<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 September 30, 1996
                               ------------------

                            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.
                 (formerly ML Futures 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 11 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
                       ---------------------------------

<TABLE> 
<CAPTION> 
                                                                          September 30,         December 31,
                                                                              1996                  1995
                                                                              ----                  ----
<S>                                                                   <C>                   <C>  
ASSETS
------
Accrued interest                                                         $    87,525           $   115,604
Equity in commodity futures trading accounts:
  Cash and option premiums                                                23,205,736            27,022,835
  Net unrealized gain on open contracts                                    1,467,737             1,522,575
                                                                       ---------------       ---------------

           TOTAL                                                         $24,760,998           $28,661,014
                                                                       ===============       ===============  


                                LIABILITIES AND PARTNERS' CAPITAL
                                ---------------------------------       

LIABILITIES:
    Redemptions payable                                                  $   315,665           $   626,446
    Profit shares payable                                                      6,703               -
    Brokerage commissions payable (Note 2)                                   199,316               222,831
    Administrative expense payable (Note 2)                                    5,159               -
                                                                       ---------------       ---------------

        Total liabilities                                                    526,843               849,277
                                                                       ---------------       ---------------
PARTNERS' CAPITAL:
    General Partner (1,787 and 1,787 units)                                  339,813               347,972
    Limited Partners (125,651 and 141,035 units)                          23,894,342            27,463,765
                                                                       ----------------      ---------------

        Total partners' capital                                           24,234,155            27,811,737
                                                                       ----------------      ---------------

           TOTAL                                                         $24,760,998           $28,661,014
                                                                       ================      ===============

NET ASSET VALUE PER UNIT
  (Based on 127,438 and 142,822 Units outstanding)                           $190.16               $194.73
                                                                       ================      ===============
</TABLE> 

See notes to financial statements.

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

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

<TABLE> 
<CAPTION> 
                                                  For the three       For the three       For the nine       For the nine
                                                  months ended        months ended        months ended       months ended
                                                  September 30,       September 30,       September 30,      September 30,
                                                      1996                1995                1996               1995
                                                   ----------          ----------          ----------         ----------
<S>                                             <C>                   <C>                <C>                <C>  
REVENUES: 
  Trading (loss) profits:
     Realized                                     $  (350,573)          $(910,654)         $  518,233         $5,525,846
     Change in unrealized                           1,347,727            (257,800)            (54,838)        (1,877,615)
                                                 -------------        -------------       -------------      ------------- 

        Total trading results                         997,154          (1,168,454)            463,395          3,648,231
                                                 -------------        -------------       -------------      ------------- 

  Interest income                                     275,017             359,940             877,858          1,105,943
                                                 -------------        -------------       -------------      ------------- 

        Total revenues                              1,272,171            (808,514)          1,341,253          4,754,174
                                                 -------------        -------------       -------------      ------------- 
EXPENSES:
  Profit shares                                         6,703               6,000              75,570            412,897
  Brokerage commissions (Note 2)                      596,822             729,812           1,903,923          2,252,140
  Administrative expense (Note 2)                      15,303              -                   48,818             -
                                                 -------------        -------------       -------------      ------------- 

        Total expenses                                618,828             735,812           2,028,311          2,665,037
                                                 -------------        -------------       -------------      ------------- 

NET (LOSS) INCOME                                    $653,343         $(1,544,326)        $  (687,058)        $2,089,137
                                                 =============        =============       =============      ============= 

NET INCOME (LOSS) PER UNIT:
  Weighted average number of units
    outstanding                                       131,858             153,065             137,174            159,692
                                                     ========            ========             =======            =======
  Weighted average net income (loss)
    per Limited Partner unit and
    General Partner unit                                $4.95             $(10.09)             $(5.01)            $13.08
                                                        =====             ========             =======            ======
</TABLE> 
See notes to financial statements.

                                       3
<PAGE>
 
                           ML FUTURES INVESTMENTS L.P.
                           ---------------------------
                        (a Delaware limited partnership)
                        --------------------------------


                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
                   ------------------------------------------
              For the nine months ended September 30, 1996 and 1995
              -----------------------------------------------------

<TABLE> 
<CAPTION> 


                                                                       Limited            General
                                                  Units                Partners           Partner             Total
                                                  -----                --------           -------             -----
<S>                                           <C>                  <C>                <C>                <C>   
PARTNERS' CAPITAL,
  DECEMBER 31, 1994                               168,218             $28,947,888         $353,061           $29,300,949

  Net income                                        -                   2,063,998           25,139             2,089,137

  Redemptions                                     (19,236)             (3,592,134)           -                (3,592,134)
                                               -----------          --------------     ------------       --------------- 

PARTNERS' CAPITAL,
  SEPTEMBER 30, 1995                              148,982             $27,419,752         $378,200           $27,797,952
                                               ===========          ==============     ============       =============== 

PARTNERS' CAPITAL,
  DECEMBER 31, 1995                               142,822             $27,463,765         $347,972          $27,811,737

Net loss                                            -                    (678,899)          (8,159)            (687,058)

Redemptions                                       (15,384)             (2,890,524)           -               (2,890,524)
                                               -----------          --------------     ------------       --------------- 

PARTNERS' CAPITAL,
  SEPTEMBER 30, 1996                              127,438             $23,894,342         $339,813          $24,234,155
                                               ===========          ==============     ============       =============== 
</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 September 30, 1996 and the results of its operations for
     the nine months ended September 30, 1996 and 1995. 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, 1995 (the "Annual Report").

2.   RELATED PARTY TRANSACTIONS

     The Partnership paid brokerage commissions to MLF at a flat monthly rate of
     1% (a 12% annual rate) of the Partnership's month-end Net Assets. This
     monthly rate was reduced to .83 of 1% (a 10% annual rate) as of April 1,
     1993. Effective January 1, 1996, the brokerage commission the Partnership
     pays to the Commodity Broker was reduced to .8125% (a 9.75% annual rate),
     and the Partnership began to pay an administrative fee to the General
     Partner of .020833% (a .25% annual rate). Month-end assets are not reduced
     for purposes of calculating brokerage commissions by any accrued but unpaid
     brokerage commissions or any new profit share. MLIP estimates that the
     round-turn equivalent commission rate charged to the Partnership during the
     nine months ended September 30, 1996 and 1995 was approximately $94 and
     $16, respectively (not including, in calculating round-turn equivalents,
     forward contracts on a futures-equivalent basis).

     MLF pays the Advisors annual Consulting Fees ranging from 1.75% to 4% of
     the Partnership's average month-end assets allocated to them for
     management, after reduction for a portion of the brokerage commissions.

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

     The Partnership trades futures, options and forward contracts in interest
     rates, stock indices, commodities, currencies, energy and metals. The
     Partnership's revenues by reporting category for the nine months ended
     September 30, 1996 were as follows:

<TABLE> 
<CAPTION> 
                                                       1996
                                                       ----
     <S>                                       <C>    
      Interest rate and Stock indices                $291,190
      Commodities                                    (386,688)
      Currencies                                      433,763
      Energy                                          993,466
      Metals                                         (868,336)
                                                ---------------
                                                     $463,395
                                                ===============
</TABLE> 

     Market Risk
     -----------

     Derivative instruments involve varying degrees of off-balance sheet market
     risk, and changes in the level or volatility of interest rates, foreign
     currency exchange rates or the market values of the financial instruments
     or commodities underlying such derivative instruments frequently result in
     changes in the Partnership's unrealized gain or loss on such derivative
     instruments as reflected in the Statements of Financial Condition. The
     Partnership's exposure to market risk is influenced by a number of factors,
     including the relationships among the derivative instruments held by the
     Partnership as well as the volatility and liquidity of the markets in which
     the derivative instruments are traded.

     The General Partner has procedures in place intended to control market
     risk, although there can be no assurance that they will, in fact, succeed
     in doing so. These procedures focus primarily on 

                                       5
<PAGE>
 
     monitoring the trading of the Advisors selected from time to time for the
     Partnership, calculating the Net Asset Value of the Advisors' respective
     Partnership accounts as of the close of business on each day and reviewing
     outstanding positions for over-concentration both on an Advisor-by-Advisor
     and on an overall Partnership basis. While the General Partner does not
     itself intervene in the markets to hedge or diversify the Partnership's
     market exposure, the General Partner may urge Advisors to reallocate
     positions, or itself reallocate Partnership assets 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, the General Partner'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.

     Fair Value
     ----------

     The derivative instruments used in the Partnership's trading activities are
     marked to market daily with the resulting unrealized gains or losses
     recorded in the Statements of Financial Condition and the related profit or
     loss reflected in trading revenues in the Statements of Income. The
     contract/notional values of the Partnership's open derivative instrument
     positions as of September 30, 1996 and December 31, 1995 were as follows:

<TABLE>
<CAPTION>  
                                              1996                                             1995
                          -----------------------------------------     ------------------------------------------

                             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              $268,450,869           $  4,848,997            $233,892,908           $62,165,959
      Commodities               4,883,934              1,545,643               8,944,541             1,780,506
      Currencies               14,843,532             20,212,192              22,533,449            23,426,238
      Energy                    2,614,394               -                      4,790,522              -
      Metals                    6,931,259              8,174,859               8,506,013             3,974,356
                           ---------------        ---------------         ---------------       --------------- 
 
                             $297,723,988            $34,781,691            $278,667,433           $91,347,059
                           ===============        ===============         ===============       =============== 
</TABLE> 
     Substantially all of the Partnership's derivative instruments outstanding
     as of September 30, 1996 expire within one year.

     The contract/notional value of the Partnership's exchange-traded and
     non-exchange-traded derivative instrument positions as of September 30,
     1996 and December 31, 1995 was as follows:

<TABLE> 
<CAPTION> 
                                              1996                                             1995
                          -----------------------------------------     ------------------------------------------

                             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               $284,203,354            $20,713,435            $253,233,552           $67,844,388
      Non-Exchange
        traded                 13,520,634             14,068,256              25,433,881            23,502,671
                           ---------------        ---------------         ---------------       ---------------  

                             $297,723,988            $34,781,691            $278,667,433           $91,347,059
                           ===============        ===============         ===============       =============== 
</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 nine months
     ended September 30, 1996 and the year ended December 31, 1995 was as
     follows:

                                       6
<PAGE>
 
<TABLE> 
<CAPTION> 
                                              1996                                             1995
                          -----------------------------------------     ------------------------------------------

                             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              $117,846,771          $  70,517,755            $180,800,308           $20,386,155
      Commodities               6,701,466              1,463,446               7,173,549             1,204,905
      Currencies               28,448,733             30,437,884              34,970,478            31,883,215
      Energy                    2,855,545                 41,980               1,605,552               528,913
      Metals                   11,911,398              6,725,378               8,842,427             5,677,989
                           ---------------        ---------------         ---------------       ---------------  

                             $167,763,913           $109,186,443            $233,392,314           $59,681,177
                           ===============        ===============         ===============       ===============  
</TABLE> 

     A portion of the amounts indicated as off-balance sheet risk reflects
     offsetting commitments to purchase and sell the same derivative instrument
     on the same date in the future. These commitments are economically
     offsetting but are not, as a technical matter, offset in the forward market
     until the settlement date.

     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 also require margin in the over-
     the-counter markets.

     The fair value amounts in the above tables represent the extent of the
     Partnership's market exposure in the particular class of derivative
     instrument listed, but not the credit risk associated with counterparty
     nonperformance. The credit risk associated with these instruments from
     counterparty nonperformance is the net unrealized gain, if any, included in
     the Statements of Financial Condition. The Partnership also has credit risk
     because the sole counterparty or broker with respect to most of the
     Partnership's assets is MLF.

     As of September 30, 1996 and December 31, 1995, $19,856,619 and $18,809,783
     of the Partnership's assets, respectively, were held in segregated accounts
     at MLF in accordance with Commodity Futures Trading Commission regulations.

     The gross unrealized gain and the net unrealized gain on the Partnership's
     open derivative instrument positions as of September 30, 1996 and December
     31, 1995 were as follows:

<TABLE> 
<CAPTION> 
                                                   1996                                         1995
                                                   ----                                         ----
                                         Gross                 Net                   Gross                  Net
                                      Unrealized           Unrealized             Unrealized            Unrealized
                                         Gain              Gain (Loss)               Gain               Gain (Loss)
                                         ----              -----------               ----               -----------
<S>                            <C>                  <C>                    <C>                   <C> 
      Exchange
        traded                        $1,872,873           $1,342,531             $1,852,088            $1,527,947
      Non-Exchange
           traded                        228,733              125,206                160,590                (5,372)
                                -----------------    -----------------      -----------------     -----------------

                                      $2,101,606           $1,467,737             $2,012,678            $1,522,575
                                =================    ==================     ==================    =================
</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 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 

                                       7
<PAGE>
 
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 October 1, 1996, the Partnership's assets were allocated
as follows:

<TABLE> 
<CAPTION> 
Trading Advisor                                     Markets Traded                                % Allocation
---------------                                     --------------                                ------------
<S>                                                 <C>                                           <C>  
Chesapeake Capital Corporation                      Diversified Program                                  30.62
Sjo, Inc.                                           Diversified Program                                  28.18
West Course Capital, Inc.                           Diversified Program                                  16.85
Hyman Beck & Company, Inc.                          Diversified Program                                  17.53
Coral Rock Investments, Inc.                        Leverage Program                                      6.82
                                                                                                         -----
                                                                                                        100.00
</TABLE> 
               MLIP expects to continue to change both allocations and Advisor
selections from time to time without advance notice to existing investors.

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. 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 nine months of 1995, the Fund's average
month-end Net Assets equalled $29,340,739 and the Fund recognized gross trading
gains of $3,648,231 or 12.43% of such average month-end Net Assets. Brokerage
commissions of $2,252,140 or 7.68% and Profit Shares of $412,897 or 1.41% of
average month-end Net Assets were paid. Interest income of $1,105,943 or 3.77%
of average month-end Net Assets resulted in net income of $2,089,137 or 7.12% of
average month-end Net Assets, which resulted in a 7.12% increase in the Net
Asset Value per Unit since December 31, 1994.

               During the first nine months of 1996, the Fund's average
month-end Net Assets equalled $25,833,815, and the Fund recognized gross trading
gains of $463,395 or 1.79% of such average month-end Net Assets. Brokerage
commissions of $1,903,923 or 7.37%, Administrative expenses of $48,818 or .19%
and Profit Shares of $75,570 or .29% of average month-end Net Assets were paid.
Interest income of $877,858 or 3.40% of average month-end Net Assets resulted in
net losses of $687,058 or 2.66% of average month-end Net Assets which resulted
in a 2.35% decrease in the overall Net Asset Value per Units since December 31,
1995.

               During the first nine months of 1996 and 1995,  the Fund  
experienced 8 profitable  months and 10 unprofitable months.

<TABLE> 
<CAPTION> 
                       MONTH-END NET ASSET VALUE PER UNIT
<S>        <C>        <C>        <C>        <C>        <C>        <C>        <C>       <C>         <C> 
-----------------------------------------------------------------------------------------------------------
           Jan.       Feb.       Mar.       April      May        June       July       Aug.       Sept.
-----------------------------------------------------------------------------------------------------------
1995       $168.83    $170.34    $183.65    $185.36    $201.81    $196.63    $191.97    $188.84    $186.59
-----------------------------------------------------------------------------------------------------------
1996       $199.47    $192.27    $189.90    $194.60    $188.11    $184.97    $179.92    $182.48    $190.16
-----------------------------------------------------------------------------------------------------------
</TABLE> 
                                       8
<PAGE>
 
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.

MLIP's Advisor Selections
-------------------------

               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.

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.)

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.

                                       9
<PAGE>
 
                           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 nine months of
fiscal 1996.

                                       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 PARTNERS INC.
                                                  (General Partner)





Date:  November 11, 1996            By /s/JOHN R. FRAWLEY, JR.
                                       -----------------------
                                       John R. Frawley, Jr.
                                       President, Chief Executive Officer
                                       and Director





Date:  November 11, 1996            By /s/JAMES M. BERNARD
                                       -------------------
                                       James M. Bernard
                                       Chief Financial Officer,
                                       Treasurer and Senior Vice President

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