<Page>

                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                    FORM 10-Q

(Mark One)

/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934

For the quarterly period ended   September 30, 2005
                               ---------------------

                                     OR

/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
    EXCHANGE ACT OF 1934

For the transition period from ________________ to ________________

Commission File Number 33-22864

                           ML FUTURES INVESTMENTS L.P.
                           ---------------------------
                          (Exact Name of Registrant as
                            specified in its charter)

            Delaware                                        36-3590615
-------------------------------                --------------------------------
(State or other jurisdiction of                (IRS Employer Identification No.)
incorporation or organization)

                    c/o Merrill Lynch Investment Managers LLC
                                  222 Broadway
                                   27th Floor
                             New York, NY 10038-2510
                             -----------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                  609-282-6996
              ----------------------------------------------------
              (Registrant's telephone number, including area code)

     Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.                         Yes /X/ No / /

Indicate by check mark whether registrant is an accelerated filer (as defined
by Rule 12b-2 of the Act).
                                                                  Yes / / No /X/

Indicate by check mark whether registrant is a shell company (as defined by
Rule 12b-2 of the Act).
                                                                  Yes / / No /X/

<Page>

PART I - FINANCIAL INFORMATION
Item 1. Financial Statements

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

                        STATEMENTS OF FINANCIAL CONDITION

<Table>
<Caption>
                                                          SEPTEMBER 30,   DECEMBER 31,
                                                              2005            2004
                                                           (UNAUDITED)
                                                          -------------   -------------
<S>                                                       <C>             <C>
ASSETS:
Investment in Global Horizons                             $  40,833,182   $           -
Receivable from MM LLC                                                -      47,269,664
Receivable from Global Horizons                                 286,803               -
                                                          -------------   -------------

       TOTAL ASSETS                                       $  41,119,985   $  47,269,664
                                                          =============   =============

LIABILITY AND PARTNERS' CAPITAL

LIABILITY:
Redemptions payable                                       $     286,803   $     393,123
                                                          -------------   -------------

     Total liabilities                                          286,803         393,123
                                                          -------------   -------------
PARTNERS' CAPITAL:
  General Partner (441,484 and 506,504 Units)                   453,979         547,516
  Limited Partners (39,268,268 and 42,841,288 Units)         40,379,203      46,329,025
                                                          -------------   -------------

     Total partners' capital                                 40,833,182      46,876,541
                                                          -------------   -------------

       TOTAL LIABILITY AND PARTNERS' CAPITAL              $  41,119,985   $  47,269,664
                                                          =============   =============

NET ASSET VALUE PER UNIT

  (Based on 39,709,752 and 43,347,792 Units outstanding)  $      1.0283   $      1.0814
                                                          =============   =============
</Table>

See notes to financial statements.

                                       2
<Page>

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

                            STATEMENTS OF OPERATIONS
                                   (unaudited)

<Table>
<Caption>
                                                FOR THE THREE     FOR THE THREE     FOR THE NINE      FOR THE NINE
                                                MONTHS ENDED      MONTHS ENDED      MONTHS ENDED      MONTHS ENDED
                                                SEPTEMBER 30,     SEPTEMBER 30,     SEPTEMBER 30,     SEPTEMBER 30,
                                                     2005             2004              2005              2004
                                                -------------    ---------------   ---------------   -------------
<S>                                             <C>              <C>               <C>               <C>
TRADING PROFITS (LOSSES):

   Realized                                     $     215,580    $    (1,810,938)  $      (239,610)  $   1,426,864
   Change in unrealized                               (38,721)         2,202,336           (87,966)     (1,086,199)
                                                -------------    ---------------   ---------------   -------------

     Total trading profits (losses)                   176,859            391,398          (327,576)        340,665
                                                -------------    ---------------   ---------------   -------------

INVESTMENT INCOME
  Interest                                            373,580            152,191           919,383         398,739
                                                -------------    ---------------   ---------------   -------------

EXPENSES:
  Brokerage commissions                               852,682            993,503         2,617,740       3,124,964
  Administrative fees                                  25,079             29,221            76,992          91,911
  Profit shares                                         2,479            152,543           174,936         299,843
                                                -------------    ---------------   ---------------   -------------

     Total expenses                                   880,240          1,175,267         2,869,668       3,516,718
                                                -------------    ---------------   ---------------   -------------

NET INVESTMENT LOSS                                  (506,660)        (1,023,076)       (1,950,285)     (3,117,979)
                                                -------------    ---------------   ---------------   -------------

NET LOSS                                        $    (329,801)   $      (631,678)  $    (2,277,861)  $  (2,777,314)
                                                =============    ===============   ===============   =============

NET LOSS PER UNIT:
  Weighted average number of General Partner
  and Limited Partners Units outstanding           39,984,177         45,297,755        40,988,150      46,960,904
                                                =============    ===============   ===============   =============

  Net loss per weighted average General
  Partner and Limited Partner Unit              $     (0.0082)   $       (0.0139)  $       (0.0556)  $     (0.0591)
                                                =============    ===============   ===============   =============
</Table>

Substantially all items of income and expense are derived from the investment in
Global Horizons or MM LLC for the three months and nine months ended September
30 (Note 2).

See notes to financial statements.

                                        3
<Page>

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

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
              FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2005 AND 2004
                                  (unaudited)

<Table>
<Caption>
                                                    UNITS        GENERAL PARTNER   LIMITED PARTNERS       TOTAL
                                                -------------    ---------------   ----------------   -------------
<S>                                                <C>           <C>               <C>                <C>
PARTNERS' CAPITAL,
  December 31, 2003                                49,466,131    $       550,885   $     53,272,617   $  53,823,502

Net loss                                                    -            (31,100)        (2,746,214)     (2,777,314)

Redemptions                                        (5,019,018)                 -         (5,415,290)     (5,415,290)
                                                -------------    ---------------   ----------------   -------------

PARTNERS' CAPITAL,
  September 30, 2004                               44,447,113    $       519,785   $     45,111,113   $  45,630,898
                                                =============    ===============   ===============    =============
PARTNERS' CAPITAL,
  December 31, 2004                                43,347,792    $       547,516   $     46,329,025   $  46,876,541

Net loss                                                    -            (25,019)        (2,252,842)     (2,277,861)

Redemptions                                        (3,638,040)           (68,518)        (3,696,980)     (3,765,498)
                                                -------------    ---------------   ----------------   -------------

PARTNERS' CAPITAL,
  September 30, 2005                               39,709,752    $       453,979   $     40,379,203   $  40,833,182
                                                =============    ===============   ================   =============
</Table>

See notes to financial statements.

                                        4
<Page>

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

                          NOTES TO FINANCIAL STATEMENTS
                                   (unaudited)

1.   SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the financial statements contain all adjustments
necessary to present fairly the financial position of ML Futures Investments
L.P. (the "Partnership") as of September 30, 2005, and the results of its
operations for the three and nine month periods ended September 30, 2005 and
2004. The operating results for the interim periods may not be indicative of the
results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles generally
accepted in the United States of America have been omitted. It is suggested that
these financial statements be read in conjunction with the financial statements
and notes thereto included in the Partnership's Annual Report on Form 10-K filed
with the Securities and Exchange Commission for the year ended December 31,
2004.

2.   INVESTMENTS

Effective December 31, 2004, the Partnership redeemed its entire investment
in ML Multi-Manager LLC ("MM LLC"), which commenced its liquidation process
as of December 31, 2004, and the proceeds were invested prior to the opening of
business on January 2, 2005 in Global Horizons I L.P. ("Global Horizons"),
formerly known as ML Global Horizons L. P.

As of September 30, 2005 the Partnership had an investment in Global Horizons of
$40,833,182 and the Partnership's percentage ownership share of Global Horizons
was 14.51%.

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

<Table>
<Caption>
                                                 SEPTEMBER 30,
                                                     2005
                                                  (UNAUDITED)
                                                ---------------
<S>                                             <C>
Assets                                          $   290,280,439
                                                ===============

Liabilities                                     $     8,832,573
Partners' Capital                                   281,447,866
                                                ---------------

Total                                           $   290,280,439
                                                ===============
</Table>

                                        5
<Page>

<Table>
<Caption>
                              GLOBAL HORIZONS                 MM LLC                GLOBAL HORIZONS                 MM LLC
                          ------------------------   ------------------------   ------------------------   ------------------------
                            FOR THE THREE MONTHS       FOR THE THREE MONTHS       FOR THE NINE MONTHS         FOR THE NINE MONTHS
                          ENDED SEPTEMBER 30, 2005   ENDED SEPTEMBER 30, 2004   ENDED SEPTEMBER 30, 2005   ENDED SEPTEMBER 30, 2004
                                (UNAUDITED)                (UNAUDITED)                (UNAUDITED)                (UNAUDITED)
                          ------------------------   ------------------------   ------------------------   ------------------------
<S>                       <C>                        <C>                        <C>                        <C>
Trading Profits (Losses)  $              3,831,311   $                972,365   $              5,413,227   $              1,289,591
  and Interest Income

Expenses                                 4,903,366                  1,665,822                 14,799,223                  5,052,221
                          ------------------------   ------------------------   ------------------------   ------------------------

Net Loss                  $             (1,072,055)  $               (693,457)  $             (9,385,996)  $             (3,762,630)
                          ========================   ========================   ========================   ========================
</Table>

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

The Partnership invests indirectly in derivative instruments as a result of its
investment in Global Horizons, but does not itself hold any derivative
instrument positions. The nature of this Partnership has certain risks, which
cannot be presented in the financial statements. The following summarizes some
of those risks resulting from its investment in Global Horizons.

MARKET RISK

Derivative financial 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 underlying financial
instruments or commodities underlying such derivative instruments frequently
result in changes in the Partnership's allocation of net unrealized profit on
open contracts on such derivative instruments as reflected in the Statements of
Financial Condition of Global Horizons. The Partnership's exposure to market
risk is influenced by a number of factors, including the relationships among the
derivative instruments held by Global Horizons, as well as the volatility and
liquidity of such markets in which such derivative instruments are traded.

Merrill Lynch Investment Managers LLC ("MLIM LLC"), the General Partner of the
Partnership and Global Horizons, 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 MLIM LLC, calculating the
Net Asset Value of the Advisors' respective Partnership accounts and Global
Horizons accounts as of the close of business on each day and reviewing
outstanding positions for over-concentrations both on an Advisor-by-Advisor and
on an overall Partnership basis. While MLIM LLC does not itself intervene in the
markets to hedge or diversify the Partnership's market exposure, MLIM LLC may
urge Advisors to reallocate positions, or itself reallocate Partnership assets,
through Global Horizons, among Advisors (although typically only as of the end
of a month) in an attempt to avoid over-concentrations. However, such
interventions are unusual. Except in cases in which it appears that an Advisor
has begun to deviate from past practice or trading policies or to be trading
erratically, MLIM LLC's basic risk control procedures consist simply of the
ongoing process of advisor monitoring and selection with the market risk
controls being applied by the Advisors themselves.

                                        6
<Page>

CREDIT RISK

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

The Partnership, through Global Horizons, has credit risk with respect to
non-performance 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 Global Horizons, in its normal course of business,
enters into various contracts, with Merrill Lynch, Pierce, Fenner & Smith Inc.
("MLPF&S") acting as its commodity broker. Pursuant to the brokerage agreement
with MLPF&S (which includes a netting arrangement), to the extent that such
trading results in receivables from and payables to MLPF&S, these receivables
and payables are offset and reported as a net receivable or payable in the
financial statements of Global Horizons in the Equity in commodity futures
trading accounts in the Statements of Financial Condition.

Item 2:   Management's Discussion and Analysis of Financial Condition and
          Results of Operations

                                        MONTH-END NET ASSET VALUE PER UNIT

<Table>
<Caption>
                JAN.       FEB.       MAR.       APR.       MAY        JUN.       JUL.       AUG.       SEP.
     ---------------------------------------------------------------------------------------------------------
     <S>     <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>        <C>
     2004    $  1.0929  $  1.1324  $  1.1301  $  1.0899  $  1.0748  $  1.0406  $  1.0365  $  1.0284  $  1.0266
     2005    $  1.0435  $  1.0538  $  1.0557  $  1.0242  $  1.0249  $  1.0363  $  1.0179  $  1.0315  $  1.0283
</Table>

Performance Summary

JANUARY 1, 2005 TO SEPTEMBER 30, 2005

All of the Partnership's trading assets are invested in Global Horizons as of
January 2, 2005. The Partnership recognizes trading profits or losses as an
investor in Global Horizons. The following 2005 commentary describes the trading
results of Global Horizons.

January 1, 2005 to March 31, 2005

The Partnership posted a loss for the first quarter. Losses in the currency and
global equity sectors outweighed gains experienced in the agricultural sector.

The interest rate sector was the best performing sector for the Partnership. The
Partnership benefited from long U.S. dollar positions versus the Euro and long
Euro and Japanese fixed incomes. Systematic, long-term trend followers also
posted gains in the interest rate sector.

                                        7
<Page>

The energy sector was the second highest performing sector for the Partnership.
Gains were experienced in the energy sector as the Partnership benefited from
long positions in crude oil and gas as these industries profited. Gains were
also posted in long crude oil and heating oil positions.

The agricultural sector also performed well for the quarter. Gains were
experienced from long positions in cattle and hog markets. Short grain positions
and long soybean positions detracted from performance mid-quarter. However, the
quarter ended with gains posted due to coffee, which experienced a lack of
supply and a growing demand.

The metals sector posted a gain for the quarter. The Partnership benefited from
long positions in base and precious metals, such as gold, copper and zinc.

The stock indices sector posted a loss for the quarter. Losses occurred in the
beginning of the quarter due to a trend reversal from long global equities to
short global equities. Profits were made through long positions on the FTSE
index and Asian equities. Stock indices contributed negatively to performance as
the equity markets declined at the end of the quarter.

The currency sector posted the greatest loss for the Partnership. Losses at the
beginning of the quarter were due to a trend reversal from short U.S. dollar
positions to long U.S. dollar positions. Long Japanese yen and Swiss franc
positions also experienced losses. With the U.S. Federal Reserve expressing
concern about inflation, investors predicted that interest rates and the U.S.
dollar would rise. This caused losses as investors fled from emerging
currencies. Long Australian dollar and Mexican peso positions also contributed
to negative performance.

April 1, 2005 to June 30, 2005

The Partnership experienced gains in the interest rates and currencies sectors
and losses in the remaining sectors.

Trading in interest rates posted gains for the Partnership, despite losses early
in the quarter. The Partnership benefited from long positions in the 10-year
German Bund. The long positions held by the Partnership in European and Japanese
government bonds contributed to gains as well.

The currencies sector posted a gain as well for the quarter. Long positions in
the British pound and Aussie dollar contributed early on in the quarter. Short
positions to the British pound, Swiss franc and Euro enabled the Partnership to
capitalize on trend reversals in the market in the latter half of the quarter.

Trading in stock indices attributed to overall trading losses for the
Partnership despite gains posted in the second two months of the quarter. As
equity markets declined, the stock indices market posted losses. Short positions
of domestic equities slightly offset some of the gains attributed to global and
European equities. Profits from long exposure in the European and U.S. equities
were not enough to offset the losses incurred earlier in the quarter.

Trading in agricultural commodities posted losses for the quarter. Gains in
exposure to hogs and soybeans were not enough to offset trading losses in other
commodities. Long exposure to soymeal attributed to the losses as well.

Losses were posted throughout the quarter in the metals sector. Long positions
in base metals detracted from performance. Complex base metals detracted from
performance as well.

                                        8
<Page>

The energy sector posted the largest losses for the quarter. Crude oil and
heating oil declined as crude oil fell in price, which negatively impacted trend
followers.

July 1, 2005 to September 30, 2005

The Partnership posted positive trading results, although the Partnership as a
whole suffered losses for the third quarter. The energy sector generated the
most gains, followed by stock indices and metals sectors. Trading losses were
posted in the agriculture, currencies and interest rates sectors.

In August, large gains posted in the energy sector attributed to the majority of
the Partnership's profits. Long energy positions in the entire energy complex,
as well as a rally in the energy sector due to Hurricane Katrina attributed to
those gains.

Trading in stock indices posted gains for the quarter despite small losses
posted in August. Long positions in global equities contributed to profits early
in the quarter as global markets rallied. Long European equities and Japanese
Nikkei positions contributed to the profits in the latter part of the quarter.

Gains were also posted in the metals sector. Long metal positions, specifically
copper, contributed as global growth increased speculation that demand, and
therefore prices, would increase.

Trading in agricultural commodities posted a loss for the quarter. Short
exposure to corn and long exposure to London coffee detracted from performance
across the agricultural complex. Gains in London sugar and cotton were offset by
losses in hogs and the soybean complex.

Losses were also posted from trading in the currency sector despite gains posted
in September. China's revaluation of the yuan caused volatility across the
currency markets. The U.S. dollar weakened based on higher oil prices and the
potential Federal Reserve slowdown in September. British pounds detracted from
performance in the foreign sector. Gains from long Australian dollar and short
Euro positions were not enough to offset the losses.

Trading in the interest rate sector posted the largest losses for the quarter. A
rally in bond prices attributed to losses. Long positions in Japanese and
European government bonds as well as German bunds further detracted from
performance.

JANUARY 1, 2004 TO SEPTEMBER 30, 2004

All of the Partnership's trading assets in 2004 were invested in MM LLC. The
Partnership recognizes trading profits or losses as an investor in MM LLC. The
following 2004 commentary describes the trading results of MM LLC.

January 1, 2004 to March 31, 2004

MM LLC experienced gains in the interest rate, metals, agricultural commodities,
energy, and currency sectors and losses in stock indices. Overall, for the
quarter, MM LLC experienced gains.

The interest sector posted the largest gains for the quarter despite choppy
trading conditions early in the quarter. In January, profits were generated from
various positions at the short end of the curve in Canada and Europe, while
losses were posted at longer points in the curve in both the U.S. and Europe. In
February, fixed income markets resumed their slow upward trend. In March, long
exposure to most of the major global yield curves proved to generate positive
results.

                                        9
<Page>

The metals sector posted gains for the quarter as well. In January, both
precious and industrial metals generated positive returns from the long side.
Base metals continued to move higher with the exception of nickel. Copper rose
to its highest price in more than six years due to supply disruptions and heavy
demand from new home construction. In February, base metals continued their
upward move as the sector experienced strong demand, shrinking supply and U.S.
dollar weakness, helping to drive prices higher. Strong industrial demand for
copper and continued speculative interest pushed the market to a seven year
high. In March, industrial metals generated minor losses for MM LLC, while
precious metals contributed significantly, particularly, gold and silver.

The agricultural commodities sector posted gains early in the quarter as the
USDA cut its forecast of the crop supply for both soybeans and corn, which sent
prices surging. In February, grain markets extended their long-term rally, with
corn and soybeans being pushed to highs on strong demand and low stockpiles.
Grain markets continued to extend their long-term rally in March, with corn,
soybeans and soymeal being pushed higher on strong demand from Asia and lower
estimates of supply from South America.

The energy sector posted gains for the quarter. In crude oil and more broad
energy markets, weather and OPEC were the dominant factors behind price moves
during January. Weather was extremely cold in the Northeast and Midwest U.S.,
which caused a sharp rally in natural gas and heating oil. Crude oil had a sharp
rally in early February and gradually sold-off as the markets became complacent
about the OPEC meeting. The market continued this trend, as weather-related
demand and tight U.S. inventories continued. In March, the energy sectors posted
a small loss under extremely volatile market conditions. The crude oil market
had very choppy performance during the month, as did the heating oil market.

The currency sector posted slight gains for the quarter. The currency sector
began the quarter with gains as it continued its long trend of a weakening U.S.
dollar. However, trading was very choppy and gains generated in the early part
of January were lost. In February and March, the trend continued as currency
trading was very difficult due to the heightened volatility in the markets.

Stock indices posted losses despite gains early in the quarter. Stock indices
posted a profit for January, as long exposure to global equities from momentum
based and fundamental models performed well. In February, long exposure to
global equities produced positive performance. In March, stock indices posted a
loss that exceeded the gains from earlier in the quarter. Long Nikkei profits
were overcome by losses in long exposure to European equities, which later
flipped to short positions by month-end.

April 1, 2004 to June 30, 2004

MM LLC experienced an overall loss for the quarter. The energy sector was the
only profitable sector for MM LLC.

The energy sector posted gains for the quarter despite volatile market
conditions. Crude oil and unleaded gas were the main drivers of performance. In
May, crude oil prices continued to increase during the month, including refined
products, as did market volatility. Political uncertainties in the Middle East
added an additional risk premium to the markets. Losses were posted for the
month of June. Crude oil and heating oil were the largest contributors to losses
as markets sold-off early during the month when OPEC agreed to provide more
supply, while U.S. inventory levels showed a gradual increase. The MM LLC
maintained a long bias in this sector throughout the quarter.

The agricultural sector posted a loss for the quarter despite small gains in
April and June. Early in the quarter, agricultural markets reversed their upward
trend with the fear that demand from China would

                                       10
<Page>

slow down. Long exposure to the soybean complex outweighed losses in other
markets, particularly corn. Large losses were posted in May. Soybean prices
collapsed, and sold off close to 20% from highs in April as ideal weather
conditions persisted in the Midwest and exports failed to materialize. Demand
from China and diminishing supplies had kept prices high for quite some time.
Small gains were posted in June, with cotton prices dropping allowing short
exposures to generate profits. Corn also posted a significant decline during the
month, which caused the portfolio to adjust positions from long to short. Corn
experienced a dramatic improvement in estimates of acreage and yields, due to
high prices and positive weather conditions.

The interest rate sector posted a loss for the quarter with small gains posted
in May. In April, the fixed income markets experienced heightened volatility and
then fell sharply, followed by a short bounce and then trended down for the rest
of the month. The portfolio was long on many of the global yield curves at the
start of the month and began reducing exposure and initiating shorts mid month.
In May, Eurodollars and short sterling exposure proved profitable during the
month, as strong employment figures in the U.S. confirmed a scenario whereby the
Federal Reserve will raise rates by this summer and the Bank of England
indicated it will raise rates to slow down the growth in economy. In June,
Eurodollars fell early in the month and finally gained 28 basis points from
their lows. U.S. fixed income trading was flat, while gains in trading Japanese
Government bonds were outweighed by losses in trading the European yield curve.

Stock indices posted losses throughout the quarter. In April, equities continued
to rally in the early part of the month, but the fear of rate increase based on
positive economic news sent equities falling with a steep sell-off towards the
end of the month. Equities worldwide stayed weak, on concerns of the imminent
rate increases in U.S. interest rates. The Japanese Nikkei experienced a sudden
deterioration in sentiment, which sent the market plunging around 5% in one day.

The metals sector posted losses for the quarter. In April, both industrial and
precious metals generated significant losses for the portfolio. The U.S. dollar
strengthening and the fear of higher interest rates, which would curb growth,
caused base and precious metals to sell-off. Both industrial and precious metals
generated slight losses for the portfolio in May. In June, industrial metals
detracted from performance as zinc fell by approximately 11% and copper lost 3%.

The currency sector posted the largest losses for the quarter. In April, the
U.S. dollar strengthened considerably during the month, with the Euro falling
below 120 and the British pound falling to 1.77. The Japanese yen fell sharply
after a strong rebound in March. Gains in the British pound and the Euro
overcame losses from the Japanese yen and Australian dollar positioning. In May,
the U.S. dollar weakened against major currencies except for the Australian
dollar after strengthening considerably during the prior month. Losses in the
Japanese yen, Australian dollar and the Swiss franc were mitigated by gains in
the British pound. In June, most major currencies displayed no clear direction,
but exhibited high intra day volatility. Losses were incurred from positions in
the Australian dollar, Swiss franc, British pound and other major markets.

July 1, 2004 to September 30, 2004

MM LLC experienced gains in the interest rate, energy, agricultural commodities
and metals sectors and losses in the stock indices and currency sectors.
Overall, for the quarter, MM LLC experienced gains.

The interest rate sector posted gains for MM LLC for the quarter. In July, U.S.
bond prices rallied for a second month on weaker employment data. Bond prices in
Europe advanced, while in Japan they declined. U.S. fixed income trading was
positive; gains in trading German Bunds were offset by losses in other
international yield curves. In August, U.S. bond prices rallied early in the
month following the release of lackluster payroll data. Bond prices in Europe
also advanced. Strong gains were generated in U.S. and European fixed income
trading. The interest rate sector turned around in September but gains

                                       11
<Page>

still offset those losses for the quarter. U.S. Treasury markets reacted to the
employment data with a violent sell-off at the beginning of the month, which
caused the Advisors to reduce the portfolio's long exposure or change to a net
short bias. Softer economic data eventually pushed longer-term maturities higher
by the end of the month.

The energy sector posted profits throughout the quarter. Crude oil prices
climbed as prices reached record levels. Energy markets had been driven higher
on concerns about limited spare capacity from OPEC, growing demand globally,
instability with Russian suppliers and terrorism. In August, crude oil reached a
21-year high mid-month before selling off. Short exposure to natural gas also
contributed to performance. The energy sector continued to rally, as hurricanes
in the southeastern U.S., higher demand from overseas and ongoing geopolitical
tensions create supply concerns.

The agricultural commodities sector also posted a gain for the quarter. In July,
the sector posted a gain for the month as cotton prices dropped allowing short
exposures to generate profits. Corn also posted a significant decline, which was
profitable for short positions. New crop soybeans, corn, and wheat are all
trading in what has developed to be the best growing season in years. Weather
conditions had been quite optimal, which lead many to believe that crops would
have record yields. The market priced in a near term surplus for many of these
markets. In August, the USDA gave a low crop estimate as there were forecasts of
an early freeze following a cool summer and slow crop development all surprising
the market and posting losses as the short positions were covered. In September,
many grain markets resumed their downward trend, particularly soybeans, corn and
cotton after rallying in August. This sell-off was based on fundamental data
reported.

The metals sector also posted a small gain for the quarter despite losses in
July and August. In July, industrial metals slightly detracted from performance,
as gains in long copper exposure could not offset losses in nickel and aluminum
positioning. Gold prices posted a modest gain during the month. In August, gains
in short zinc exposure could not offset losses in long base metal positioning.
Gold prices rose during the month, as weak economic data continued to drive down
expectations of future rate hikes in the U.S. The sector posted a gain in
September. Industrial metals, particularly copper added to performance, while
exposure to precious metals contributed a small gain. Copper rallied based on
increasing demand from China and tight supply conditions.

Trading in stock indices posted a loss for the quarter despite small gains
posted in August. Major global equity markets recorded sharp declines in July
with a lack of volatility. A short bias to U.S. early in the month allowed for
some positive performance, but a long bias to most international equities
detracted from performance. Exposure to Japan and European equities contributed
most of the losses. Global equity indices were largely unchanged mid quarter
after an initial sell-off and rally at the end of August. A short bias to global
equities late in the quarter allowed for some positive performance and short
positions were later covered toward the end of the quarter, as the markets
changed direction. Gains in the U.S. outweighed losses in exposure to Asian and
European equities. Global equity indices experienced a small rally during
September. European equities outperformed the U.S. and Asian markets. Losses in
the U.S. outweighed moderate gains in some of the international markets late in
the quarter.

The currency sector posted the largest losses for the quarter for MM LLC.
Currency markets remained choppy as the market continued to react to new
releases of economic data. Weaker economic data was reported, particularly the
employment report, and then went onto rally, based on a robust forecast for U.S.
economic growth by Federal Reserve Chairman, Alan Greenspan. Gains made in
trading Euro were offset by losses in the Swiss franc, British pound and
Japanese yen. The market uncertainty about the future macroeconomic environment
resulted in random price moves and a lack of any sustainable trends within the
sector. August began with the U.S. dollar weakening, on soft economic data, most
notably the payroll data and the trade deficit. In September, the positive
non-farm payroll data initially caused an appreciation of the U.S. dollar, which
later faded toward the end of the month, as the announcement of China joining
the G-8 meeting re-ignited a U.S. dollar weakening.

                                       12
<Page>

Item 3.   Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4.   Controls and Procedures

Merrill Lynch Investment Managers LLC, the General Partner of ML Futures
Investments L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership as of the end of the period of this
quarterly report, and, based on this evaluation, has concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of this
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

                                       13
<Page>

                           PART II - OTHER INFORMATION

Item 1.   Legal Proceedings

          There are no pending proceedings to which the Partnership, Global
        Horizons, or MLIM LLC is a party.

Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds

          (a)  None.
          (b)  None.
          (c)  None.
          (d)  None.

Item 3.   Defaults Upon Senior Securities

          None.

Item 4.   Submission of Matters to a Vote of Security Holders

          None.

Item 5.   Other Information

          None.

Item 6.   Exhibits and Reports on Form 8-K.

          (a) EXHIBITS.

              The following exhibits are incorporated by reference or are filed
              herewith to this Quarterly Report on Form 10-Q:

31.01 and
31.02         Rule 13a-14(a)/15d-14(a) Certifications

EXHIBIT 31.01
AND 31.02:    Are filed herewith.

32.01 and
32.02         Section 1350 Certifications

EXHIBIT 32.01
AND 32.02:    Are filed herewith.

          (b) REPORTS ON FORM 8-K.

          There were no reports on Form 8-K filed during the first nine
          months of fiscal 2005.

                                       14
<Page>

                                   SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.


                                  ML FUTURES INVESTMENTS L.P.


                                  By: MERRILL LYNCH INVESTMENT
                                      MANAGERS LLC
                                          (General Partner)


Date: November 14, 2005           By /s/ FABIO P. SAVOLDELLI
                                      ----------------------
                                  Fabio P. Savoldelli
                                  Managing Director and Chief Investment Officer
                                  -Alternative Strategies Advisers Division
                                  (Principal Executive Officer)


Date: November 14, 2005           By /s/ PATRICK HAYWARD
                                     -------------------
                                  Patrick Hayward
                                  Chief Financial Officer
                                  (Principal Financial and Accounting Officer)

                                       15