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


                        Financial Statements for the years ended
                        December 31, 2002, 2001 and 2000 and
                        Independent Auditors' Report


[MERRILL LYNCH LOGO]

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

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

FINANCIAL STATEMENTS:

  Statements of Financial Condition as of December 31, 2002 and 2001                                          2

  Statements of Income for the years ended December 31, 2002, 2001 and 2000                                   3

  Statements of Changes in Partners' Capital for the years ended December 31, 2002, 2001 and 2000             4

  Financial Data Highlights for the year ended December 31, 2002                                              5

  Notes to Financial Statements                                                                            6-10
</Table>

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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, 2002 and 2001, and the
related statements of income and of changes in partners' capital for each of the
three years in the period ended December 31, 2002 and the financial data
highlights for the year ended December 31, 2002. These financial statements and
financial data highlights are the responsibility of the Partnership's
management. Our responsibility is to express an opinion on these financial
statements and financial data highlights based on our audits.

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

In our opinion, such financial statements and financial data highlights present
fairly, in all material respects, the financial position of ML Futures
Investments L.P. as of December 31, 2002 and 2001, and the results of its
operations and changes in its partners' capital and the financial data
highlights for each of the periods presented in conformity with accounting
principles generally accepted in the United States of America.


DELOITTE & TOUCHE LLP


New York, New York
March 3, 2003

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

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2002 AND 2001
--------------------------------------------------------------------------------

<Table>
<Caption>
                                                                       2002                2001
                                                                  --------------      --------------
<S>                                                               <C>                 <C>
ASSETS

Investment in MM LLC (Note 2)                                     $   11,852,508      $   12,802,184
Receivable from investment in MM LLC (Note 2)                             17,205              93,869
                                                                  --------------      --------------

        TOTAL                                                     $   11,869,713      $   12,896,053
                                                                  ==============      ==============

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
  Redemptions payable (Note 1)                                    $       17,205      $       93,869
                                                                  --------------      --------------

     Total liabilities                                                    17,205              93,869
                                                                  --------------      --------------

PARTNERS' CAPITAL TO BE TRANSFERRED (Note 3)
  General Partner (468 Units and 540 Units)                              123,877             136,997
  Limited Partners (44,310 Units and 49,922 Units)                    11,728,631          12,665,187
                                                                  --------------      --------------

     Total partners' capital                                          11,852,508          12,802,184
                                                                  --------------      --------------

        TOTAL                                                     $   11,869,713      $   12,896,053
                                                                  ==============      ==============

NET ASSET VALUE PER UNIT PRIOR TO TRANSFER
   (Notes 1 and 3)
   (Based on 44,778 and 50,462 Units outstanding)                 $       264.69      $       253.70
                                                                  ==============      ==============
</Table>

See notes to financial statements.

                                        2
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ML FUTURES INVESTMENTS L.P.
(A Delaware Limited Partnership)

STATEMENTS OF INCOME
FOR THE YEARS ENDED DECEMBER 31, 2002, 2001 AND 2000
--------------------------------------------------------------------------------

<Table>
<Caption>
                                                                    2002              2001                2000
                                                               -------------      -------------       ------------
<S>                                                            <C>                <C>                 <C>
REVENUES
Trading profit (loss):
  Realized                                                     $   1,159,500      $   2,049,532       $    612,769
  Change in unrealized                                               351,754           (913,578)           855,288
  Settlement proceeds (Note 7)                                       109,968                  -                  -
                                                               -------------      -------------       ------------

     Total trading results                                         1,621,222          1,135,954          1,468,057
                                                               -------------      -------------       ------------

Interest income                                                      236,922            473,244            850,698
                                                               -------------      -------------       ------------

     Total revenues                                                1,858,144          1,609,198          2,318,755
                                                               -------------      -------------       ------------

EXPENSES
Brokerage commissions                                              1,036,007          1,181,604          1,264,386
Administrative fee                                                    29,600             33,760             36,125
Profit Share                                                         315,044            261,917            309,854
                                                               -------------      -------------       ------------

     Total expenses                                                1,380,651          1,477,281          1,610,365
                                                               -------------      -------------       ------------

NET INCOME                                                     $     477,493      $     131,917       $    708,390
                                                               =============      =============       ============

NET INCOME PER UNIT:

  Weighted average number of General Partner
  and Limited Partner Units outstanding (Note 6)                      47,878             53,319             63,836
                                                               =============      =============       ============

  Net income per weighted average
  General Partner and Limited Partner Unit                     $        9.97      $        2.47       $      11.10
                                                               =============      =============       ============
</Table>

All income and expense is derived from the invesment in MM LLC (Note 2)
See notes to financial statements.

                                        3
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ML FUTURES INVESTMENTS L.P.
(A Delaware Limited Partnership)

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2002, 2001 AND 2000
--------------------------------------------------------------------------------

<Table>
<Caption>
                                      UNITS         GENERAL PARTNER         LIMITED PARTNERS          TOTAL
                                  ------------      ---------------         ----------------       -------------
<S>                                    <C>          <C>                     <C>                    <C>
PARTNERS' CAPITAL,
  DECEMBER 31, 1999                     71,633      $       244,458         $     16,807,496       $  17,051,954

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

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

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

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

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

PARTNERS' CAPITAL,
  DECEMBER 31, 2001                     50,462              136,997               12,665,187          12,802,184

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

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

PARTNERS' CAPITAL,
  DECEMBER 31, 2002                     44,778      $       123,877         $     11,728,631       $  11,852,508
                                  ============      ===============         ================       =============
</Table>

See notes to financial statements.

                                        4
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ML FUTURES INVESTMENTS L.P.
(A Delaware Limited Partnership)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2002
--------------------------------------------------------------------------------

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

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

PER UNIT OPERATING PERFORMANCE:

Net asset value, beginning of period                             $  253.70

Realized trading profit                                              24.96
Change in unrealized                                                  7.68
Settlement proceeds                                                   2.35
Interest income                                                       4.93
Expenses                                                            (28.93)
                                                                 ---------

Net asset value, end of period                                   $  264.69
                                                                 =========

Total investment return, compounded monthly                           4.33%
                                                                 =========

RATIOS TO AVERAGE NET ASSETS:

Expenses                                                             11.49%
                                                                 =========

Net income                                                            3.97%
                                                                 =========
</Table>

See notes to financial statements.

                                        5
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ML FUTURES INVESTMENTS L.P.
(A Delaware Limited Partnership)

NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

1.  SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

    Organization

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

    Many of the multi-advisor funds (the "Multi-Advisor Funds") sponsored by
    MLIM AS LLC, including the Partnership, allocate their assets to a number of
    the same independent advisors (the "Advisors"). These Multi-Advisor Funds
    invest in a limited liability company, ML Multi-Manager Portfolio LLC ("MM
    LLC"), a Delaware limited liability company, which operates a single account
    with each Advisor selected. MM LLC is managed by MLIM AS LLC, has no
    investors other than the Multi-Advisor Funds and serves solely as the
    vehicle through which the assets of such Multi-Advisor Funds are combined in
    order to be managed through single rather than multiple accounts. The
    following notes relate to the operation of the Partnership through its
    investment in MM LLC. MLIM AS LLC, on an ongoing basis, may change the
    number of Multi-Advisor Funds investing in MM LLC. As of December 2002, 2001
    and 2000, the Partnership's percentage ownership share of MM LLC was 6.83%,
    6.35%, and 5.76%, respectively. MLIM AS LLC selects the Advisors to manage
    MM LLC's assets, and allocates and reallocates such trading assets among
    existing, replacement and additional Advisors.

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

    Estimates

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

    Revenue Recognition

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

                                        6
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    Change in unrealized under Trading profit (loss) in the Statements of Income
    of MM LLC. See Note 2 for discussion of revenue recognition for the
    Partnership's investment in MM LLC.

    Foreign Currency Transactions

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

    Operating Expenses

    MLIM AS LLC pays for all routine operating costs (including legal,
    accounting, printing, postage and similar administrative expenses) of the
    Partnership. MLIM AS LLC receives an administrative fee as well as a portion
    of the brokerage commissions paid to MLPF&S, by the Partnership, through MM
    LLC (see Note 4).

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

    Income Taxes

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

    Distributions

    The Limited Partners are entitled to receive, equally per Unit, any
    distributions, which may be made by the Partnership. No such distributions
    have been declared for the years ended December 31, 2002, 2001 or 2000.

    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.

    Reclassification

    Certain 2001 and 2000 information has been reclassified to conform to the
    2002 presentation.

2.  INVESTMENT IN MM LLC

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

3.  COMBINATION OF MULTI-ADVISOR FUNDS

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

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

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

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

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

4.  RELATED PARTY TRANSACTIONS

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

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

    Through its investment in MM LLC, the Partnership pays brokerage commissions
    to MLPF&S at a flat monthly rate equal to .729 of 1% (an 8.75% annual rate)
    and pays MLIM AS LLC a monthly administrative fee of .021 of 1% (a 0.25%
    annual rate) of the Partnership's month-end assets. After the combination of
    the Multi-Advisor Funds, the brokerage commission rate will be reduced to
    .7083% of 1% (an 8.50% annual rate). Month-end assets are not reduced for
    purposes of calculating brokerage commissions and administrative fees by any
    accrued brokerage commissions, administrative fees, Profit Shares or other
    fees or charges.

                                        8
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    MLPF&S currently pays the Advisors, through MM LLC, annual Consulting Fees
    up to 2.50% of the Partnership's average month-end assets allocated to them
    for management, after reduction for a portion of the brokerage commissions.

5.  ADVISORY AGREEMENTS

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

    Profit Shares, currently ranging from 20% to 25% of any New Trading Profit,
    as defined, recognized by each Advisor considered individually irrespective
    of the overall performance of the Partnership, either as of the end of each
    calendar quarter or year and upon the net reallocation of assets away from
    an Advisor, are paid by MM LLC to each of the Advisors. Profit Shares are
    also paid out in respect of Units redeemed as of the end of interim months,
    to the extent of the applicable percentage of any New Trading Profit
    attributable of such Units.

6.  WEIGHTED AVERAGE UNITS

    The weighted average number of Units outstanding was computed for purposes
    of calculating net income per weighted average Unit. The weighted average
    Units outstanding for the years ended December 31, 2002, 2001 and 2000
    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.  COPPER SETTLEMENT

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

8.  FAIR VALUE AND OFF-BALANCE SHEET RISK

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

    Market Risk

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

9.  SUBSEQUENT EVENT

    On February 28, 2003, the general partner interest of the Partnership was
    assigned from MLIM AS LLC to Merrill Lynch Investment Managers, LLC, a
    wholly-owned subsidiary of MLIM, as part of an internal

                                        9
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    Merrill Lynch reorganization. This change will not affect the personnel
    involved in the management of the Partnership. The change will not have an
    impact on the Partnership's investors.


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

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


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

                                       10