------------------------------------------------------------------------------------------------------

Chesapeake LLC              $ 870,027               $ 270,589                   $ 7,731          $ 118,361              $ 473,346
SJO LLC                       550,784                 260,867                     7,453             31,223                251,241
MM LLC                      3,441,159               1,137,668                    32,505            525,337              1,745,649
                   -------------------      ------------------      --------------------     --------------      -----------------
Total                     $ 4,861,970             $ 1,669,124                  $ 47,689          $ 674,921             $2,470,236
                   ===================      ==================      ====================     ==============      =================



For the year ended          Total                  Brokerage             Administrative            Profit          Income from
December 31, 1997          Revenues               Commissions                 Fees                 Shares          Investments
----------------------------------------------------------------------------------------------------------------------------------

Chesapeake LLC            $ 1,391,741               $ 667,808                  $ 18,896          $ 142,849              $ 562,188
SJO LLC                     1,376,159                 661,885                    18,730             76,119                619,425
                   -------------------      ------------------      --------------------     --------------      -----------------
Total                     $ 2,767,900             $ 1,329,693                  $ 37,626          $ 218,968             $1,181,613
                   ===================      ==================      ====================     ==============      =================
</TABLE>

                                      -8-
<PAGE>

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

                               MM LLC                        MM LLC
                         December 31, 1999             December 31, 1998
                       -----------------------       -----------------------

Assets                          $ 100,901,677                 $ 125,332,558
                       =======================       =======================

Liabilities                       $ 2,906,392                   $ 4,949,082
Members' Capital                   97,995,285                   120,383,476
                       -----------------------       -----------------------

Total                           $ 100,901,677                 $ 125,332,558
                       =======================       =======================

                                                       For the period from
                             For the year ended          June 1, 1998 to
                             December 31, 1999          December 31, 1998
                       -----------------------------------------------------

Revenues                          $ 9,090,190                  $ 19,255,343

Expenses                           10,152,017                     9,491,842
                       -----------------------       -----------------------

Net Income (loss)                $ (1,061,827)                  $ 9,763,501
                       =======================       =======================


                           Chesapeake LLC                   SJO LLC
                        For the period from           For the period from
                             January 1, 1998 to        January 1, 1998 to
                            May 31, 1998                  May 31, 1998
                       -----------------------       -----------------------

Revenues                          $ 1,986,835                   $ 1,472,242

Expenses                              903,412                       802,878
                       -----------------------       -----------------------

Net Income (loss)                 $ 1,083,423                     $ 669,364
                       =======================       =======================


                                                       For the period from
                             For the year ended        January 2, 1997 to
                             December 31, 1997          December 31, 1997
                       -----------------------------------------------------

Revenues                          $ 3,480,491                   $ 3,903,268

Expenses                            2,055,126                     2,144,078
                       -----------------------       -----------------------

Net Income (loss)                 $ 1,425,365                   $ 1,759,190
                       =======================       =======================

                                      -9-
<PAGE>

6.    FAIR VALUE AND OFF-BALANCE SHEET RISK

      As of June 1, 1998, the Partnership invested all of its assets in MM LLC.
      Accordingly, the Partnership is invested indirectly in derivative
      instruments, but does not itself hold any derivative instrument positions.
      As such, MLIP does not believe that the apoption of the provisions of
      Statement of Financial Accounting Standards No. 133 had a significant
      effect on the financial statements of the Partnership. Consequently, no
      such positions subsequent to May 31, 1998 are reflected in these 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 the Statements of Financial Condition or, with
      respect to Partnership assets invested in Trading LLC's and in MM LLC, the
      net unrealized profit as reflected in the respective Statements of
      Financial Condition of the Trading LLC's and 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, the Trading LLC's and currently MM LLC, as well as the
      volatility and liquidity of the markets in which such derivative
      instruments are traded.

      MLIP 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 Trading LLC accounts, or currently 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 MLIP does not itself intervene in the markets to
      hedge or diversify the Partnership's market exposure, MLIP 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, MLIP's basic risk control procedures consist simply of the
      ongoing process of advisor monitoring and selection with the market risk
      controls being applied by the Advisors themselves.

      Credit Risk
      -----------

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

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

      The Partnership, through MM LLC, in its normal course of business, enters
      into various contracts, with MLF acting as its commodity broker. Pursuant
      to the brokerage agreement with MLF (which includes a netting
      arrangement), to the extent that such trading results in receivables from
      and payables to MLF, these

                                      -10-
<PAGE>

      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
      future 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.

                            /s/ Michael L. Pungello

                               Michael L. Pungello
                             Chief Financial Officer
                     Merrill Lynch Investment Partners Inc.
                               General Partner of
                           ML Futures Investments L.P.

                                      -11-