<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 INVESTMENT L.P.
       
<S>                             <C>                     <C>
<PERIOD-TYPE>                   9-MOS                   9-MOS
<FISCAL-YEAR-END>                          DEC-31-1995             DEC-31-1994
<PERIOD-START>                             JAN-01-1996             JAN-01-1995
<PERIOD-END>                               SEP-30-1996             SEP-30-1995
<CASH>                                               0                       0
<RECEIVABLES>                               24,760,998              28,379,853
<SECURITIES-RESALE>                                  0                       0
<SECURITIES-BORROWED>                                0                       0
<INSTRUMENTS-OWNED>                                  0                       0
<PP&E>                                               0                       0
<TOTAL-ASSETS>                              24,760,998              28,379,853
<SHORT-TERM>                                         0                       0
<PAYABLES>                                     526,843                 581,901
<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>                                  24,234,155              27,797,952
<TOTAL-LIABILITY-AND-EQUITY>                24,760,998              28,379,853
<TRADING-REVENUE>                              463,395               3,648,231
<INTEREST-DIVIDENDS>                           877,858               1,105,943
<COMMISSIONS>                                2,028,311               2,665,037
<INVESTMENT-BANKING-REVENUES>                        0                       0
<FEE-REVENUE>                                        0                       0
<INTEREST-EXPENSE>                                   0                       0
<COMPENSATION>                                       0                       0
<INCOME-PRETAX>                              (687,058)               2,089,137
<INCOME-PRE-EXTRAORDINARY>                   (687,058)               2,089,137
<EXTRAORDINARY>                                      0                       0
<CHANGES>                                            0                       0
<NET-INCOME>                                 (687,058)               2,089,137
<EPS-PRIMARY>                                   (5.01)                   13.08
<EPS-DILUTED>                                   (5.01)                   13.08
        

</TABLE>