<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, 1997
                               --------------

                    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 0-17543

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

           Delaware                                       13-3590615
------------------------------------           ---------------------------------
(State or other jurisdiction of                (IRS Employer Identification No.)
incorporation or organization)

                   c/o Merrill Lynch Investment Partners Inc.
            Merrill Lynch World Headquarters - South Tower, 6th Fl.
             World Financial Center New York, New York  10080-6106
             -----------------------------------------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                 212-236-4161
               --------------------------------------------------
              (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
                                              -----     -----    

                       This document contains 10 pages.
      There are no exhibits and no exhibit index filed with this document.
<PAGE>
 
                         PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

                          ML FUTURES INVESTMENTS L.P.
                          ---------------------------
                       (a Delaware limited partnership)
                        ------------------------------ 

                       STATEMENTS OF FINANCIAL CONDITION
                       ---------------------------------

                                           March 31,    December 31,
                                              1997          1996
                                          ------------  ------------ 
ASSETS
------
Accrued interest                           $    46,144   $    60,983
Equity in commodity futures trading
 accounts:
    Cash and option premiums                10,510,753    17,891,525
    Net unrealized profit on open              901,403       163,702
     contracts
Investments                                 15,379,133     7,519,322
Receivable from investments                      7,464        50,934
                                          ------------  ------------  
 
                TOTAL                      $26,844,897   $25,686,466
                                          ============  ============  
 
LIABILITIES AND PARTNERS' CAPITAL
---------------------------------
 
LIABILITIES:
    Redemptions payable                    $   245,520   $   170,082
    Profit shares payable                      171,558        92,397
    Brokerage commissions payable               83,576       145,228
    Administrative fees payable                  2,389         3,773
                                          ------------  ------------  
 
            Total liabilities                  503,043       411,480
                                          ------------  ------------  
 
PARTNERS' CAPITAL:
    General Partner (1,787 and 1,787           
     units)                                    393,136       368,402
    Limited Partners (117,946 and       
     120,810 units)                         25,948,718    24,906,584
                                          ------------  ------------  
 
            Total partners' capital         26,341,854    25,274,986
                                          ------------  ------------  
 
                TOTAL                      $26,844,897   $25,686,466
                                          ============  ============  
 
NET ASSET VALUE PER UNIT
  (Based on 119,733 and 122,597 Units                                
   outstanding)                               $ 220.00      $ 206.16 
                                              ========      ========  

See notes to financial statements.

                                       2
<PAGE>
 
                          ML FUTURES INVESTMENTS L.P.
                          ---------------------------
                        (a Delaware limited partnership)
                        ------------------------------- 

                            STATEMENTS OF OPERATIONS
                            ------------------------

                                           For the three       For the three 
                                           months ended        months ended
                                             March 31,           March 31, 
                                               1997                 1996     
                                           -------------       -------------    
REVENUES:
    Trading Profits (Loss):                                     
        Realized                           $     506,511       $     650,996
        Change in unrealized                     737,701            (890,207)
                                           -------------       -------------    
                                                          
            Total trading results              1,244,212            (239,211)
                                           -------------       -------------    
                                                          
    Interest income                              137,457             303,266
    Income from investments                      707,117                -
                                           -------------       ------------- 
                                                          
            Total revenues                     2,088,786              64,055
                                           -------------       -------------
                                                          
EXPENSES:                                                 
    Profit shares                                171,558              60,937
    Brokerage commissions                        220,070             665,538
    Administrative fees                            6,129              17,065
                                           -------------       ------------- 
                                                          
            Total expenses                       397,757             743,540
                                           -------------       ------------- 
                                                          
NET INCOME (LOSS)                          $   1,691,029       $    (679,485)
                                           =============       ============= 
                                                          
NET INCOME (LOSS) PER UNIT:                               
    Weighted average number of units                      
        outstanding                              121,831             141,866
                                                 =======             ======= 
    Weighted average net income (loss)                            
        per General Partner and                           
        Limited Partner Unit                     $ 13.88             $ (4.79)
                                                 =======             ======= 

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, 1997 and 1996
               --------------------------------------------------

<TABLE>
<CAPTION>
                                                    Limited        General
                                       Units       Partners        Partner        Total
                                       -----       --------        -------        -----
<S>                                 <C>          <C>            <C>           <C>
PARTNERS' CAPITAL,                              
  DECEMBER 31, 1995                     142,822   $ 27,463,765   $   347,972   $ 27,811,737
                                                                     
  Net Loss                                 -          (670,851)       (8,634)      (679,485)
                                                                     
  Redemptions                            (2,864)      (554,431)         -          (554,431)
                                     -----------  -------------  ------------  -------------  
                                                                     
PARTNERS' CAPITAL,                                                
  MARCH 31, 1996                        139,958   $ 26,238,483   $   339,338   $ 26,577,821
                                     ===========  =============  ============  ============= 
                                                                     
PARTNERS' CAPITAL,                                                
  DECEMBER 31, 1996                     122,597   $ 24,906,584   $   368,402   $ 25,274,986
                                                                                 
Net Income                                 -         1,666,295        24,734      1,691,029
                                                                                 
Redemptions                              (2,864)      (624,161)         -          (624,161)
                                     -----------  -------------  ------------  -------------  
                                                                                 
PARTNERS' CAPITAL,                                                               
  MARCH 31, 1997                        119,733   $ 25,948,718   $   393,136   $ 26,341,854
                                     ===========  =============  ============  ============= 
</TABLE>                                                              

See notes to financial statements.

                                       4
<PAGE>
 
                          ML FUTURES INVESTMENTS L.P.
                          ----------------------------
                        (A Delaware Limited Partnership)
                        --------------------------------
                                        
                         NOTES TO FINANCIAL STATEMENTS
                         -----------------------------


1.  SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

    These financial statements have been prepared without audit. In the opinion
    of management, the financial statements contain all adjustments (consisting
    of only normal recurring adjustments) necessary to present fairly the
    financial position of The ML Futures Investments L.P. (the "Partnership" or
    the "Fund") as of March 31, 1997 and the results of its operations for the
    three months ended March 31, 1997 and 1996. However, the operating results
    for the interim periods may not be indicative of the results expected for
    the full year.

    Certain information and footnote disclosures normally included in annual
    financial statements prepared in accordance with general accepted accounting
    principles 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, 1996
    (the "Annual Report").


2.  INVESTMENT

    At March 31, 1997 the Partnership had an investment in ML Chesapeake
    Diversified L.L.C. ("Chesapeake LLC") and effective January 1, 1997, the
    Partnership has an additional investment in SJO Prospect Diversified
    Portfolio L.L.C. ("SJO LLC")

    Total revenues and fees with respect to such investments are set forth as
    follows:

<TABLE>
<CAPTION>
                       Total           Brokerage      Administrative        Profit          Income from
                      Revenue         Commissions          Fees             Shares          Investments
                 ----------------  ----------------  ----------------  ----------------  -----------------   
<S>              <C>               <C>               <C>               <C>               <C> 

Chesapeake LLC    $       722,288   $       181,200   $         4,993   $       108,893   $        427,202
SJO LLC                   500,222           173,372             4,774            42,161            279,915
                 ----------------  ----------------  ----------------  ----------------  -----------------
 
Total             $     1,222,510   $       354,572   $         9,767   $       151,054   $        707,117
                 ================  ================  ================  ================  =================   
</TABLE>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK

  The Partnership's revenues by reporting category for the three months ended
  March 31, 1997 and March 31, 1996 were as follows:

                                                  1997             1996      
                                           ----------------   ---------------
        Interest rate and Stock Indices     $       238,165    $    (598,341)
        Commodities                                 368,821         (199,481)
        Currencies                                  268,194          115,850 
        Energy                                      (14,900)         380,523 
        Metals                                      383,932           62,238 
                                           ----------------   ---------------
                                                                             
                                            $     1,244,212    $    (239,211)
                                           =================  ===============

                                       5
<PAGE>
 
The contract/notional values of the Partnership's open derivative instrument
positions as of March 31, 1997 and December 31, 1996 were as follows:

<TABLE>
<CAPTION> 
                                             1997                                             1996                        
                       --------------------------------------------      --------------------------------------------     
                          Commitment to             Commitment to           Commitment to             Commitment to       
                        Purchase (Futures,          Sell (Futures,        Purchase (Futures,          Sell (Futures,      
                       Options & Forwards)       Options & Forwards)     Options & Forwards)       Options & Forwards)     
                       ------------------        ------------------      ------------------        ------------------       
<S>                    <C>                        <C>                    <C>                        <C>                   
Interest rate                                           
 and Stock                                          
 indices                $             --          $     105,784,889       $      23,233,479         $       4,981,659      
Commodities                     4,031,182                   145,940                 435,505                   167,947      
Currencies                      6,454,492                 9,673,691               4,329,546                 8,191,986      
Energy                                  -                         -                       -                         -      
Metals                          7,010,910                 1,175,579               1,788,579                 3,100,766      
                       ------------------        ------------------      ------------------        ------------------ 
                                                                                                                           
                        $      17,496,584         $     116,780,099       $      29,787,109         $      16,442,358      
                       ==================        ==================      ==================        ==================   
</TABLE>
Substantially all of the Partnership's derivative instruments outstanding as
of March 31, 1997 expire within one year.

The contract/notional values of the Partnership's exchange-traded and non-
exchange-traded open derivative instrument positions as of March 31, 1997 and
December 31, 1996 were as follows:

<TABLE>  
<CAPTION>
                                             1997                                             1996                        
                       --------------------------------------------      --------------------------------------------     
                          Commitment to             Commitment to           Commitment to             Commitment to       
                        Purchase (Futures,          Sell (Futures,        Purchase (Futures,          Sell (Futures,      
                       Options & Forwards)       Options & Forwards)     Options & Forwards)       Options & Forwards)    
                       ------------------        ------------------      ------------------        ------------------      
<S>                    <C>                       <C>                     <C>                       <C>                    
Exchange
 traded                 $       4,564,058         $     106,497,229       $      23,668,984         $       7,277,636
Non-Exchange                                                                                          
  traded                       12,932,526                10,282,870               6,118,125                 9,164,722
                       ------------------        ------------------      ------------------        ------------------
                                                                                                      
                        $      17,496,584         $     116,780,099       $      29,787,109         $      16,442,358
                       ==================        ==================      ==================        ================== 
</TABLE>

The average fair value of the Partnership's derivative instrument positions
which were open as of the end of each calendar month during the three months
ended March 31, 1997 and the year ended December 31, 1996 was as follows:

<TABLE>   
<CAPTION> 
                                             1997                                             1996                       
                       --------------------------------------------      --------------------------------------------    
                          Commitment to             Commitment to           Commitment to             Commitment to      
                        Purchase (Futures,          Sell (Futures,        Purchase (Futures,          Sell (Futures,     
                       Options & Forwards)       Options & Forwards)     Options & Forwards)       Options & Forwards)    
                       ------------------        ------------------      ------------------        ------------------      
<S>                    <C>                       <C>                     <C>                       <C>                    
Interest rate
 and Stock
 indices                $      18,704,604         $      49,410,155       $     122,569,950         $      56,764,487
Commodities                     2,943,736                   275,967               5,564,897                 1,483,611
Currencies                     12,494,681                16,207,011              28,363,350                29,061,432
Energy                            852,600                   841,680               2,652,894                    41,980
Metals                          6,152,538                 1,312,218              10,444,937                 6,273,290
                       ------------------        ------------------      ------------------        ------------------      
                                                                                                           
                        $      41,148,159         $      68,047,031       $     169,596,028         $      93,624,800
                       ==================        ==================      ==================        ==================      
</TABLE>

As of March 31, 1997 and December 31, 1996, $7,353,261 and $13,229,366 of the
Partnership's assets, respectively, were held in segregated accounts at MLF in
accordance with Commodity Futures Trading Commission regulations.

                                       6
<PAGE>
 
The gross unrealized profit and the net unrealized profit on the Partnership's
open derivative instrument positions as of March 31, 1997, and December 31,
1996 were as follows:

<TABLE>
<CAPTION>
 
                                    1997                           1996                     
                                    ----                           ----
                            Gross             Net            Gross             Net      
                          Unrealized      Unrealized      Unrealized       Unrealized   
                            Profit       Profit (Loss)      Profit        Profit (Loss) 
                          ----------     -------------    -----------     ------------- 
<S>                     <C>            <C>              <C>             <C>           

Exchange
  traded                 $   682,314    $     586,275    $    157,089    $      154,714
Non-Exchange
  traded                     467,240          315,128         119,573             8,988
                        =============  ===============  ==============  ================ 
 
                         $ 1,149,554    $     901,403    $    276,662    $      163,702
                        =============  ===============  ==============  ================ 
</TABLE>
The Partnership controls credit risk by dealing almost exclusively with
Merrill Lynch entities as brokers and counterparties.

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

Operational Overview: Advisor Selections
----------------------------------------

         Due to the nature of the Fund's business, its results of operations
depend on Merrill Lynch Investment Partners Inc., ("MLIP")'s ability to select
Advisors and determine the appropriate percentage of assets to allocate to them
for trading, as well as the Advisors' ability to recognize and capitalize on
trends and other profit opportunities in different sectors of the world
commodity markets.  MLIP's Advisor selection procedure and leveraging analysis,
as well as the Advisors' trading methods, are confidential, so that
substantially the only information that can be furnished regarding the Fund's
results of operations is contained in the performance record of its trading.
Unlike operating businesses, general economic or seasonal conditions do not
directly affect the profit potential of the Fund, and its past performance is
not necessarily indicative of future results.  Because of the speculative nature
of its trading, operational or economic trends have little relevance to the
Fund's results.  MLIP believes, however, that there are certain market
conditions, for example, markets with strong price trends, in which the Fund has
a better likelihood of being profitable than in others.

         As of April 1, 1997, the Partnership's assets were allocated as
follows:

TRADING ADVISOR                       MARKETS TRADED           % ALLOCATION
---------------                       --------------           ------------
 
Chesapeake Capital Corporation        Diversified Program             29.47
Sjo, Inc.                             Diversified Program             28.38
Hyman Beck & Company, Inc.            Diversified Program             18.74
Willowbridge Associate Inc.           Diversified Program             17.37
Coral Rock Investments, Inc.          Leverage Program                 6.04
                                                                     ------
                                                                     100.00

         MLIP expects to continue to change both allocations and Advisor
selections from time to time without advance notice to existing investors.

         MLIP has no timetable or schedule for making Advisor changes or
reallocations, and generally intends to make a medium- to long-term commitment
to all Advisors selected.  However, there can be no assurance as to the
frequency or number of the Advisor changes which may take place in the future,
or as to how long any of the current Advisors will continue to manage assets for
the Fund.

Results of Operations - General
-------------------------------

         MLIP believes that multi-Advisor futures funds should be regarded as
medium- to long-term investments but, unlike an operating business, it is
difficult to identify "trends" in the Fund's operations and virtually impossible
to make any predictions regarding future results based on results to date.

         Markets in which sustained price trends occur with some frequency tend
to be more favorable to managed futures investments than "whipsaw," "choppy"
markets, but (i) this is not always the case, (ii) it is impossible to predict
when trending markets will occur and (iii) different Advisors are affected
differently by trends in general as well as by particular types of trends.

         The Fund controls credit risk in its trading in the derivatives markets
by trading only through Merrill Lynch entities which MLIP believes to be
creditworthy.  The Fund attempts to control the market risk inherent in its
derivatives trading by utilizing a multi-advisor, multi-strategy structure.

                                       7
<PAGE>
 
This structure purposefully attempts to diversify the Fund's Advisor group among
different strategy types and market sectors in an effort to reduce risk
(although the Fund's portfolio currently emphasizes technical and trend-
following approaches).

Performance Summary
-------------------

             During the first three months of 1996, the Fund's average month-end
Net Assets equalled $27,529,130 and the Fund recognized gross trading losses of
$239,211 or .087% of such average month-end Net Assets.  Brokerage commissions
of $665,538 or 2.42% Administrative fees of $17,065 or .06% and Profit Shares of
$60,937 or .22% of average month-end Net Assets were paid.  Interest income of
$303,266 or 1.10% of average month-end Net Assets resulted in net loss of
$679,485 or 2.47% of average month-end Net Assets, which resulted in a 12.12%
decrease in the Net Asset Value per Unit since December 31, 1995.

         During the first three months of 1997, the Fund's average month-end Net
Assets equalled $26,023,693 and the Fund recognized gross trading gains of
$1,244,212 or 4.78% of such average month-end Net Assets.  Brokerage commissions
of $220,070 or .85%, Administrative fees of $6,129 or .02% and Profit Shares of
$171,558 or .66% of average month-end Net Assets were paid.  Interest income of
$137,457 or .53% and earnings from investments of $707,117 or 2.72% of average
month-end Net Assets resulted in net Income of $1,691,029 or 6.50% of average
month-end Net Assets which resulted in a 6.71% increase in the overall Net Asset
Value per Units since December 31, 1996.

         During the first three months of 1997 and 1996, the Fund experienced 4
profitable months and 2 unprofitable months.
 
                      MONTH-END NET ASSET VALUE PER UNIT
 
                        Jan.        Feb.        Mar.
                        -------     -------     -------
              1996      $252.05     $224.51     $189.90
              1997      $211.33     $219.04     $220.00


Importance of Market Factors
----------------------------

         Comparisons between the Fund's performance in a given period in one
fiscal year to the same period in a prior year are unlikely to be meaningful,
given the uncertainty of price movements in the markets traded by the Fund.  In
general, MLIP expects that the Fund is most likely to trade successfully in
markets which exhibit strong and sustained price trends.  The current Advisor
group emphasizes technical and trend-following methods.  Consequently, one would
expect that in trendless, "choppy" markets the Fund would likely be
unprofitable, while in markets in which major price movements occur, the Fund
would have its best profit potential (although there could be no assurance that
the Fund would, in fact, trade profitably).  However, trend-followers not
infrequently will miss major price movements, and market corrections can result
in rapid and material losses (sometimes as much as 5% in a single day).
Although MLIP monitors market conditions and Advisor performance on an ongoing
basis in overseeing the Fund's trading, MLIP does not attempt to "market
forecast" or to "match" trading styles with predicted market conditions.
Rather, MLIP concentrates on quantitative and qualitative analysis of
prospective Advisors, as well as on statistical studies of the historical
performance parameters of different Advisor combinations in selecting Advisors
and allocating and reallocating Fund assets among them.

         Because managed futures advisors' strategies are proprietary and
confidential and market movements unpredictable, selecting advisors to implement
speculative trading strategies involves considerable uncertainty.  Furthermore,
the concentration of the Fund's current Advisor portfolio, both in terms of the
number of managers retained and the common emphasis of their strategies on
technical and trend-following methods, increases the risk that unexpectedly bad
performance, turbulent market conditions or a combination of the two will result
in significant losses.

Liquidity
---------

         Most of the Partnership's assets are held as cash which, in turn, is
used to margin its futures positions and earn interest income and is withdrawn,
as necessary, to pay redemptions and fees.

     The futures contracts in which the Partnership trades may become illiquid
under certain market conditions.  Commodity exchanges limit fluctuations in
futures prices during a single day by regulations referred to as "daily limits."
During a single day no trades may be executed at prices beyond the daily limit.
Once the price of a futures contract for a particular commodity has increased or
decreased by an amount equal to the daily limit, positions in the commodity can
generally neither be taken nor liquidated unless traders are willing to effect
trades at or within the limit.  Futures contracts have occasionally moved to the
daily limit for several consecutive days with little or no trading.  Such market
conditions could prevent the Partnership from promptly liquidating its futures
(including its options) positions.  There are no limitations on the daily price
moves in trading foreign currency forward contracts through banks, although
illiquidity may develop in the forward markets due to large spreads between
"bid" and "ask" prices quoted.  (Forward contracts are the bank version of
currency futures contracts and are not traded on exchanges.)

                                       8
<PAGE>
 
Capital Resources
-----------------

             The Partnership does not have, nor does it expect to have, any
capital assets and has no material commitments for capital expenditures.  The
Partnership uses its assets to supply the necessary margin or premiums for, and
to pay any losses incurred in connection with, its trading activity and to pay
redemptions and fees.

         Inflation is not a significant factor in the Fund's profitability,
although inflationary cycles can give rise to the type of major price movements
which can have a materially favorable or adverse impact on the Fund's
performance.


                                 PART II - OTHER INFORMATION

Item 1.  Legal Proceedings

         None.

Item 2.  Changes in Securities

         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 document.

    (b) Reports on Form 8-K.
        --------------------

    There were no reports on Form 8-K filed during the first three months of
    fiscal 1997.

                                       9
<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 PARTNERS INC.
                                    (General Partner)



Date:  May 13, 1997         By /s/JOHN R. FRAWLEY, JR.
                               -----------------------
                              John R. Frawley, Jr.
                              President, Chief Executive Officer
                              and Director



Date:  May 13, 1997         By /s/MICHAEL A. KARMELIN
                               ----------------------
                              Michael A. Karmelin
                              Chief Financial Officer,
                              and Director

                                       10