<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, 2004

          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 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/o Merrill Lynch Investment Managers LLC
                                  222 Broadway
                                   27th Floor
                             New York, NY 10038-2510
                             -----------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                  609-282-6996
                  --------------------------------------------
              (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 / /

<Page>

                         PART I - FINANCIAL INFORMATION

Item 1.  Financial Statements

                           ML FUTURES INVESTMENTS L.P.
                        (A DELAWARE LIMITED PARTNERSHIP)

                        STATEMENTS OF FINANCIAL CONDITION
                                   (unaudited)

<Table>
<Caption>
                                                              MARCH 31,
                                                                2004       DECEMBER 31,
                                                            (UNAUDITED)        2003
                                                            ------------   ------------
<S>                                                         <C>            <C>
ASSETS
Investment in MM LLC                                        $ 53,561,955   $ 53,823,502
Receivable from MM LLC                                           755,195        741,550
                                                            ------------   ------------

         TOTAL                                              $ 54,317,150   $ 54,565,052
                                                            ============   ============

LIABILITY AND PARTNERS' CAPITAL

 Redemptions payable                                        $    755,195   $    741,550
                                                            ------------   ------------

     Total liabilities                                           755,195        741,550
                                                            ------------   ------------

PARTNERS' CAPITAL:

General Partner (506,491 and  506,491 Units)                     572,169        550,885
Limited Partners (46,888,126 and 48,959,640 Units)            52,989,786     53,272,617
                                                            ------------   ------------

     Total partners' capital                                  53,561,955     53,823,502
                                                            ------------   ------------

         TOTAL                                              $ 54,317,150   $ 54,565,052
                                                            ============   ============

NET ASSET VALUE PER UNIT

   (Based on 47,394,617 and 49,466,131 Units outstanding)   $     1.1301   $     1.0881
                                                            ============   ============
</Table>

See notes to financial statements.

                                        2
<Page>

                           ML FUTURES INVESTMENTS L.P.
                        (A DELAWARE LIMITED PARTNERSHIP)

                              STATEMENTS OF INCOME
                                   (unaudited)

<Table>
<Caption>
                                              FOR THE THREE    FOR THE THREE
                                               MONTHS ENDED     MONTHS ENDED
                                                MARCH 31,        MARCH 31,
                                                  2004              2003
                                              -------------    -------------
<S>                                           <C>              <C>
REVENUES:
 Trading profits (loss):
   Realized                                   $   4,744,716    $   5,328,243
   Change in unrealized                          (1,025,646)      (2,917,741)
                                              -------------    -------------

     Total trading results                        3,719,070        2,410,502
                                              -------------    -------------

 Interest income                                    122,506          169,803
                                              -------------    -------------

     Total revenues                               3,841,576        2,580,305
                                              -------------    -------------

EXPENSES:
 Brokerage commissions                            1,113,293        1,208,536
 Administrative fees                                 32,744           35,545
 Profit shares                                      641,498          380,039
                                              -------------    -------------

     Total expenses                               1,787,535        1,624,120
                                              -------------    -------------

NET INCOME                                    $   2,054,041    $     956,185
                                              =============    =============

NET INCOME PER UNIT:
 Weighted average number of General Partner
 and Limited Partner Units outstanding           48,756,541       55,563,480
                                              =============    =============

 Net income per weighted average
 General Partner and Limited Partner Unit     $      0.0421    $      0.0172
                                              =============    =============
</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 THREE MONTHS ENDED MARCH 31, 2004 AND 2003
                                   (unaudited)

<Table>
<Caption>
                                    UNITS        GENERAL PARTNER   LIMITED PARTNERS       TOTAL
                                 ------------    ---------------   ----------------    ------------
<S>                                <C>           <C>               <C>                 <C>
PARTNERS' CAPITAL,
 December 31, 2002                     44,778    $       123,877   $     11,728,631    $ 11,852,508

Partnership combination            56,013,115            460,679         43,744,706      44,205,385

Net income                                  -              9,444            946,741         956,185

Redemptions                        (2,023,384)                 -         (2,106,662)     (2,106,662)
                                 ------------    ---------------   ----------------    ------------

PARTNERS' CAPITAL,
 March 31, 2003                    54,034,509    $       594,000   $     54,313,416    $ 54,907,416
                                 ============    ===============   ================    ============

PARTNERS' CAPITAL,
 December 31, 2003                 49,466,131    $       550,885   $     53,272,617    $ 53,823,502

Net income                                  -             21,284          2,032,757       2,054,041

Redemptions                        (2,071,514)                 -         (2,315,588)     (2,315,588)
                                 ------------    ---------------   ----------------    ------------

PARTNERS' CAPITAL,
 March 31, 2004                    47,394,617    $       572,169   $     52,989,786    $ 53,561,955
                                 ============    ===============   ================    ============
</Table>

See notes to financial statements.

                                        4
<Page>

                           ML FUTURES INVESTMENTS L.P.
                        (A DELAWARE LIMITED PARTNERSHIP)

                          NOTES TO FINANCIAL STATEMENTS
                                   (unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

In the opinion of management, the financial statements contain all adjustments
(consisting of only recurring adjustments) necessary to present fairly the
financial position of ML Futures Investments L.P. (the "Partnership") as of
March 31, 2004, and the results of its operations for the three months ended
March 31, 2004 and 2003. The operating results for the interim periods may not
be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual
financial statements prepared in accordance with accounting principles generally
accepted in the United States of America 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,
2003.

2. COMBINATION OF MULTI-ADVISOR FUNDS

After the close of business on December 31, 2002, the Partnership combined its
assets with five other similar Multi-Advisor Funds to form a combined ML Futures
Investments L.P. in a tax free reorganization. All of the Partnership's
investors received new units of the Partnership with an initial Net Asset Value
per Unit of $1.00 in exchange for each of their original units. The aggregate
Net Asset Value of investor's new units is equal to the aggregate Net Asset
Value of their original Units. The ratio of the Unit exchange by entity is
listed below.

<Table>
<S>                                                           <C>
ML Futures Investments L.P.                                   264.694900
ML Futures Investments II L.P.                                205.193438
The S.E.C.T.O.R. Strategy Fund L.P.                           207.382494
The Sector Strategy Fund II L.P.                              172.917074
The Sector Strategy Fund II L.P. Sector III Units             182.523103
The Sector Strategy Fund V L.P.                               147.310123
The Sector Strategy Fund VI L.P.                              134.331163
</Table>

Conversion of the shares had no adverse economic effect on investors in any of
the Multi-Advisor Funds. Merrill Lynch Investment Managers LLC ("MLIM LLC")
contributed $1,560 to the Partnership, the amount necessary due to the effects
of rounding, to insure all investors received shares equal in value to their
original holdings. The Partnership continues to invest through ML Multi-Manager
Portfolio ("MM LLC") and the combination of the Multi-Advisor Funds did not
change the operations of MM LLC. The combined Partnership's percentage of
ownership of MM LLC was 32.32% immediately after the combination. After the
combination of the Multi-Advisor Funds, the brokerage commission rate was
reduced to 0.7083 of 1% (an 8.5% annual rate).

                                        5
<Page>

3. INVESTMENT IN MM LLC

As of March 31, 2004 and December 31, 2003, the Partnership had an investment in
MM LLC of $53,561,955 and $53,823,502, respectively. As of March 31, 2004, and
December 31, 2003, the Partnership's percentage ownership share of MM LLC was
44.18% and 38.41%, respectively.

Condensed statements of financial condition and statements of operations for MM
LLC are set forth as follows:

<Table>
<Caption>
                            MARCH 31,
                              2004               DECEMBER 31,
                           (UNAUDITED)               2003
                      --------------------   --------------------
   <S>                <C>                    <C>
   Assets             $        141,356,118   $        148,476,219
                      ====================   ====================

   Liabilities        $         20,113,554   $          8,347,374

   Members' Capital            121,242,564            140,128,845
                      --------------------   --------------------

   Total              $        141,356,118   $        148,476,219
                      ====================   ====================
</Table>

<Table>
<Caption>
                      FOR THE THREE MONTHS   FOR THE THREE MONTHS
                      ENDED MARCH 31, 2004   ENDED MARCH 31, 2003
                          (UNAUDITED)            (UNAUDITED)
                      --------------------   --------------------
   <S>                <C>                    <C>
   Revenues           $          5,608,071   $          4,572,299

   Expenses                      2,477,284              2,594,520
                      --------------------   --------------------

   Net Income         $          3,130,787   $          1,977,779
                      ====================   ====================
</Table>

4. FAIR VALUE AND OFF-BALANCE SHEET RISK

The Partnership invests indirectly in derivative instruments as a result of its
investment in MM LLC, but does not itself hold any derivative instrument
positions. The nature of this Partnership has certain risks, which cannot be
presented in the financial statements. The following summarizes some of those
risks resulting from its investment in MM LLC.

MARKET RISK

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

The General Partner, MLIM LLC, has procedures in place intended to control
market risk exposure, although there can be no assurance that they will, in
fact, succeed in doing so. These procedures focus primarily on monitoring the
trading of the Advisors selected from time to time for MM LLC, and include

                                        6
<Page>

calculating the Net Asset Value of the Advisors' respective Partnership accounts
and MM LLC accounts as of the close of business on each day and reviewing
outstanding positions for over-concentrations both on an Advisor-by-Advisor and
on an overall Partnership basis. While MLIM LLC does not itself intervene in the
markets to hedge or diversify the Partnership's market exposure, MLIM LLC may
urge Advisors to reallocate positions, or itself reallocate Partnership assets
through MM LLC 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,
MLIM LLC'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.

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 require margin in the over-the-counter markets.

The Partnership, through MM LLC, has credit risk with respect to its
counterparties and brokers, but attempts to mitigate this risk by dealing almost
exclusively with Merrill Lynch entities as clearing brokers.

The Partnership, through MM LLC, in its normal course of business, enters into
various contracts, with Merrill Lynch, Pierce, Fenner & Smith Inc. ("MLPF&S")
acting as its commodity broker. Pursuant to the brokerage agreement with MLPF&S
(which includes a netting arrangement), to the extent that such trading results
in receivables from and payables to MLPF&S, these receivables and payables are
offset and reported as a net receivable or payable in the financial statements
of MM LLC in the Equity in commodity futures trading accounts in the Statements
of Financial Condition.

Item 2:   MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND
          RESULTS OF OPERATIONS

                       MONTH-END NET ASSET VALUE PER UNIT

<Table>
<Caption>
                              JAN.      FEB.      MAR.
                       -----------------------------------
                       <S>    <C>       <C>       <C>
                       2003   $ 1.0317  $ 1.0629  $ 1.0162
                       2004   $ 1.0929  $ 1.1324  $ 1.1301
</Table>

Performance Summary

All of the Partnership's assets are invested in MM LLC. The Partnership
recognizes trading profits or losses as an investor in MM LLC. The following
commentary describes the trading results of MM LLC.

                                        7
<Page>

January 1, 2004 to March 31, 2004

MM LLC experienced gains in the interest rate, metals, agricultural commodities,
energy, and currency sectors and losses in stock indices. Overall, for the
quarter, MM LLC experienced gains.

The interest sector posted the largest gains for the quarter despite choppy
trading conditions early in the quarter. In January, profits were generated from
various positions at the short end of the curve in Canada and Europe, while
losses were posted at longer points in the curve in both the U.S. and Europe. In
February, fixed income markets resumed their slow upward trend. In March, long
exposure to most of the major global yield curves proved to generate positive
results.

The metals sector posted gains for the quarter as well. In January, both
precious and industrial metals generated positive returns from the long side.
Base metals continued to move higher with the exception of nickel. Copper rose
to its highest price in more than six years due to supply disruptions and heavy
demand from new home construction. In February, base metals continued their
upward move as the sector experienced strong demand, shrinking supply and U.S.
dollar weakness, helping to drive prices higher. Strong industrial demand for
copper and continued speculative interest pushed the market to a seven year
high. In March, industrial metals generated minor losses for MM LLC, while
precious metals contributed significantly, particularly, gold and silver.

The agricultural commodities sector posted gains early in the quarter as the
USDA cut its forecast of the crop supply for both soybeans and corn, which sent
prices surging. In February, grain markets extended their long-term rally, with
corn and soybeans being pushed to highs on strong demand and low stockpiles.
Grain markets continued to extend their long-term rally in March, with corn,
soybeans and soymeal being pushed higher on strong demand from Asia and lower
estimates of supply from South America.

The energy sector posted gains for the quarter. In crude oil and more broad
energy markets, weather and OPEC were the dominant factors behind price moves
during January. Weather was extremely cold in the Northeast and Midwest U.S.,
which caused a sharp rally in natural gas and heating oil. Crude oil had a sharp
rally in early February and gradually sold-off as the markets became complacent
about the OPEC meeting. The market continued this trend, as weather-related
demand and tight U.S. inventories continued. In March, the energy sectors posted
a small loss under extremely volatile market conditions. The crude oil market
had very choppy performance during the month, as did the heating oil market.

The currency sector posted slight gains for the quarter. The currency sector
began the quarter with gains as it continued its long trend of a weakening U.S.
dollar. However, trading was very choppy and gains generated in the early part
of January were lost. In February and March, the trend continued as currency
trading was very difficult due to the heightened volatility in the markets.

Stock indices posted losses despite gains early in the quarter. Stock indices
posted a profit for January as long exposure to global equities from momentum
based and fundamental models performed well. In February, long exposure to
global equities produced positive performance. In March, stock indices posted a
loss that exceeded the gains from earlier in the quarter. Long Nikkei profits
were overcome by losses in long exposure to European equities, which later
flipped to short positions by month-end.

January 1, 2003 to March 31, 2003

MM LLC experienced gains in the currency, energy, interest rate and stock index
sectors and losses in the agricultural commodity and metals sectors. Overall,
for the quarter, MM LLC experienced gains.

The currency forward and futures trading had the most significant gains for the
quarter. The weakening U.S. dollar was continuing to decline as it has for over
a year and MM LLC was well positioned to capitalize on its U.S. dollar positions
against other currencies. The largest gains versus the U.S. dollar during
January and February were with the Australian dollar and Canadian dollar. In
March, the U.S.

                                        8
<Page>

dollar strengthened on hopes that the war with Iraq would be short, and returned
some of the profits from earlier in the year.

Energy was a profitable sector for the quarter. With the continuation of the
strike in Venezuela, the tensions with Iraq and the cold winter, long positions
in oil and natural gas were profitable in the beginning of the year. In
February, the best performing month, natural gas prices rose nearly 40% in a
single day citing expected severely cold weather and supply shortages. MM LLC
profited from this event but such volatility caused many of the Advisors to
reduce their long positions. This helped MM LLC retain profits as prices
declined in crude oil and natural gas in March.

Interest rate futures were also profitable for the quarter. February had
significant gains offsetting losses in both January and March. U.S. and European
bonds rallied amid concerns of a global economic slowdown benefiting MM LLC's
long exposures. Selective long/short rate exposure globally was the main driver
to gains generated in the sector. The global fixed income markets continued
their upward climb until mid-March when expectations of a short conflict
triggered the liquidation of many fixed income investments, hurting long
exposures.

Trading in stock indices posted slight gains for the quarter. The market was
choppy throughout the quarter making trading difficult. MM LLC was able to
realize some gains in January on short positions as most indices recorded
three-month lows. During the rest of the quarter, choppy markets caused short
positions to be covered to protect against the risk of significant losses.

The metals sector had losses for the quarter. Gold drove profits in January as
it continued its run up. The general perception of risks in the financial
markets and the geopolitical situation unfolding was the main driver for the
gold market in January. MM LLC sustained losses in February and March as the
long bias in precious metals hurt the portfolio when gold reversed its rising
trend in February and continued to decline. Gold's appeal as a safe investment
diminished.

Trading in agricultural commodities posted losses for the quarter. MM LLC held
positions in sugar, livestock and the soybean complex. Livestock markets were
off in February as Russia imposed an import limit to help its domestic
production. Sugar was to blame for losses in March as prices reversed and hit a
two-month low.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable

Item 4. Controls and Procedures

Merrill Lynch Investment Managers LLC, the General Partner of ML Futures
Investments L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership within 90 days of the filing date of
this quarterly report, and, based on this evaluation, has concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of this
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.

                                        9
<Page>

                           PART II - OTHER INFORMATION

Item 1.   Legal Proceedings

          There are no pending proceedings to which the Partnership, MM LLC, or
     MLIM LLC is a party.

Item 2.   Changes in Securities and Use of Proceeds

          (a) None.
          (b) None.
          (c) None.
          (d) 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 report.

          (b) REPORTS ON FORM 8-K.

          There were no reports on Form 8-K filed during the first three months
     of fiscal 2004.

                                       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
                              MANAGERS LLC
                                  General Partner


Date: May 14, 2004        By /s/ VINAY MENDIRATTA
                             --------------------
                          Vinay Mendiratta
                          Managing Director and Chief Operating Officer
                          -Alternative Strategies and Quantitative Advisers
                          Divisions
                          (Principal Executive Officer)



Date: May 14, 2004        By /s/ PATRICK HAYWARD
                             --------------------
                          Patrick Hayward
                          Chief Financial Officer
                          (Principal Financial and Accounting Officer)

                                       11
<Page>

                                                                   EXHIBIT 31.01

                     RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Vinay Mendiratta, certify that:

1. I have reviewed this report on Form 10-Q of ML Futures Investments L.P.;

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the registrant as
of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

   a) Designed such disclosure controls and procedures, or caused such
   disclosure controls and procedures to be designed under our supervision, to
   ensure that material information relating to the registrant, including its
   consolidated subsidiaries, is made known to us by others within those
   entities, particularly during the period in which this report is being
   prepared;

   b) Evaluated the effectiveness of the registrant's disclosure controls and
   procedures and presented in this report our conclusions about the
   effectiveness of the disclosure controls and procedures, as of the end of the
   period covered by this report based on such evaluation;

   c) Disclosed in this report any change in the registrant's internal control
   over financial reporting that occurred during the registrant's most recent
   fiscal quarter (the registrant's fourth fiscal quarter in the case of an
   annual report) that has materially affected, or is reasonably likely to
   materially affect, the registrant's internal control over financial
   reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent function):

   a) All significant deficiencies and material weakness in the design or
   operation of internal controls which are reasonably likely to adversely
   affect the registrant's ability to record, process, summarize and report
   financial information; and

   b) Any fraud, whether or not material, that involves management or other
   employees who have a significant role in the registrant's internal control
   over financial reporting.

Date: May 14, 2004
---------------------

By /s/ VINAY MENDIRATTA
   --------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- Alternative Strategies and Quantitative Advisers Divisions
(Principal Executive Officer)

                                       12
<Page>

                                                                   EXHIBIT 31.02

                     RULE 13a-14(a)/15d-14(a) CERTIFICATIONS

I, Patrick Hayward, certify that:

1. I have reviewed this report on Form 10-Q of ML Futures Investments L.P.;

2. Based on my knowledge, this report does not contain any untrue statement of a
material fact or omit to state a material fact necessary to make the statements
made, in light of the circumstances under which such statements were made, not
misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial
information included in this report, fairly present in all material respects the
financial condition, results of operations and cash flows of the registrant as
of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined in
Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

   a) Designed such disclosure controls and procedures, or caused such
   disclosure controls and procedures to be designed under our supervision, to
   ensure that material information relating to the registrant, including its
   consolidated subsidiaries, is made known to us by others within those
   entities, particularly during the period in which this report is being
   prepared;

   b) Evaluated the effectiveness of the registrant's disclosure controls and
   procedures and such presented in this report our conclusions about the
   effectiveness of the disclosure controls and procedures, as of the end of the
   period covered by this report based on such evaluation;

   c) Disclosed in this report any change in the registrant's internal control
   over financial reporting that occurred during the registrant's most recent
   fiscal quarter that has materially affected, or is reasonably likely to
   materially affect, the registrant's internal control over financial
   reporting; and

5. The registrant's other certifying officer and I have disclosed, based on our
most recent evaluation of internal control over financial reporting, to the
registrant's auditors and the audit committee of registrant's board of directors
(or persons performing the equivalent function):

   a) All significant deficiencies and material weakness in the design or
   operation of internal controls which are reasonably likely to adversely
   affect the registrant's ability to record, process, summarize and report
   financial information; and

   b) Any fraud, whether or not material, that involves management or other
   employees who have a significant role in the registrant's internal control
   over financial reporting.

Date: May 14, 2004
---------------------

By /s/ PATRICK HAYWARD
   -------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

                                       13
<Page>

                                                                   EXHIBIT 32.01

                           SECTION 1350 CERTIFICATIONS

In connection with this quarterly report of ML Futures Investments L.P. on Form
10-Q for the period ended March 31, 2004 as filed with the Securities and
Exchange Commission on the date hereof, I, Vinay Mendiratta, certify, pursuant
to 18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of
2002, that:

1. This quarterly report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of
1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Futures Investments L.P.

Date: May 14, 2004
---------------------

By /s/ VINAY MENDIRATTA
   --------------------
Vinay Mendiratta
Managing Director and Chief Operating Officer
- Alternative Strategies and Quantitative Advisers Divisions
(Principal Executive Officer)

                                       14
<Page>

                                                                   EXHIBIT 32.02

                           SECTION 135O CERTIFICATIONS

In connection with this quarterly report of ML Futures Investments L.P. on Form
10-Q for the period ended March 31, 2004 as filed with the Securities and
Exchange Commission on the date hereof, I, Patrick Hayward certify, pursuant to
18 U.S.C. Section 1350, as adopted pursuant of the Sarbanes-Oxley Act of 2002,
that:

1. This quarterly report containing the financial statements fully complies with
the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of
1934; and

2. The information contained in this quarterly report fairly presents, in all
material respects, the financial condition and results of operations of ML
Futures Investments L.P.

Date: May 14, 2004
---------------------

By /s/ PATRICK HAYWARD
   -------------------
Patrick Hayward
Chief Financial Officer
(Principal Financial and Accounting Officer)

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