**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM 10-Q**

**(Mark One)**

**x  QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIESEXCHANGE ACT OF 1934**

**For the quarterly period ended June 30, 2006**

**OR**

**o  TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIESEXCHANGE 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/oMerrill Lynch Alternative Investments LLC**

**PrincetonCorporate Campus**

**800Scudders Mill Road -  Section 2G**

**Plainsboro,New Jersey 08536**

 (Address of principal executive offices)

(Zip Code)

**609-282-6996**

(Registrant’s telephone number, including area code)

Indicate by check mark ifthe registrant is a well-known seasoned issuer as defined by Rule 405 of theSecurities Act
|  | Yes  o | No  x |
|--|-------------|------------|

Indicateby check mark if the registrant is not required to file reports pursuant toSection 13 or 15(d) of the Act.
|  | Yes  o | No  x |
|--|-------------|------------|

Indicate by check mark if the registrant (1) has filed all reportsrequired to be filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subject to suchfiling requirements for the past 90 days.
|  | Yes  x | No  o |
|--|-------------|------------|

 Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best of registrant’s knowledge,in definitive proxy or information statements incorporated by reference in PartII of this Form 10-Q or any amendment to this Form 10-Q.    x

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):
| Large  accelerated filer o | Accelerated filer o | Non-accelerated  filer x |
|----------------------------|---------------------|--------------------------|

 Indicate by check mark whetherregistrant is a shell company (as defined by Rule 12b-2 of the Exchange Act).
|  | Yes  o | No  x |
|--|-------------|------------|

 

 

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**ML FUTURES INVESTMENTS L.P.**

QUARTERLY REPORT FOR JUNE 30, 2006 ON FORM 10-Q

Table of Contents
|          | ** ** |                                                                                             | ** ** | **PAGE** |
|----------|------------|---------------------------------------------------------------------------------------------|------------|----------|
| PART I   |       |                                                                                        |
|     |       |                                                                                        |       |     |
| Item 1.  |       | Financial Statements                                                                        |       | 2        |
|     |       |                                                                                        |       |     |
| Item 2.  |       | Management’s Discussion and Analysis of Financial  Condition and Results of Operations |       | 7        |
|     |       |                                                                                        |       |     |
| Item 3.  |       | Quantitative and Qualitative Disclosures About  Market Risk                                 |       | 11       |
|     |       |                                                                                        |       |     |
| Item 4.  |       | Controls and Procedures                                                                     |       | 11       |
|     |       |                                                                                        |       |     |
| PART II  |       |                                                                                        |
|     |       |                                                                                        |       |     |
| Item 1.  |       | Legal Proceedings                                                                           |       | 12       |
|     |       |                                                                                        |       |     |
| Item 2.  |       | Changes in Securities and Use of Proceeds                                                   |       | 12       |
|     |       |                                                                                        |       |     |
| Item 3.  |       | Defaults Upon Senior Securities                                                             |       | 12       |
|     |       |                                                                                        |       |     |
| Item 4.  |       | Submission of Matters to a Vote of Security Holders                                         |       | 12       |
|     |       |                                                                                        |       |     |
| Item 5.  |       | Other Information                                                                           |       | 12       |
|     |       |                                                                                        |       |     |
| Item 5a. |       | Recent Sales of Unregistered Securities: Uses of  Proceeds From Registered Securities       |       | 12       |
|     |       |                                                                                        |       |     |
| Item 6.  |       | Exhibits                                                                                    |       | 12       |

 

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PART I - FINANCIALINFORMATION

Item1.    Financial Statements

ML FUTURES INVESTMENTSL.P.

(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF FINANCIALCONDITION
| ** **                                              | ** ** | **June 30,** | ** ** | **December 31,** | ** ** |
|---------------------------------------------------------|------------|-------------------|------------|-----------------------|------------|
| ** **                                              | ** ** | **2006**          | ** ** | **2005**              | ** ** |
| ** **                                              | ** ** | **(unaudited)**   | ** ** | ** **            | ** ** |
| **ASSETS:**                                             | ** ** | ** **        | ** ** | ** **            | ** ** |
| Investment in Global  Horizons                          |       | $                 | 39,539,875 |                  | $          | 39,887,435 |   |
| Receivable from Global  Horizons                        |       | 328,448           |       | 315,015               |       |
|                                                    |       |              |       |                  |       |
| **TOTAL  ASSETS**                                       |       | $                 | 39,868,323 |                  | $          | 40,202,450 |   |
|                                                    |       |              |       |                  |       |
| **LIABILITY AND PARTNERS’ CAPITAL**                | ** ** | ** **        | ** ** | ** **            | ** ** |
| **LIABILITY:**                                          | ** ** | ** **        | ** ** | ** **            | ** ** |
| Redemptions  payable                                    |       | $                 | 328,448    |                  | $          | 315,015 |   |
|                                                    |       |              |       |                  |       |
| **PARTNERS’ CAPITAL:**                             | ** ** | ** **        | ** ** | ** **            | ** ** |
| General Partner  (391,667 and 441,484 Units)            |       | 422,864           |       | 454,109               |       |
| Limited Partners  (36,231,577 and 38,337,375 Units)     |       | 39,117,011        |       | 39,433,326            |       |
|                                                    |       |              |       |                  |       |
| Total partners’  capital                           |       | 39,539,875        |       | 39,887,435            |       |
|                                                    |       |              |       |                  |       |
| **TOTAL  LIABILITY AND PARTNERS’ CAPITAL**         |       | $                 | 39,868,323 |                  | $          | 40,202,450 |   |
|                                                    |       |              |       |                  |       |
| **NET ASSET VALUE PER UNIT**                            | ** ** | ** **        | ** ** | ** **            | ** ** |
| ** **                                              | ** ** | ** **        | ** ** | ** **            | ** ** |
| (Based on 36,623,244  and 38,778,859 Units outstanding) |       | $                 | 1.0796     |                  | $          | 1.0286 |   |

 

See notes tofinancial statements.

 

2

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ML FUTURES INVESTMENTSL.P.

(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF OPERATIONS

(unaudited)
| ** **                                                                        | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the six** | ** ** | **For the six** | ** ** |
|-----------------------------------------------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|---------------------------|------------|---------------------------|------------|
| ** **                                                                        | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**     | ** ** | **months ended**     | ** ** |
| ** **                                                                        | ** ** | **June 30,**           | ** ** | **June 30,**           | ** ** | **June 30,**         | ** ** | **June 30,**         | ** ** |
| ** **                                                                        | ** ** | **2006**                    | ** ** | **2005**                    | ** ** | **2006**                  | ** ** | **2005**                  | ** ** |
| **TRADING  PROFITS (LOSSES):**                                                    | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| Realized                                                                          |       | $                           | 1,811,099  |                        | $          | (411,116                  | )          | $                         | 3,143,747  |   | $ | (455,190 | ) |
| Change in unrealized                                                              |       | (434,436                    | )          | 254,944                     |       | (151,427                  | )          | (49,245                   | )          |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| Total trading profits (losses)                                                    |       | 1,376,663                   |       | (156,172                    | )          | 2,992,320                 |       | (504,435                  | )          |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| **INVESTMENT  INCOME:**                                                           | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| Interest                                                                          |       | 479,348                     |       | 283,829                     |       | 905,132                   |       | 545,803                   |       |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| **EXPENSES:**                                                                     | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| Brokerage commissions                                                             |       | 829,951                     |       | 870,095                     |       | 1,649,446                 |       | 1,765,058                 |       |
| Administrative fees                                                               |       | 24,410                      |       | 25,590                      |       | 48,513                    |       | 51,913                    |       |
| Profit shares                                                                     |       | 189,756                     |       | 63,527                      |       | 254,166                   |       | 172,457                   |       |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| Total expenses                                                                    |       | 1,044,117                   |       | 959,212                     |       | 1,952,125                 |       | 1,989,428                 |       |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| **NET  INVESTMENT LOSS**                                                          |       | (564,769                    | )          | (675,383                    | )          | (1,046,993                | )          | (1,443,625                | )          |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| **NET  INCOME (LOSS)**                                                            |       | $                           | 811,894    |                        | $          | (831,555                  | )          | $                         | 1,945,327  |   | $ | (1,948,060 | ) |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| **NET INCOME  (LOSS) PER UNIT:**                                                  | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                | ** ** | ** **                | ** ** |
| Weighted average number of General Partner and  Limited Partner Units outstanding |       | 36,947,199                  |       | 41,168,536                  |       | 37,406,804                |       | 41,666,735                |       |
|                                                                              |       |                        |       |                        |       |                      |       |                      |       |
| Net income (loss) per weighted average Limited  Partner and General Partner Unit  |       | $                           | 0.0220     |                        | $          | (0.0202                   | )          | $                         | 0.0520     |   | $ | (0.0468 | ) |

 

Substantially allitems of income and expense are derived from the investment in Global Horizons.

 

See notes tofinancial statements.

3

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ML FUTURES INVESTMENTS L.P.

(A DELAWARE LIMITED PARTNERSHIP)

STATEMENTS OF CHANGES INPARTNERS’ CAPITAL

#### FOR THE SIX MONTHS ENDED JUNE 30, 2006 AND 2005

(unaudited)
| ** **                                 | ** ** | **Units**  | ** ** | **General Partner** | ** ** | **Limited Partners** | ** ** | **Total**  | ** ** |
|--------------------------------------------|------------|------------|------------|--------------------------|------------|---------------------------|------------|------------|------------|
| PARTNERS’ CAPITAL, December 31, 2004  |       | 43,347,792 |       | $                        | 547,516    |                      | $          | 46,329,025 |       | $ | 46,876,541 |   |
|                                       |       |       |       |                     |       |                      |       |       |       |
| Net loss                                   |       | —     |       | (21,490                  | )          | (1,926,570                | )          | (1,948,060 | )          |
|                                       |       |       |       |                     |       |                      |       |       |       |
| Redemptions                                |       | (2,616,940 | )          | (68,518                  | )          | (2,651,091                | )          | (2,719,609 | )          |
|                                       |       |       |       |                     |       |                      |       |       |       |
| PARTNERS’ CAPITAL, June 30, 2005      |       | 40,730,852 |       | $                        | 457,508    |                      | $          | 41,751,364 |       | $ | 42,208,872 |   |
|                                       |       |       |       |                     |       |                      |       |       |       |
| PARTNERS’  CAPITAL, December 31, 2005 |       | 38,778,859 |       | $                        | 454,109    |                      | $          | 39,433,326 |       | $ | 39,887,435 |   |
|                                       |       |       |       |                     |       |                      |       |       |       |
| Net income                                 |       | —     |       | 21,033                   |       | 1,924,294                 |       | 1,945,327  |       |
|                                       |       |       |       |                     |       |                      |       |       |       |
| Redemptions                                |       | (2,155,615 | )          | (52,278                  | )          | (2,240,609                | )          | (2,292,887 | )          |
|                                       |       |       |       |                     |       |                      |       |       |       |
| PARTNERS’  CAPITAL, June 30, 2006     |       | 36,623,244 |       | $                        | 422,864    |                      | $          | 39,117,011 |       | $ | 39,539,875 |   |

 

See notes tofinancial statements.

4

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ML FUTURES INVESTMENTSL.P.

(A DELAWARELIMITED PARTNERSHIP)

NOTES TO FINANCIALSTATEMENTS

(unaudited)

1.     SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of ML Futures Investments L.P. (the “Partnership”)as of June 30, 2006, and the results of its operations for the three and sixmonth periods ended June 30, 2006 and 2005. The operating results for the interim periods may not be indicative ofthe results for the full year.

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“US GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the financial statements and notesthereto included in the Partnership’s Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31, 2005.

The preparation offinancial statements in conformity with US GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

2.       INVESTMENTS

As of June 30,2006 and December 31, 2005 the Partnership had an investment in Global HorizonsI L.P. (“Global Horizons”) of $39,539,875 and $39,887,435, respectively.  As of June 30, 2006 and December 31, 2005 thePartnership’s percentage ownership share of Global Horizons was 15.38% and14.85%, respectively.

Condensed statementsof financial condition and statements of operations for Global Horizons are setforth as follows:
|                         | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|-------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **              | ** ** | **2006**          | ** **  | **2005**              | ** ** |
| ** **              | ** ** | **(unaudited)**   | ** **  | ** **            | ** ** |
|                    |       |              |        |                  |       |
| Assets                  |       | $                 | 264,317,035 |                  | $          | 280,475,255 |   |
|                    |       |              |        |                  |       |
| Liabilities             |       | $                 | 7,247,046   |                  | $          | 11,889,388 |   |
| Partners’  Capital |       | 257,069,989       |        | 268,585,867           |       |
|                    |       |              |        |                  |       |
| Total                   |       | $                 | 264,317,035 |                  | $          | 280,475,255 |   |

 

5

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| ** **                           | ** ** | **For the three months   ended June 30, 2006** | ** ** | **For the three months   ended June 30, 2005** | ** ** | **For the six months   ended June 30, 2006** | ** ** | **For the six months   ended June 30, 2005** | ** ** |
|--------------------------------------|------------|-----------------------------------------------------------------------------------|------------|-----------------------------------------------------------------------------------|------------|---------------------------------------------------------------------------------|------------|---------------------------------------------------------------------------------|------------|
| ** **                           | ** ** | **(unaudited)**                                                                   | ** ** | **(unaudited)**                                                                   | ** ** | **(unaudited)**                                                                 | ** ** | **(unaudited)**                                                                 | ** ** |
|                                 |       |                                                                              |       |                                                                              |       |                                                                            |       |                                                                            |       |
| Trading profits and  interest income |       | $                                                                                 | 12,244,345 |                                                                              | $          | 1,418,150                                                                       |       | $                                                                               | 25,799,272 |   | $ | 1,581,916 |   |
|                                 |       |                                                                              |       |                                                                              |       |                                                                            |       |                                                                            |       |
| Expenses                             |       | 6,167,732                                                                         |       | 5,061,337                                                                         |       | 11,574,938                                                                      |       | 9,895,857                                                                       |       |
|                                 |       |                                                                              |       |                                                                              |       |                                                                            |       |                                                                            |       |
| Net income (loss)                    |       | $                                                                                 | 6,076,613  |                                                                              | $          | (3,643,187                                                                      | )          | $                                                                               | 14,224,334 |   | $ | (8,313,941 | ) |

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

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

Market Risk

Derivativefinancial instruments involve varying degrees of off-balance sheet marketrisk.  Changes in the level or volatilityof interest rates, foreign currency exchange rates or the market values of theunderlying financial instruments or commodities underlying such derivativeinstruments frequently results in changes in the Partnership’s allocation ofnet unrealized profit(loss) on such derivative instruments as reflected in theStatements of Financial Condition of Global Horizons.  The Partnership’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by Global Horizons, as well as the volatility andliquidity of such markets in which such derivative instruments are traded.

The generalpartner, Merrill Lynch Alternative Investements (“MLAI”), has procedures inplace intended to control market risk exposure, although there can be noassurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of the Advisors selected from time to time by MLAI, asthe General Partner of Global Horizons, calculating the Net Asset Value of theAdvisors’ respective Partnership accounts and Global Horizons accounts as ofthe close of business on each day and reviewing outstanding positions forover-concentrations both on an Advisor-by-Advisor and on an overall Partnershipbasis.  While MLAI does not itselfintervene in the markets to hedge or diversify the Partnership’s marketexposure, MLAI may urge Advisors to reallocate positions, or itself reallocatePartnership assets, through Global Horizons, among Advisors (although typicallyonly 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 anAdvisor has begun to deviate from past practice or trading policies or to betrading erratically, MLAI’s basic risk control procedures consist simply of theongoing process of advisor monitoring and selection with the market riskcontrols being applied by the Advisors themselves.

6

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Credit Risk 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically (but not universally) provide clearinghousearrangements 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 thefinancial integrity of the exchange. In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties. Margins, which may be subject to loss in the eventof a default, are generally required in exchange trading, and counterpartiesmay require margin in the over-the-counter markets.

The Partnership,through Global Horizons, has credit risk with respect to non-performance of itscounterparties and brokers, but attempts to mitigate this risk by dealingalmost exclusively with Merrill Lynch & Co., Inc. (“Merrill Lynch”)entities as clearing brokers.

The Partnership,through Global Horizons, in its normal course of business, enters into variouscontracts, with Merrill Lynch, Pierce, Fenner & Smith Inc. (“MLPF&S”)acting as its commodity broker. Pursuant to the brokerage agreement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payablein the financial statements of Global Horizons in the Equity in commodityfutures trading accounts in the Statements of Financial Condition.

Item 2:          Management’s Discussion and Analysisof Financial Condition and Results of Operations

MONTH-END NET ASSET VALUE PER UNIT

|      | ** ** | **JAN.** | ** ** | **FEB.** | ** ** | **MAR.** | ** ** | **APR.** | ** ** | **MAY** | ** ** | **JUN.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2005 |       | $        | 1.0435     |     | $          | 1.0538   |       | $        | 1.0557     |    | $          | 1.0242   |       | $ | 1.0249 |   | $ | 1.0363 |   |
| 2006 |       | $        | 1.0494     |     | $          | 1.0405   |       | $        | 1.0581     |    | $          | 1.0918   |       | $ | 1.0864 |   | $ | 1.0796 |   |

Performance Summary

January 1, 2006 toJune 30, 2006

All of thePartnership’s assets are invested in Global Horizons.  The Partnership recognizes trading profits orlosses as an investor in Global Horizons. The following commentary describes the trading results of GlobalHorizons.

January 1, 2006 toMarch 31, 2006

The Partnershipposted a gain for the first quarter. Gains in interest rates, metals and stock indices sectors outweighedlosses experienced in the agricultural, energy and currencies sectors.

Thelargest gains were posted in the interest rate sector.  Short positions in Eurodollars, the front endof the U.S. curve, and in German bunds, Japanese government bonds and U.S.Treasuries all drove performance.  Theshort positions to the U.S. profited due to higher interest rates as a resultof increased inflationary pressure.  U.STreasuries contributed as markets declined on stronger than expected consumerconfidence and rising inflationary fears.

7

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Themetals sector posted a gain for the Partnership despite losses realizedmid-quarter.  Metals rallied due to baseand precious metal holdings.   Long goldpositions profited as investors continued to use gold as a hedge against aweakening U.S. dollar.  Aluminum and zincboth rallied early in the quarter due to global growth and supply issue.  Precious and base metals contributed toperformance through long positions to gold, silver and copper as demandincreased.

Tradingin stock indices also posted gains throughout the quarter.  Strong domestic and international marketscontributed to performance.  Theincreased volatility in the European markets provided increased opportunitiesfor short-term trend followers.  ThePartnership continued to maintain a long bias to global equities.  Japan and European exposures led performanceas markets rallied, while U.S. exposures slightly detracted from performance.

Tradingin agricultural commodities contributed to losses during the quarter despitesmall gains in the latter part of the quarter. Short positions in coffee and long positions in corn detracted fromperformance mid-quarter.  Some losseswere mitigated through long positions in sugar as demand grew for ethanol, asugar by product.  Detracting fromperformance were long exposures to the soybean complex.  Contributing slightly in March were gainsresulting from short positions in coffee and the meat complex as pricescontinued to decrease.

Tradingin the energy sector posted losses throughout the quarter.  Crude oil rallied due to geopolitical issuesbut was not enough to offset losses from the decline in refined products, suchas unleaded and heating oil.  Crude oilsuffered mid-quarter as prices declined amid increased supply.  Geopolitical issues led to increasedvolatility within the sector.  Thiscaused gasoline prices to surge as supply decreased reversing the downwardprice trend experienced earlier in the quarter.

Thecurrencies sector was the sector with the weakest performance for thePartnership, despite small gains early in the quarter.  Foreign exchange contributed positively tothe Partnership as the U.S. dollar weakened throughout the month due to thecontinuation of December’s carry trade reversal and the continued expectationfor the slowdown of the U.S. Federal Reserve. Contributing to performance was long Canadian dollar and British poundpositions, while detracting from performance was positions in the Euro andSwiss franc.  Long positions in theMexican peso and short Euro positions contributed to performance as well.  Foreign exchange detracted due to strongreversals in March.  Long exposures tothe Mexican peso, Japanese yen, Canadian dollar and the British pound duringthe choppy market conditions all contributed to losses.

April 1, 2006 to June 30,2006

The Partnership posted again for the second quarter.  Gains ininterest rates, metals, currencies, and energy sectors outweighed lossesexperienced in the stock indices and agricultural sectors.

The largest gains wereposted in the interest rate sector. Performance was driven in the fixed incomesector through short positions to global interest rates, specifically shortpositions to U.K. gilts and German bunds. Short positions to the Euro alsocontributed to speculation that the European Central Bank would raise ratesthroughout the year. Short exposures to global interest rates, particularlyJapan and Europe, slightly detracted from gains mid-quarter as global bondprices rallied. Short fixed income positions benefited, particularly shortexposures to European rates, to the U.S. ten-year and to short end of theEurodollar.

The metals sector postedsignificant gains for the Partnership early in the quarter as gold ralliedabove $650 per ounce and copper rallied on strong global growth, particularlybooming demand from China and 

8

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potential miningdisruptions. Silver also contributed based on speculation that Barclays bankwould offer a Silver Exchange Traded Fund (ETF). Long positions in base metals,such as nickel and aluminum also contributed to profits.

Trading in the currenciessector also posted a gain for the Partnership despite losses realized atquarter end. Long positions in the British pound and the Canadian dollarcontributed to performance, while exposures to the Australian dollar and Euroslightly detracted. The U.S. dollar fell based on narrowing interest ratedifferentials and anticipation that the U.S. Federal Reserve would soon end itsrate hike cycle. The U.S. dollar also declined against both the Euro andJapanese yen as the market participants expected rate increases to occur at aquicker pace in Europe and Japan than in the U.S. Losses later in the quarterresulted from short positions to the U.S. dollar versus the British pound andthe Canadian dollar.

The energy sector postedmoderate gains for the quarter. Long positions held in unleaded gas rallied andcrude oil increased above $75 a barrel based on geopolitical uncertainty.Energy was then flat through mid-quarter as prices retreated off recent highs.Long positions to crude oil continued to contribute, while short positions tonatural gas detracted as prices spiked.

Trading in the stockindices sector contributed to losses despite small gains at the open of thequarter. Throughout the quarter, global equity volatility remained high, drivenby pending Federal Open Market Committee (FOMC) decision that occurred late inthe quarter. Long equity positions, primarily exposures to the Australian andU.S. markets, profited as markets rallied early in the quarter. These gainswere later taken back as the markets declined sharply as it became apparentthat additional U.S. rate hikes would occur. Losses continued as managersreduced their long positions as global markets sold off.

The agriculturalcommodities sector had losses throughout the quarter. Short positions to cottonprofited as prices sold off. However, small losses occurred across othermarkets due to choppy conditions. Exposures to corn, cattle, and sugar addedlosses. Long positions to corn and wheat declined as prices sold off based onweather and harvest expectations.

January 1, 2005 toJune 30, 2005

All of thePartnership’s assets are invested in Global Horizons.  The Partnership recognizes trading profits orlosses as an investor in Global Horizons. The following commentary describes the trading results of GlobalHorizons.

January 1, 2005 toMarch 31, 2005

The Partnershipposted a loss for the first quarter. Losses in the currency and global equity sectors outweighed gainsexperienced in the agricultural sector.

The interest ratesector 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 alsoposted gains in the interest rate sector.

The energy sectorwas the second highest performing sector for the Partnership.  Gains were experienced in the energy sectoras the Partnership benefited from long positions in crude oil and gas as theseindustries profited.  Gains were alsoposted in long crude oil and heating oil positions.

The agriculturalsector also performed well for the quarter. Gains were experienced from long positions in cattle and hogmarkets.  Short grain positions and longsoybean positions detracted from performance 

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mid-quarter.  However, the quarter ended with gains posteddue to coffee, which experienced a lack of supply and a growing demand.

The metals sectorposted a gain for the quarter.  ThePartnership benefited from long positions in base and precious metals, such asgold, copper and zinc.

The stock indicessector posted a loss for the quarter. Losses occurred in the beginning of the quarter due to a trend reversalfrom long global equities to short global equities.  Profits were made through long positions onthe FTSE index and Asian equities.  Stockindices contributed negatively to performance as the equity markets declined atthe end of the quarter.

The currencysector posted the greatest loss for the Partnership.  Losses at the beginning of the quarter weredue to a trend reversal from short U.S. dollar positions to long U.S. dollarpositions.  Long Japanese yen and Swissfranc 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 fromemerging currencies.  Long Australiandollar and Mexican peso positions also contributed to negative performance.

April 1, 2005 to June 30,2005

The Partnershipexperienced gains in the interest rates and currencies sectors and losses inthe remaining sectors.

Trading ininterest rates posted gains for the Partnership, despite losses early in thequarter. The Partnership benefited from long positions in the ten-year Germanbund.  The long positions held by thePartnership in European and Japanese government bonds contributed to gains aswell.

The currenciessector posted a gain as well for the quarter. Long positions in the British pound and Aussie dollar contributed earlyon in the quarter.  Short positions tothe British pound, Swiss franc and Euro enabled the Partnership to capitalizeon trend reversals in the market in the latter half of the quarter.

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

Trading inagricultural commodities posted losses for the quarter.  Gains in exposure to hogs and soybeans werenot enough to offset trading losses in other commodities.  Long exposure to soymeal attributed to thelosses as well.

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

The energy sectorposted the largest losses for the quarter. Crude oil and heating oil declined as crude oil fell in price, whichnegatively impacted trend followers.

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Item 3.  Quantitative and Qualitative Disclosures About Market Risk

Notapplicable

Item 4. Controls and Procedures

MLAI,the General Partner of ML Futures Investments L.P.,with the participation of the General Partner’s Chief Executive Officer and theChief Financial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to thePartnership as of the end of the period of this quarterly report, and, based onthis evaluation, has concluded that these disclosure controls and proceduresare effective.  Additionally, there wereno significant changes in the Partnership’s internal controls or in otherfactors that could significantly affect these controls subsequent to the dateof this evaluation, including any corrective actions with regard to significantdeficiencies and material weaknesses.

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PART II - OTHER INFORMATION

Item 1.                    LegalProceedings

Neither thePartnership, Merrill Lynch Investment Managers LLC (“MLIM LLC”) nor MLAI haveever been the subject of any material litigation.  Merrill Lynch is the 100% indirect owner ofMLAI, MLIM LLC, MLPF&S and all other Merrill Lynch entities involved in theoperation of the Partnership.  MerrillLynch as well as certain of its subsidiaries and affiliates have been named asdefendants in civil actions, arbitration proceedings and claims arising out oftheir respective business activities. Although the ultimate outcome of these actions cannot be predicted atthis time and the results of legal proceedings cannot be predicted withcertainty, it is the opinion of management that the result of these matterswill not be materially adverse to the business operations or financialcondition of MLIM LLC, MLAI or the Partnership.

Item 2.                    Changesin Securities and Use of Proceeds

(a) None.

(b) None.

(c) None.

(d) None.

Item 3.                    DefaultsUpon Senior Securities

None.

Item 4.                    Submissionof Matters to a Vote of Security Holders

None.

Item 5.                    OtherInformation

None.

Item 5a.                  Recent Sales of Unregistered Securities;Uses of Proceeds From Registered Securities:

Not applicable

Item 6.                    Exhibits

Thefollowing exhibits are incorporated by reference or are filed herewith to thisQuarterly Report on Form 10-Q:

31.01and

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.

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**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 theundersigned thereunto duly authorized.

 
|                  | ML FUTURES INVESTMENTS L.P. |
|-----------------------|-----------------------------|
|                  |                        |   |
|                  |                        |   |
|                  | By:                         | MERRILL LYNCH ALTERNATIVE |   |
|                  |                        | INVESTMENTS LLC |   |
|                  |                        | (General  Partner) |   |
|                  |                        |   |
|                  |                        |   |
| Date: August 14, 2006 | By                          | /s/ BENJAMIN WESTON |   |
|                  |                        | Benjamin Weston |
|                  |                        | Chief Executive Officer and President |
|                  |                        | (Principal Executive Officer) |
|                  |                        |   |
|                  |                        |   |
| Date: August 14, 2006 |                        |   |
|                  | By                          | /s/ MICHAEL L. PUNGELLO |   |
|                  |                        | Michael L. Pungello |
|                  |                        | Vice President and Chief Financial Officer |
|                  |                        | (Principal Financial and Accounting Officer) |
|                       |                             |  |  |  |

 

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