<TABLE> <S> <C>

<PAGE>
 
<ARTICLE> BD
<LEGEND>
THIS SCHEDULE CONTAINS SUMMARY FINANCIAL INFORMATION EXTRACTED FROM
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION, CONSOLIDATED STATEMENTS
OF OPERATIONS, CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
AND IS QUALIFIED IN ITS ENTIRETY BY REFERENCE TO SUCH FINANCIAL
STATEMENTS.
</LEGEND>
<CIK> 0000835666
<NAME> ML FUTURES INVESTMENTS LP
       
<S>                             <C>                     <C>
<PERIOD-TYPE>                   3-MOS                   3-MOS
<FISCAL-YEAR-END>                          DEC-31-1996             DEC-31-1995
<PERIOD-START>                             JAN-01-1997             JAN-01-1996
<PERIOD-END>                               MAR-31-1997             MAR-31-1996
<CASH>                                               0                       0
<RECEIVABLES>                               26,844,897              27,009,904
<SECURITIES-RESALE>                                  0                       0
<SECURITIES-BORROWED>                                0                       0
<INSTRUMENTS-OWNED>                                  0                       0
<PP&E>                                               0                       0
<TOTAL-ASSETS>                              26,844,897              27,009,904
<SHORT-TERM>                                         0                       0
<PAYABLES>                                     503,043                 432,083
<REPOS-SOLD>                                         0                       0
<SECURITIES-LOANED>                                  0                       0
<INSTRUMENTS-SOLD>                                   0                       0
<LONG-TERM>                                          0                       0
<PREFERRED-MANDATORY>                                0                       0
<PREFERRED>                                          0                       0
<COMMON>                                             0                       0
<OTHER-SE>                                  26,341,854              26,577,821
<TOTAL-LIABILITY-AND-EQUITY>                26,844,897              27,009,904
<TRADING-REVENUE>                            1,244,212               (239,211)
<INTEREST-DIVIDENDS>                           137,457                 303,266
<COMMISSIONS>                                  397,757                 743,540
<INVESTMENT-BANKING-REVENUES>                  707,117                       0
<FEE-REVENUE>                                        0                       0
<INTEREST-EXPENSE>                                   0                       0
<COMPENSATION>                                       0                       0
<INCOME-PRETAX>                              1,691,029               (679,485)
<INCOME-PRE-EXTRAORDINARY>                   1,691,029               (679,485)
<EXTRAORDINARY>                                      0                       0
<CHANGES>                                            0                       0
<NET-INCOME>                                 1,691,029               (679,485)
<EPS-PRIMARY>                                    13.88                  (4.79)
<EPS-DILUTED>                                    13.88                  (4.79)
        

</TABLE>