<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 March 31, 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 / /

<Page>

                         PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

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

                        STATEMENTS OF FINANCIAL CONDITION

<Table>
<Caption>
                                                                    MARCH 31,
                                                                      2005           DECEMBER 31,
                                                                  (UNAUDITED)           2004
                                                                ---------------    ---------------
<S>                                                             <C>                <C>
ASSETS:
Investment in Global Horizons                                   $    44,445,749    $             -
Receivable from MM LLC                                                        -         47,269,664
Receivable from Global Horizons                                         559,384                  -
                                                                ---------------    ---------------
       TOTAL                                                    $    45,005,133    $    47,269,664
                                                                ===============    ===============

LIABILITIES AND PARTNERS' CAPITAL:
LIABILITIES
 Redemptions payable                                            $       559,384    $       393,123
                                                                ---------------    ---------------
     Total liabilities                                                  559,384            393,123
                                                                ---------------    ---------------

PARTNERS' CAPITAL:
General Partner (441,484 and 506,504 Units)                             466,100            547,516
Limited Partners (41,657,271 and 42,841,288 Units)                   43,979,649         46,329,025
                                                                ---------------    ---------------
     Total partners' capital                                         44,445,749         46,876,541
                                                                ---------------    ---------------
       TOTAL                                                    $    45,005,133    $    47,269,664
                                                                ===============    ===============

NET ASSET VALUE PER UNIT

    (Based on 42,098,755 and 43,347,792 Units outstanding)      $        1.0557    $        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
                                                                  MONTHS ENDED       MONTHS ENDED
                                                                    MARCH 31,          MARCH 31,
                                                                      2005              2004
                                                                ---------------    ---------------
<S>                                                             <C>                <C>
TRADING REVENUE (LOSS):
  Trading profit (loss):
    Realized                                                    $       (44,074)   $     4,744,716
    Change in unrealized                                               (304,189)        (1,025,646)
                                                                ---------------    ---------------

      Total trading revenue (loss)                                     (348,263)         3,719,070
                                                                ---------------    ---------------

INVESTMENT INCOME:
  Interest                                                              261,974            122,506
                                                                ---------------    ---------------

EXPENSES:
  Brokerage commissions                                                 894,963          1,113,293
  Administrative fees                                                    26,323             32,744
  Profit Shares                                                         108,930            641,498
                                                                ---------------    ---------------

      Total expenses                                                  1,030,216          1,787,535
                                                                ---------------    ---------------

NET INVESTMENT LOSS                                                    (768,242)        (1,665,029)
                                                                ---------------    ---------------

NET INCOME (LOSS)                                               $    (1,116,505)   $     2,054,041
                                                                ===============    ===============

NET INCOME (LOSS) PER UNIT:
  Weighted average number of General Partner
  and Limited Partner Units outstanding                              42,691,724         48,756,541
                                                                ===============    ===============

  Net income (loss) per weighted average
  General Partner and Limited Partner Unit                      $       (0.0262)   $        0.0421
                                                                ===============    ===============
</Table>

Substantially all items of income and expense are derived from the investment in
Global Horizons or MM LLC. (Note 2).

See notes to financial statements.

                                        3
<Page>

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

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
               FOR THE THREE MONTHS ENDED MARCH 31, 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 income                                   -             21,284           2,032,757       2,054,041

Redemptions                         (2,071,514)                 -          (2,315,588)     (2,315,588)
                                  ------------    ---------------    ----------------    ------------

PARTNERS' CAPITAL,
 March 31, 2004                     47,394,617    $       572,169    $     52,989,786    $ 53,561,955
                                  ============    ===============    ================    ============

PARTNERS' CAPITAL,
 December 31, 2004                  43,347,792    $       547,516    $     46,329,025    $ 46,876,541

Net loss                                     -            (12,898)         (1,103,607)     (1,116,505)

Redemptions                         (1,249,037)           (68,518)         (1,245,769)     (1,314,287)
                                  ------------    ---------------    ----------------    ------------

PARTNERS' CAPITAL,
 March 31, 2005                     42,098,755    $       466,100    $     43,979,649    $ 44,445,749
                                  ============    ===============    ================    ============
</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 March 31, 2005, and the results of its operations
for the three months ended March 31, 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, ML Multi-Manager LLC ("MM LLC") redeemed all of
the Partnership units and proceeds were invested on January 2, 2005 in Global
Horizons I L.P. ("Global Horizons), formerly known as ML Global Horizons L. P.

As of March 31, 2005 the Partnership had an investment in Global Horizons of
$44,445,749 and the Partnership's percentage ownership share of Global
Horizons was 16.97% .

                                        5
<Page>

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

<Table>
<Caption>
                                GLOBAL HORIZONS              MM LLC
                             --------------------    --------------------
                                    MARCH 31,
                                      2005                DECEMBER 31,
                                  (UNAUDITED)                 2004
                             --------------------    --------------------
   <S>                       <C>                     <C>
   Assets                    $        276,827,516    $        101,421,710
                             ====================    ====================
   Liabilities               $         14,967,416    $        101,421,710
   Partners' Capital                  261,860,100                       -
                             --------------------    --------------------

   Total                     $        276,827,516    $        101,421,710
                             ====================    ====================
</Table>

<Table>
<Caption>
                             FOR THE THREE MONTHS    FOR THE THREE MONTHS
                             ENDED MARCH 31, 2005    ENDED MARCH 31, 2004
                                 (UNAUDITED)              (UNAUDITED)
                             --------------------    --------------------
   <S>                       <C>                     <C>
   Trading revenues and
    interest income          $            163,766    $          5,608,071
   Expenses                             4,834,520               2,477,284
                             --------------------    --------------------
   Net income (loss)         $         (4,670,754)   $          3,130,787
                             ====================    ====================
</Table>

4.   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
results in changes in the Partnership's allocation of net unrealized profit 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, 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 General Partner for Global Horizons, 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

                                        6
<Page>

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.

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.
                              ---------  ----------   ----------
                       <S>    <C>        <C>          <C>
                       2004   $  1.0929  $   1.1324   $   1.1301

                       2005   $  1.0435  $   1.0538   $   1.0557
</Table>

Performance Summary

January 1, 2005 to March 31, 2005

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

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

                                        7
<Page>

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.

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.

January 1, 2004 to March 31, 2004

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

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.

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.

                                        8
<Page>

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.

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 within 90 days of the filing date 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.

                                        9
<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.      Changes in 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.

             There are no exhibits required to be filed with this report.

             (b) REPORTS ON FORM 8-K.

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

                                       10
<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: May 16, 2005            By /s/ FABIO P. SAVOLDELLI
                                 -----------------------
                              Fabio P. Savoldelli
                              Managing Director and Chief Investment Officer
                              -Alternative Strategies Advisers
                              Division
                              (Principal Executive Officer)


Date: May 16, 2005            By /s/ PATRICK HAYWARD
                                 -------------------
                              Patrick Hayward
                              Chief Financial Officer
                              (Principal Financial and Accounting Officer)

                                       11