<PAGE>


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


                          Financial Statements for the years ended
                          December 31, 2000, 1999 and 1998 and
                          Independent Auditors' Report






[Merrill Lynch Logo]

<PAGE>


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


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

INDEPENDENT AUDITORS' REPORT                                                   1

FINANCIAL STATEMENTS FOR THE YEARS ENDED
  DECEMBER 31, 2000, 1999 AND 1998:

  Statements of Financial Condition                                            2

  Statements of Operations                                                     3

  Statements of Changes in Partners' Capital                                   4

  Notes to Financial Statements                                             5-10

<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, 2000 and 1999, and the
related statements of operations and of changes in partners' capital for each of
the three years in the period ended December 31, 2000. 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 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 Futures Investments L.P. as of December
31, 2000 and 1999, and the results of its operations and changes in its
partners' capital for each of the three years in the period ended December 31,
2000 in conformity with accounting principles generally accepted in the United
States of America.


DELOITTE & TOUCHE LLP


New York, New York
February 5, 2001
<PAGE>


ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
-------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2000 AND 1999
---------------------------------------------------------------------------------------------------------------
                                                                                   2000                 1999
                                                                             -------------        -------------
<S>                                                                          <C>                  <C>
 ASSETS

 Investment in MM LLC (Note 5)                                                $ 14,260,889         $ 17,051,954
 Receivable from investment in MM LLC (Note 5)                                     250,414              239,240
                                                                             -------------        -------------
             TOTAL                                                            $ 14,511,303         $ 17,291,194
                                                                             =============        =============

 LIABILITIES AND PARTNERS' CAPITAL

 LIABILITIES:
     Redemptions payable (Note 1)                                             $    250,414         $    239,240
                                                                             -------------        -------------
         Total liabilities                                                         250,414              239,240
                                                                             -------------        -------------
 PARTNERS' CAPITAL:
     General Partner (613 Units and 1,027 Units)                                   154,104              244,458
     Limited Partners (56,108 Units and 70,606 Units)                           14,106,785           16,807,496
                                                                             -------------        -------------
         Total partners' capital                                                14,260,889           17,051,954
                                                                             -------------        -------------
             TOTAL                                                            $ 14,511,303         $ 17,291,194
                                                                             =============        =============
 NET ASSET VALUE PER UNIT
    (Based on 56,721 and 71,633 Units outstanding)                            $     251.42         $     238.05
                                                                             =============        =============
</TABLE>

 See notes to financial statements.

                                      -2-
<PAGE>


ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
-------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2000, 1999 AND 1998
----------------------------------------------------------------------------------------------------------------
                                                        2000                  1999                    1998
                                                     -------------         -------------          --------------
<S>                                                  <C>                   <C>                    <C>
REVENUES:

  Trading loss:
    Realized (Note 1)                                 $    -                $    -                  $   (254,925)
    Change in unrealized (Note 1)                          -                     -                      (550,739)
                                                     -------------         -------------           -------------
        Total trading results                              -                     -                      (805,664)

  Interest income (Note 2)                                 -                     -                       204,729
                                                     -------------         -------------           -------------
        Total revenues                                     -                     -                      (600,935)
                                                     -------------         -------------           -------------
EXPENSES:

  Brokerage commissions (Note 2)                           -                     -                       351,493
  Administrative fees (Note 2)                             -                     -                        10,043
                                                     -------------         -------------           -------------

        Total expenses                                     -                     -                       361,536
                                                     -------------         -------------           -------------

INCOME (LOSS) FROM INVESTMENTS (Note 5)                    708,390              (235,974)              2,470,236
                                                     -------------         -------------           -------------
NET INCOME (LOSS)                                     $    708,390          $   (235,974)           $  1,507,765
                                                     =============         =============           =============

NET INCOME (LOSS) PER UNIT:

  Weighted average number of General Partner
    and Limited Partner Units outstanding (Note 4)          63,836                80,243                  98,445
                                                     =============         =============           =============

  Net income (loss) per weighted average
    General Partner and Limited
    Partner Unit                                      $      11.10          $      (2.94)           $      15.32
                                                     =============         =============           =============
</TABLE>

See notes to financial statements.


                                      -3-
<PAGE>

ML FUTURES INVESTMENTS L.P.
(A DELAWARE LIMITED PARTNERSHIP)
-------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2000, 1999 AND 1998
-------------------------------------------------------------------------------------------------------------------------
                                       Units            General Partner         Limited Partners               Total
                                  ------------        -----------------       ------------------       ------------------
<S>                               <C>                  <C>                     <C>                      <C>
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

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

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

PARTNERS' CAPITAL,
  DECEMBER 31, 2000                    56,721          $       154,104         $     14,106,785         $     14,260,889
                                  ============        =================       ==================       ==================
</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.

     MLIP, an indirect subsidiary of Merrill Lynch, became a member of Merrill
     Lynch Investment Managers ("MLIM") - Alternative Investments Group during
     October 2000. MLIM's Alternative Investments Group creates and manages a
     variety of alternative investment products, including managed futures
     funds, hedge funds, funds of funds, exchange funds and private equity
     funds. MLIP, organized in 1986, is the hedge fund, fund of funds and
     managed futures sponsor within MLIM's Alternative Investments Group.

     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. 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; 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.


                                      -5-
<PAGE>


     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.

     CASH MANAGEMENT

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

     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 subsequent to June 1, 1998). As a
     result of the investment in MM LLC, there were no open contracts as of
     December 31, 2000, 1999 or 1998. See Note 5 for discussion of revenue
     recognition for the Partnership's investment in Trading LLCs 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 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
     had been declared for the years ended December 31, 2000, 1999 or 1998.

     REDEMPTIONS

                                      -6-

<PAGE>


     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.   RELATED PARTY TRANSACTIONS

     A portion of the Partnership's U.S. dollar assets invested in MM LLC is
     maintained at MLF. 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 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
     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.

     Prior to the investment in MM LLC, MLIP estimates that the round-turn
     equivalent commission rate charged to the Partnership for the year ended
     December 31, 1998 was approximately $68 (not including, in calculating
     round-turn equivalents, forward contracts on a futures-equivalent basis).
     The estimated aggregate round-turn commission rate for MM LLC for the years
     ended December 31, 2000 and 1999 are $82 and $136, respectively.

     MLF 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.

3.   ADVISORY 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 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 (Trading LLCs 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.

                                      -7-
<PAGE>


4.   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, 2000, 1999 and 1998
     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.

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 LLCs") 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. Assets placed 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 LLCs, are
     reflected in the financial statements at fair value based upon the
     Partnership's interest in MM LLC or certain Trading LLCs, respectively.
     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 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 from
December 31, 2000                   Revenues           Commissions              Fees               Shares        Investment
-------------------------     -----------------    ----------------     -----------------     ------------     ---------------
<S>                           <C>                  <C>                  <C>                   <C>              <C>
MM LLC                         $     2,318,755      $    1,264,386       $        36,125       $  309,854       $     708,390
                              =================    ================     =================     ============     ===============

For the year ended                   Total              Brokerage          Administrative          Profit         Loss from
December 31, 1999                   Revenues           Commissions              Fees               Shares         Investment
-------------------------     -----------------    ----------------     -----------------     ------------     ---------------

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
                              =================    ================     =================     ============     ===============
</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:

<TABLE>
<CAPTION>

                                  MM LLC                         MM LLC
                            December 31, 2000              December 31, 1999
                         -------------------------      -------------------------
<S>                      <C>                            <C>
Assets                           $    252,995,756             $      100,901,677
                         =========================      =========================

Liabilities                      $      5,383,789             $        2,906,392
Members' Capital                      247,611,967                     97,995,285
                         -------------------------      -------------------------

Total                            $    252,995,756             $      100,901,677
                         =========================      =========================

                            For the year ended             For the year ended
                             December 31, 2000              December 31, 1999
                         -------------------------      -------------------------

Revenues                         $     28,324,323             $        9,090,190

Expenses                               13,557,899                     10,152,017
                         -------------------------      -------------------------

Net Income (loss)                $     14,766,424             $       (1,061,827)
                         =========================      =========================

<CAPTION>

                                  MM LLC                     Chesapeake LLC                      SJO LLC
                            For the period from            For the period from             For the period from
                              June 1, 1998 to              January 1, 1998 to               January 1, 1998 to
                            December 31, 1998                 May 31, 1998                    May 31, 1998
                         -------------------------      -------------------------        ------------------------
<S>                      <C>                            <C>                              <C>
Revenues                         $     19,255,343             $        1,986,835                $      1,472,242

Expenses                                9,491,842                        903,412                         802,878
                         -------------------------      -------------------------        ------------------------

Net Income                       $      9,763,501             $        1,083,423                $        669,364
                         =========================      =========================        ========================
</TABLE>

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.
     The application of the provisions of Statement of Financial Accounting
     Standards No. 133, as amended by SFAS No. 137, and further amended by
     SFAS No. 138, did not have 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 LLCs and in MM LLC, the
     net unrealized profit as reflected in the respective Statements of
     Financial Condition of the Trading LLCs 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 LLCs and

                                      -9-
<PAGE>


     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, 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 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 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.



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


                                      -10-
<PAGE>




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

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



[MERRILL LYNCH LOGO]
<PAGE>

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

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

<TABLE>
<CAPTION>
                                                                        Page
                                                                        ----

<S>                                                                     <C>
INDEPENDENT AUDITORS' REPORT                                             1

FINANCIAL STATEMENTS FOR THE YEARS ENDED
DECEMBER 31, 2000 AND 1999:

  Statements of Financial Condition                                      2

  Statements of Operations                                               3

  Statements of Changes in Members' Capital                              4

  Notes to Financial Statements                                         5-9
</TABLE>
<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, 2000 and 1999,
and the related statements of operations 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, 2000 and 1999, 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, 2001
<PAGE>

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

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2000 AND 1999
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
ASSETS

                                                                            2000                      1999
                                                                   ------------------------  -----------------------

<S>                                                                <C>                       <C>
Equity in commodity futures trading accounts:
    Cash and option premiums                                        $          139,346,615    $          97,949,902
    Net unrealized profit on open contracts                                     13,995,141                2,517,003
Cash                                                                             2,835,198                        -
Commercial Paper (Cost $95,200,766)                                             95,200,766                        -
Accrued interest (Note 2)                                                        1,618,036                  434,772
                                                                   ------------------------  -----------------------
                TOTAL                                               $          252,995,756    $         100,901,677
                                                                   ========================  =======================

LIABILITIES AND MEMBERS' CAPITAL

<CAPTION>
LIABILITIES:

<S>                                                                <C>                       <C>
    Brokerage commissions payable (Note 2)                          $            1,265,023    $             708,081
    Profit Shares payable (Note 3)                                               3,036,430                  420,906
    Administrative fees payable (Note 2)                                            41,341                   24,744
    Due to Invested Funds                                                        1,040,995                1,752,661
                                                                   ------------------------  -----------------------
            Total liabilities                                                    5,383,789                2,906,392
                                                                   ------------------------  -----------------------
MEMBERS' CAPITAL:

    Voting Members                                                             247,611,967               97,995,285
                                                                   ------------------------  -----------------------
            Total Members' capital                                             247,611,967               97,995,285
                                                                   ------------------------  -----------------------
                TOTAL                                               $          252,995,756    $         100,901,677
                                                                   ========================  =======================
</TABLE>


See notes to financial statements.


                                      -2-
<PAGE>

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

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

<TABLE>
<CAPTION>
REVENUES:                                                        2000                   1999
                                                           ------------------     ------------------

<S>                                                        <C>                    <C>
Trading profit:
    Realized                                                $      8,646,046       $      3,344,876
    Change in unrealized                                          11,538,356                546,402
                                                           ------------------     ------------------
        Total trading results                                     20,184,402              3,891,278

Interest income (Note 1 & Note 2)                                  8,139,921              5,198,912
                                                           ------------------     ------------------
        Total revenues                                            28,324,323              9,090,190
                                                           ------------------     ------------------

<CAPTION>
EXPENSES:

<S>                                                        <C>                    <C>
    Brokerage commissions (Note 2)                                10,015,693              9,316,187
    Profit Shares (Note 3)                                         3,201,454                515,566
    Administrative fees (Note 2)                                     340,752                320,264
                                                           ------------------     ------------------
        Total expenses                                            13,557,899             10,152,017
                                                           ------------------     ------------------
NET INCOME (LOSS)                                           $     14,766,424       $     (1,061,827)
                                                           ==================     ==================
</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, 2000 AND 1999
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                           Voting Members
                                        --------------------

<S>                                     <C>
MEMBERS' CAPITAL,
  DECEMBER 31, 1998                             120,383,476

Withdrawals                                     (21,326,364)

Net loss                                         (1,061,827)
                                        --------------------
MEMBERS' CAPITAL,
  DECEMBER 31, 1999                              97,995,285

Additions                                       175,347,578

Withdrawals                                     (40,497,320)

Net income                                       14,766,424
                                        --------------------
MEMBERS' CAPITAL,
  DECEMBER 31, 2000                             247,611,967
                                        ====================
</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. 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"), has been delegated administrative authority over the
     Company. Merrill Lynch Futures Inc. ("MLF"), an affiliate of Merrill
     Lynch, is the Company's commodity broker. A portion of the Company's
     assets were held by a commodity broker, other than MLF, to facilitate
     the trading of a certain independent advisor, subject to an arrangement
     recognized by MLIP. This advisor was terminated during 2000. The Company
     has one class of Membership Interests, Voting Interests. Voting
     Interests are held by United States limited partnerships ("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 MLIP. Each Member is a "commodity
     pool" sponsored and controlled by MLIP and shares in the Trading
     results and Interest income of the Company in proportion to their
     respective capital accounts.

     MLIP, an indirect subsidiary of Merrill Lynch, became a member of Merrill
     Lynch Investment Managers ("MLIM") - Alternative Investments Group during
     October 2000. MLIM's Alternative Investments Group creates and manages a
     variety of alternative investment products, including managed futures
     funds, hedge funds, funds of funds, exchange funds and private equity
     funds. MLIP, organized in 1986, is the hedge fund, fund of funds and
     managed futures sponsor within MLIM's Alternative Investments Group.

     MLIP 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 is 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.

     One Member invests assets that are not allocated to any Advisors
     directly into the Income Enhancement Program. This Member receives 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.


                                      -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 on
     open contracts from one period to the next is reflected in Change in
     unrealized under Trading profit in the Statements of Operations.

     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.

     ORGANIZATIONAL COSTS

     MLIP paid all organizational costs relating to the Company without direct
     reimbursement from the Company or any Member.

     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, 2000 or
     1999.

     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.

2.   RELATED PARTY TRANSACTIONS

     A portion of the Company's U.S. dollar assets are maintained at MLF. 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


                                      -6-
<PAGE>

     derive certain economic benefit, in excess of the interest which Merrill
     Lynch pays to the Company from the possession of such assets.

     As of June 2000, the Company began investing in Commercial Paper.
     Merrill Lynch Pierce Fenner & Smith acts as custodian for these 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.

     Following the allocation of the Company's trading profit and interest
     income among the Members' Capital Accounts, MLIP 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 MLF, at a flat monthly rate
     reflecting the fee arrangement between each Member and MLF. For the years
     ended December 31, 2000 and 1999, 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.

     The Company pays MLIP a monthly administrative fee ranging from .021 of 1%
     (a .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.

     MLF 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.

3.   ADVISORY AGREEMENTS

     Pursuant to the Advisory Agreements among the Advisors, the Company and
     MLIP, 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 MLIP. 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 15% 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.

4.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     In June 1998, the Financial Accounting Standards Board issued Statement of
     Financial Accounting Standard ("SFAS") No. 133, "Accounting for Derivative
     Instruments and Hedging Activities" (the "Statement"), effective for fiscal
     years beginning after June 15, 2000, as amended by SFAS No. 137. SFAS No.
     133 is further amended by SFAS No. 138, which clarifies issues surrounding
     interest risk, foreign currency denominated items, normal purchases and
     sales and net hedging. This Statement supercedes SFAS No. 119 ("Disclosure
     about Derivative Financial Instruments and Fair Value of Financial
     Instruments") and SFAS No. 105 ("Disclosure of Information about Financial
     Instruments


                                      -7-
<PAGE>

     with Off-Balance Sheet Risk and Financial Instruments with Concentrations
     of Credit Risk") whereby disclosure of average aggregate fair values and
     contract/notional values, respectively, of derivative financial instruments
     is no longer required for an entity such as the Company which carries its
     assets at fair value. Such Statement sets forth a much broader definition
     of a derivative instrument. The application of the provisions of SFAS
     No. 133, as amended by SFAS No. 137 and SFAS No. 138, did not have a
     significant effect on the financial statements.

     SFAS No. 133 defines a derivative as a financial instrument or other
     contract that has all three of the following characteristics: (1) one or
     more underlyings and notional amounts or payment provisions; (2) requires
     no initial net investment or a smaller initial net investment than would be
     required for other types of contracts that would be expected to have a
     similar response to changes in market factors; and, (3) terms that require
     or permit net settlement. Generally, derivatives include futures, forwards,
     swaps, options or other financial instruments with similar characteristics
     such as caps, floors and collars.

     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.

     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, 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 MLIP does not itself intervene in the markets to
     hedge or diversify the Company's market exposure, MLIP 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, MLIP'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.

      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.


                                      -8-
<PAGE>

     The Company, 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 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
                     Merrill Lynch Investment Partners Inc.
                           Commodity Pool Operator of
                         ML Multi-Manager Portfolio LLC


                                      -9-