<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 June 30, 2005
                               -------------

                       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

<Table>
<Caption>
                                                                            JUNE 30,
                                                                              2005         DECEMBER 31,
                                                                          (UNAUDITED)          2004
                                                                         --------------   --------------
<S>                                                                      <C>              <C>
ASSETS
Investment in Global Horizons                                            $   42,208,872   $            -
Receivable from MM LLC                                                                -       47,269,664
Receivable from Global Horizons                                                 328,924                -
                                                                         --------------   --------------
         TOTAL ASSETS                                                    $   42,537,796   $   47,269,664
                                                                         ==============   ==============
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
  Redemptions payable                                                           328,924          393,123
                                                                         --------------   --------------
      Total liabilities                                                         328,924          393,123
                                                                         --------------   --------------
PARTNERS' CAPITAL:
  General Partner (441,484 and 506,504 Units)                                   457,508          547,516
  Limited Partners (40,289,368 and 42,841,288 Units)                         41,751,364       46,329,025
                                                                         --------------   --------------
      Total partners' capital                                                42,208,872       46,876,541
                                                                         --------------   --------------
        TOTAL LIABILITIES AND PARTNERS' CAPITAL                          $   42,537,796   $   47,269,664
                                                                         ==============   ==============
NET ASSET VALUE PER UNIT

    (Based on 40,730,852 and 43,347,792 Units outstanding)               $       1.0363   $       1.0814
                                                                         ==============   ==============
</Table>

See notes to financial statements.

                                        2
<Page>

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

                            STATEMENTS OF OPERATIONS
                                   (unaudited)

<Table>
<Caption>
                                                           FOR THE THREE     FOR THE THREE     FOR THE SIX       FOR THE SIX
                                                           MONTHS ENDED      MONTHS ENDED      MONTHS ENDED      MONTHS ENDED
                                                             JUNE 30,          JUNE 30,          JUNE 30,          JUNE 30,
                                                               2005              2004              2005              2004
                                                          --------------    --------------    --------------    --------------
<S>                                                       <C>               <C>               <C>               <C>
TRADING PROFITS (LOSSES):

    Realized                                              $     (411,116)   $   (1,506,914)   $     (455,190)   $    3,237,802
    Change in unrealized                                         254,944        (2,262,889)          (49,245)       (3,288,535)
                                                          --------------    --------------    --------------    --------------
      Total trading losses                                      (156,172)       (3,769,803)         (504,435)          (50,733)
                                                          --------------    --------------    --------------    --------------
INVESTMENT INCOME
  Interest                                                       283,829           124,042           545,803           246,548
                                                          --------------    --------------    --------------    --------------
EXPENSES:
  Brokerage commissions                                          870,095         1,018,168         1,765,058         2,131,461
  Administrative fees                                             25,590            29,946            51,913            62,690
  Profit shares                                                   63,527          (494,198)          172,457           147,300
                                                          --------------    --------------    --------------    --------------
      Total expenses                                             959,212           553,916         1,989,428         2,341,451
                                                          --------------    --------------    --------------    --------------
NET INVESTMENT LOSS                                             (675,383)         (429,874)       (1,443,625)       (2,094,903)
                                                          --------------    --------------    --------------    --------------
NET LOSS                                                  $     (831,555)   $   (4,199,677)   $   (1,948,060)   $   (2,145,636)
                                                          ==============    ==============    ==============    ==============

NET LOSS PER UNIT:
  Weighted average number of General Partner
  and Limited Partner Units outstanding                       41,168,536        46,828,414        41,666,735        47,792,479
                                                          ==============    ==============    ==============    ==============
  Net loss per weighted
  average Limited Partner and
  General Partner Unit                                    $      (0.0202)   $      (0.0897)   $      (0.0468)   $      (0.0449)
                                                          ==============    ==============    ==============    ==============
</Table>

Substantially all items of income and expense are derived from the investment in
Global Horizons or MM LLC (Note 2).

See notes to financial statements.

                                        3
<Page>

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

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
                 FOR THE SIX MONTHS ENDED JUNE 30, 2005 AND 2004
                                   (unaudited)

<Table>
<Caption>
                                                              UNITS         GENERAL PARTNER    LIMITED PARTNERS        TOTAL
                                                          --------------    ---------------    ----------------    --------------
<S>                                                           <C>           <C>                <C>                 <C>
PARTNERS' CAPITAL,
  December 31, 2003                                           49,466,131    $       550,885    $     53,272,617    $   53,823,502

Net income                                                             -            (24,046)         (2,121,590)       (2,145,636)

Redemptions                                                   (3,656,669)                 -          (4,010,141)       (4,010,141)
                                                          --------------    ---------------    ----------------    --------------
PARTNERS' CAPITAL,
  June 30, 2004                                               45,809,462    $       526,839    $     47,140,886    $   47,667,725
                                                          ==============    ===============    ================    ==============
PARTNERS' CAPITAL,
  December 31, 2004                                           43,347,792    $       547,516    $     46,329,025    $   46,876,541

Net loss                                                               -            (21,490)         (1,926,570)       (1,948,060)

Redemptions                                                   (2,616,940)           (68,518)         (2,651,091)       (2,719,609)
                                                          --------------    ---------------    ----------------    --------------
PARTNERS' CAPITAL,
  June 30, 2005                                               40,730,852    $       457,508    $     41,751,364    $   42,208,872
                                                          ==============    ===============    ================    ==============
</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
adjustments (consisting of only normal recurring adjustments) necessary to
present fairly the financial position of ML Futures Investments L.P. (the
"Partnership") as of June 30, 2005, and the results of its operations for the
three and six month periods ended June 30, 2005 and 2004. 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,
2004.

2.    INVESTMENTS

Effective December 31, 2004, ML Multi-Manager LLC ("MM LLC") redeemed all of the
Partnership units and the proceeds were invested on January 2, 2005 in Global
Horizons I L.P. ("Global Horizons"), formerly known as ML Global Horizons L. P.

As of June 30, 2005 the Partnership had an investment in Global Horizons of
$42,208,872 and the Partnership's percentage ownership share of Global Horizons
was 15.09%.

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

<Table>
<Caption>
                                      JUNE 30,
                                        2005
                                    (UNAUDITED)
                                 -----------------
  <S>                            <C>
  Assets                         $     284,340,898
                                 =================
  Liabilities                    $       4,589,392
  Partners' Capital                    279,751,506
                                 -----------------
  Total                          $     284,340,898
                                 =================
</Table>

                                        5
<Page>

<Table>
<Caption>
                                        GLOBAL HORIZONS             MM LLC              GLOBAL HORIZONS             MM LLC
                                      --------------------    --------------------   --------------------    --------------------
                                      FOR THE THREE MONTHS    FOR THE THREE MONTHS    FOR THE SIX MONTHS      FOR THE SIX MONTHS
                                      ENDED JUNE 30, 2005     ENDED JUNE 30, 2004     ENDED JUNE 30, 2005     ENDED JUNE 30, 2004
                                           (UNAUDITED)             (UNAUDITED)            (UNAUDITED)              (UNAUDITED)
                                      --------------------    --------------------   --------------------    --------------------
<S>                                   <C>                     <C>                    <C>                     <C>
  Trading Profits (Losses)
   and Interest Income                $          1,418,150    $         (5,290,845)  $          1,581,916    $            317,226

Expenses                                         5,061,337                 909,115              9,895,857               3,386,399
                                      --------------------    --------------------   --------------------    --------------------
Net Income (Loss)                     $         (3,643,187)   $         (6,199,960)  $         (8,313,941)   $         (3,069,173)
                                      ====================    ====================   ====================    ====================
</Table>

3.   FAIR VALUE AND OFF-BALANCE SHEET RISK

The Partnership invests indirectly in derivative instruments as a result of its
investment in Global Horizons, 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 Global Horizons.

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/(loss) on such derivative instruments as reflected in the Statements of
Financial Condition of Global Horizons. The Partnership's exposure to market
risk is influenced by a number of factors, including the relationships among the
derivative instruments held by Global Horizons, as well as the volatility and
liquidity of such markets in which such derivative instruments are traded.

Merrill Lynch Investment Managers LLC ("MLIM LLC"), the General Partner, 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 by the General Partner of Global Horizons, calculating the Net Asset Value
of the Advisors' respective Partnership accounts and Global Horizons 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 Global
Horizons, 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.

                                        6
<Page>

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 Global Horizons, has credit risk with respect to
non-performance of its counterparties and brokers, but attempts to mitigate this
risk by dealing almost exclusively with Merrill Lynch entities as clearing
brokers.

The Partnership, through Global Horizons, 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 Global Horizons 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.      APR.        MAY       JUN.
    ----------------------------------------------------------------------
    <S>     <C>        <C>        <C>       <C>        <C>        <C>
    2004    $ 1.0929   $ 1.1324   $ 1.1301  $ 1.0899   $ 1.0748   $ 1.0406
    2005    $ 1.0435   $ 1.0538   $ 1.0557  $ 1.0242   $ 1.0249   $ 1.0363
</Table>

Performance Summary

JANUARY 1, 2005 TO JUNE 30, 2005

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

January 1, 2005 to March 31, 2005

The Partnership posted a loss for the first quarter. Losses in the currency and
global equity sectors outweighed gains experienced in the agricultural sector.

The interest rate sector was the best performing sector for the Partnership. The
Partnership benefited from long U.S. dollar positions versus the Euro and long
Euro and Japanese fixed incomes. Systematic, long-term trend followers also
posted gains in the interest rate sector.

                                        7
<Page>

The energy sector was the second highest performing sector for the Partnership.
Gains were experienced in the energy sector as the Partnership benefited from
long positions in crude oil and gas as these industries profited. Gains were
also posted in long crude oil and heating oil positions.

The agricultural sector also performed well for the quarter. Gains were
experienced from long positions in cattle and hog markets. Short grain positions
and long soybean positions detracted from performance mid-quarter. However, the
quarter ended with gains posted due to coffee, which experienced a lack of
supply and a growing demand.

The metals sector posted a gain for the quarter. The Partnership benefited from
long positions in base and precious metals, such as gold, copper and zinc.

The stock indices sector posted a loss for the quarter. Losses occurred in the
beginning of the quarter due to a trend reversal from long global equities to
short global equities. Profits were made through long positions on the FTSE
index and Asian equities. Stock indices contributed negatively to performance as
the equity markets declined at the end of the quarter.

The currency sector posted the greatest loss for the Partnership. Losses at the
beginning of the quarter were due to a trend reversal from short U.S. dollar
positions to long U.S. dollar positions. Long Japanese yen and Swiss franc
positions also experienced losses. With the U.S. Federal Reserve expressing
concern about inflation, investors predicted that interest rates and the U.S.
dollar would rise. This caused losses as investors fled from emerging
currencies. Long Australian dollar and Mexican peso positions also contributed
to negative performance.

April 1, 2005 to June 30, 2005

The Partnership experienced gains in the interest rates and currencies sectors
and losses in the remaining sectors.

Trading in interest rates posted gains for the Partnership, despite losses early
in the quarter. The Partnership benefited from long positions in the 10-year
German Bund. The long positions held by the Partnership in European and Japanese
government bonds contributed to gains as well.

The currencies sector posted a gain as well for the quarter. Long positions in
the British pound and Aussie dollar contributed early on in the quarter. Short
positions to the British pound, Swiss franc and Euro enabled the Partnership to
capitalize on trend reversals in the market in the latter half of the quarter.

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

Trading in agricultural commodities posted losses for the quarter. Gains in
exposure to hogs and soybeans were not enough to offset trading losses in other
commodities. Long exposure to soymeal attributed to the losses as well.

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

                                        8
<Page>

The energy sector posted the largest losses for the quarter. Crude oil and
heating oil declined as crude oil fell in price, which negatively impacted trend
followers.

JANUARY 1, 2004 TO JUNE 30, 2004

January 1, 2004 to March 31, 2004

All of the Partnership's assets were 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

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

                                        9
<Page>

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.

April 1, 2004 to June 30, 2004

MM LLC experienced an overall loss for the quarter. The energy sector was the
only profitable sector for MM LLC.

The energy sector posted gains for the quarter despite volatile market
conditions. Crude oil and unleaded gas were the main drivers of performance. In
May, crude oil prices continued to increase during the month, including refined
products, as did market volatility. Political uncertainties in the Middle East
added an additional risk premium to the markets. Losses were posted for the
month of June. Crude oil and heating oil were the largest contributors to losses
as markets sold-off early during the month when OPEC agreed to provide more
supply, while U.S. inventory levels showed a gradual increase. The MM LLC
maintained a long bias in this sector throughout the quarter.

The agricultural sector posted a loss for the quarter despite small gains in
April and June. Early in the quarter, agricultural markets reversed their upward
trend with the fear that demand from China would slow down. Long exposure to the
soybean complex outweighed losses in other markets, particularly corn. Large
losses were posted in May. Soybean prices collapsed, and sold off close to 20%
from highs in April as ideal weather conditions persisted in the Midwest and
exports failed to materialize. Demand from China and diminishing supplies had
kept prices high for quite some time. Small gains were posted in June, with
cotton prices dropping allowing short exposures to generate profits. Corn also
posted a significant decline during the month, which caused the portfolio to
adjust positions from long to short. Corn experienced a dramatic improvement in
estimates of acreage and yields, due to high prices and positive weather
conditions.

The interest rate sector posted a loss for the quarter with small gains posted
in May. In April, the fixed income markets experienced heightened volatility and
then fell sharply, followed by a short bounce and then trended down for the rest
of the month. The portfolio was long on many of the global yield curves at the
start of the month and began reducing exposure and initiating shorts mid month.
In May, Eurodollars and short sterling exposure proved profitable during the
month, as strong employment figures in the U.S. confirmed a scenario whereby the
Federal Reserve will raise rates by this summer and the Bank of England
indicated it will raise rates to slow down the growth in economy. In June,
Eurodollars fell early in the month and finally gained 28 basis points from
their lows. U.S. fixed income trading was flat, while gains in trading Japanese
Government bonds were outweighed by losses in trading the European yield curve.

Stock indices posted losses throughout the quarter. In April, equities continued
to rally in the early part of the month, but the fear of rate increase based on
positive economic news sent equities falling with a steep sell-off towards the
end of the month. Equities worldwide stayed weak, on concerns of the imminent
rate increases in U.S. interest rates. The Japanese Nikkei experienced a sudden
deterioration in sentiment, which sent the market plunging around 5% in one day.

The metals sector posted losses for the quarter. In April, both industrial and
precious metals generated significant losses for the portfolio. The U.S. dollar
strengthening and the fear of higher interest rates, which would curb growth,
caused base and precious metals to sell-off. Both industrial and precious metals
generated slight losses for the portfolio in May. In June, industrial metals
detracted from performance as zinc fell by approximately 11% and copper lost 3%.

The currency sector posted the largest losses for the quarter. In April, the
U.S. dollar strengthened considerably during the month, with the Euro falling
below 120 and the British pound falling to 1.77.

                                       10
<Page>

The Japanese yen fell sharply after a strong rebound in March. Gains in the
British pound and the Euro overcame losses from the Japanese yen and Australian
dollar positioning. In May, the U.S. dollar weakened against major currencies
except for the Australian dollar after strengthening considerably during the
prior month. Losses in the Japanese yen, Australian dollar and the Swiss franc
were mitigated by gains in the British pound. In June, most major currencies
displayed no clear direction, but exhibited high intra day volatility. Losses
were incurred from positions in the Australian dollar, Swiss franc, British
pound and other major markets.

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 as of the end of the period 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.

                                       11
<Page>

                           PART II - OTHER INFORMATION

Item 1.      Legal Proceedings

             There are no pending proceedings to which the Partnership, Global
             Horizons, 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 six months
             of fiscal 2005.

                                       12
<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: August 12, 2005          By /s/ FABIO P. SAVOLDELLI
                                  ------------------------
                               Fabio P. Savoldelli
                               Managing Director and Chief Investment Officer
                               -Alternative Strategies Advisers Division
                               (Principal Executive Officer)


Date:  August 12, 2005         By /s/ PATRICK HAYWARD
                                  -------------------
                               Patrick Hayward
                               Chief Financial Officer
                               (Principal Financial and Accounting Officer)

                                       13