<Page>

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 20549

                                   FORM 10-K

                 (x) Annual Report Pursuant to Section 13 or 15(d)
                      of the Securities Exchange Act of 1934

                    For the fiscal year ended: December 31, 2001
                                       or
                    ( ) Transition Report Pursuant to Section 13
                   or 15(d) of the Securities Exchange Act of 1934

                          Commission file number: 0-16746

                           ML FUTURES INVESTMENTS II L.P.

                (Exact name of registrant as specified in its charter)

<Table>
<Caption>
                  DELAWARE                            13-3481305
       -------------------------------         -------------------------
       <S>                                     <C>
       (State or other jurisdiction of             (I.R.S. Employer
       incorporation or organization)             Identification No.)
</Table>

                      C/O MLIM ALTERNATIVE STRATEGIES LLC
                          PRINCETON CORPORATE CAMPUS
                      800 SCUDDERS MILL ROAD - SECTION 2G
                         PLAINSBORO, NEW JERSEY 08536
                    (Address of principal executive offices)

       Registrant's telephone number, including area code: (609) 282-6996

SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT:  None

SECURITIES REGISTERED PURSUANT TO SECTION 12(g) OF THE ACT:  Limited Partnership
Units

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
                                                                 ----        ---

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405
of Regulation S-K is not contained herein, and will not be contained, to the
best of registrant's knowledge, in definitive proxy or information statements
incorporated by reference in Part III of this Form 10-K or any amendment to
this Form 10-K.     [X]

Aggregate market value of the voting and non-voting common equity held by
non-affiliates of the registrant: the registrant is a limited partnership; as
of February 1, 2002, limited partnership units with an aggregate value of
$7,441,141 were outstanding and held by non-affiliates.

                       DOCUMENTS INCORPORATED BY REFERENCE

The registrant's "2001 Annual Report and Independent Auditors' Report," the
annual report to security holders for the fiscal year ended December 31, 2001,
is incorporated by reference into Part II, Item 8 and Part IV hereof and filed
as an Exhibit herewith.

<Page>

                         ML FUTURES INVESTMENTS II L.P.

                       ANNUAL REPORT FOR 2001 ON FORM 10-K

                                TABLE OF CONTENTS
                                -----------------
<Table>
<Caption>
                                                                                                    PAGE
                                                                                                    ----
<S>                                                                                                 <C>
                                    PART I

Item 1.   Business                                                                                    1

Item 2.   Properties                                                                                  5

Item 3.   Legal Proceedings                                                                           5

Item 4.   Submission of Matters to a Vote of Security Holders                                         5


                                    PART II

Item 5.   Market for Registrant's Common Equity and Related Stockholder Matters                       6

Item 6.   Selected Financial Data                                                                     6

Item 7.   Management's Discussion and Analysis of Financial Condition and Results of Operations       8

Item 7A.  Quantitative and Qualitative Disclosures About Market Risk                                 12

Item 8.   Financial Statements and Supplementary Data                                                12

Item 9.   Changes in and Disagreements with Accountants on Accounting and Financial Disclosure       12


                                   PART III

Item 10.  Directors and Executive Officers of the Registrant                                        13

Item 11.  Executive Compensation                                                                    14

Item 12.  Security Ownership of Certain Beneficial Owners and Management                            14

Item 13.  Certain Relationships and Related Transactions                                            14


                                    PART IV

Item 14.  Exhibits, Financial Statement Schedules and Reports on Form 8-K                           16

</Table>

                                       i


<Page>

                                    PART I

ITEM 1:  BUSINESS

         (a)      GENERAL DEVELOPMENT OF BUSINESS:

                  MLF utures Investments II L.P. (the "Partnership") was
organized under the Delaware Revised Uniform Limited Partnership Act on
January 20, 1987 and began trading operations on May 2, 1988. The Partnership
made a single offering of its units of limited partnership interest
("Units"). Units may be redeemed as of the end of each calendar month. The
Partnership engages, through an investment in a limited liability company,
(see below) in the speculative trading of a portfolio of futures, options on
futures, forwards and options on forward contracts and related options in the
currencies, interest rates, stock index, metals, agricultural and energy
sectors of the world futures markets. The Partnership's objective is
achieving, through speculative trading, substantial capital appreciation,
over time.

                  MLIM Alternative Strategies LLC ("MLIM AS LLC"), formerly
Merrill Lynch Investment Partners Inc. ("MLIP"), a wholly-owned subsidiary of
Merrill Lynch Investment Managers, LP ("MLIM") which, in turn, is an indirect
wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("Merrill Lynch"), is
the general partner of the Partnership. Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), the successor to Merrill Lynch Futures, Inc. ("MLF")
by merger, is the Partnership's commodity broker.

                  Effective May 31, 2001, MLIP converted to a Delaware limited
liability company and changed its name. Effective August 14, 2001, Merrill Lynch
Group, Inc. contributed all of the issued and outstanding shares of MLIM AS LLC
to its affiliate MLIM in a tax-free reorganization. All of the officers of MLIP
at the time continued with their former roles with MLIM AS LLC. The changes had
no impact on the Partnership's investors. Effective November 2, 2001, MLF merged
into its affiliate, MLPF&S, a wholly owned subsidiary of Merrill Lynch. MLPF&S
became the successor party to the agreements between MLF and the Partnership.
The terms of the agreements remained unchanged and the merger had no effect on
the terms on which the Partnership's transactions were executed.

                  Prior to October 1, 1996, the Partnership placed assets
with the commodity trading advisors ("Advisors") by opening individual managed
accounts with them. For the period from October 1, 1996 to May 31, 1998, the
Partnership placed assets with certain of the Advisors through investing in
private funds ("Trading LLCs") sponsored by MLIM AS LLC, through which the
trading accounts of different MLIM AS LLC-sponsored funds managed by the same
Advisor pursuant to the same strategy were consolidated. The only members of
the Trading LLCs were commodity pools sponsored by MLIM AS LLC. Placing
assets with an Advisor through investing in a Trading LLC rather than a
managed account had no economic effect on the Partnership, except to the
extent that the Partnership benefited from the Advisor not having to allocate
trades among a number of different accounts (rather than acquiring a single
position for the Trading LLC as a whole). As of June 1, 1998, MLIM AS LLC
consolidated the trading accounts of nine of its multi-advisor funds (the
"Multi-Advisor Funds"), including the Partnership. The consolidation was
achieved by having these Multi-Advisor Funds invest in a single Delaware
limited liability company, ML Multi-Manager Portfolio LLC ("MM LLC"), which
opened a single account with each Advisor selected. MM LLC is managed by MLIM
AS LLC, has no investors other than the Multi-Advisor Funds and serves solely
as the vehicle through which the assets of such Multi-Advisor Funds are combined
in order to be managed through single rather than multiple accounts. The
placement of assets into MM LLC did not change the operations or fee
structure of the Partnership. The administrative authority over the
Partnership, as well as MM LLC, remains with MLIM AS LLC.

                  As of December 31, 2001, the Partnership's capitalization was
$7,837,306, and the Net Asset Value of a Unit, originally $100 as of May 1,
1988, had risen to $197.98.

                  Through December 31, 2001, the highest month-end Net Asset
Value per Unit was $208.55 (October 31, 2001) and the lowest was $105.26 (May
31, 1989).

         (b)      FINANCIAL INFORMATION ABOUT SEGMENTS:

                  The Partnership's business constitutes only one segment for
financial reporting purposes, i.e., a speculative "commodity pool." The
Partnership does not engage in sales of goods or services.


                                       1
<Page>

         (c)      NARRATIVE DESCRIPTION OF BUSINESS:

                  GENERAL

                  The Partnership trades, through its investment in MM LLC, in
futures, options on futures, forwards and options on forwards in major
sectors of the world economy with the objective of achieving substantial
capital appreciation over time.

                  MLIM AS LLC is the Partnership's trading manager, with
responsibility for selecting Advisors to manage MM LLC's assets, allocating and
reallocating MM LLC assets among different Advisors.

                  Although considered as a whole, the Partnership, through
its investment in MM LLC, trades in a diversified range of international
markets. Certain Advisors, considered individually, concentrate primarily on
trading in a limited portfolio of markets. The composition of the "sectors"
included in the Partnership's portfolio varies substantially over time.

                  MLIM AS LLC may, from time to time, direct certain
individual Advisors to manage their accounts as if they were managing more
equity than the actual capital allocated to them.

                  One of the objectives of the Partnership is to provide
diversification for a limited portion of the risk segment of the Limited
Partners' portfolios. Commodity pool performance has historically demonstrated a
low degree of performance correlation with traditional stock and bond holdings.
Since it began trading, the Partnership's returns have, in fact, frequently been
non-correlated with the United States stock and bond markets.

                  USE OF PROCEEDS AND INTEREST INCOME

                  MARKET SECTORS.

                  The Partnership, through its investment in MM LLC, trades in
a diversified group of markets under the direction of multiple independent
Advisors. These Advisors from time to time materially alter the allocation of
their overall trading commitments among different market sectors. Except in
the case of certain trading programs which are purposefully limited in the
markets which they trade, there is essentially no restriction on the
commodity interests which may be traded by any Advisor or the rapidity with
which an Advisor may alter its market sector allocations.

                  MARKET TYPES.

                  The Partnership trades, through its investment in MM LLC, on
a variety of United States and foreign futures exchanges. Substantially all
of the Partnership's off-exchange trading takes place in the highly liquid,
institutionally-based currency forward markets.

                  Many of the Partnership's currency trades, through its
investment in MM LLC, are executed in the spot and forward foreign exchange
markets (the "FX Markets") where there are no direct execution costs.
Instead, the participants, banks and dealers in the FX Markets take a
"spread" between the prices at which they are prepared to buy and sell
particular currencies and such spreads are built into the pricing of the spot
or forward contracts with the Partnership. In its exchange of futures for
physical ("EFP") trading, the Partnership acquires cash currency positions
through banks and dealers, including Merrill Lynch. The Partnership pays a
spread when it exchanges these positions for futures. This spread reflects,
in part, the different settlement dates of the cash and the futures
contracts, as well as prevailing interest rates, but also includes a pricing
spread in favor of the banks and dealers, which may include a Merrill Lynch
entity.

                  As in the case of its market sector allocations, the
Partnership's commitments to different types of markets -- U.S. and non-U.S.,
regulated and non-regulated -- differ substantially from time to time as well as
over time.

                  CUSTODY OF ASSETS.

                  All of the Partnership's assets are currently held in customer
accounts at Merrill Lynch.


                                       2
<Page>

                  CASH MANAGEMENT

                  As of June 2000, the Partnership, through MM LLC, began an
Income Enhancement Program, whereas, a portion of its assets could be invested
in Commercial Paper. This was done to improve the yield on cash assets not
required for margin for trading purposes at MLPF&S. These holdings generally
have maturities of 30, 60 or 90 days and are held to maturity. As of
December 31, 2001, the Income Enhancement Program was inactive.

                  INTEREST PAID BY MERRILL LYNCH ON THE PARTNERSHIP'S U.S.
                  DOLLAR AND NON-U.S. DOLLAR ASSETS

                  The Partnership's U.S. dollar assets invested in MM LLC are
maintained at MLPF&S. On assets held in U.S. dollars, not in the Income
Enhancement Program, Merrill Lynch credits MM LLC with interest at the
prevailing 91-day U.S. Treasury bill rate. MM LLC is credited with interest
on any of its assets and net gains actually held by Merrill Lynch in non-U.S.
dollar currencies at a prevailing local rate received by Merrill Lynch.
Merrill Lynch may derive certain economic benefit, in excess of the interest
which Merrill Lynch pays to MM LLC, from possession of such assets.

                  Merrill Lynch charges the Partnership, through MM LLC,
Merrill Lynch's cost of financing realized and unrealized losses on MM LLC's
non-U.S. dollar-denominated positions.

CHARGES

                  During 2001, 2000 and 1999, the Partnership had 100% of its
assets invested in MM LLC. The charges incurred by the Partnership through its
investment in MM LLC are described in "Description of Current Charges" below.

                  The Partnership's average month-end Net Assets during 2001,
2000 and 1999 equaled $8,453,482, $8,820,703 and $10,434,351, respectively.


                                       3
<Page>

                         DESCRIPTION OF CURRENT CHARGES
<Table>
<Caption>

RECIPIENT         NATURE OF PAYMENT                  AMOUNT OF PAYMENT
---------         -----------------                  -----------------
<S>               <C>                                <C>
MLPF&S            Brokerage Commissions              A flat-rate monthly commission of 0.729 of 1% (an
                                                     8.75% annual rate) of the Partnership's month-end
                                                     assets allocated to trading. As of December 31, 2001,
                                                     100% of the  Partnership's assets were allocated to
                                                     trading in MM LLC.

                                                     The estimated aggregate round-turn commission rates
                                                     for MM LLC for the years ended December 31, 2001,
                                                     2000 and 1999 were $64, $82 and $136, respectively.

MLPF&S            Use of Partnership assets          Merrill Lynch may derive certain economic benefit
                                                     from the deposit of certain of the Partnership's
                                                     U.S. dollar assets in offset accounts.

MLIM AS LLC       Administrative Fees                The Partnership pays MLIM AS LLC a monthly
                                                     Administrative Fee equal to 0.021 of 1% (a 0.25%
                                                     annual rate) of the Partnership's month-end assets
                                                     allocated to trading. As of December 31, 2001, 100%
                                                     of the assets were allocated to trading in MM LLC.
                                                     MLIM AS LLC pays all of the Partnership's routine
                                                     administrative costs.

Other             Bid-ask spreads                    Bid-ask spreads on forward and related trades.
Counterparties

Advisors          Profit Shares                      All Advisors can receive quarterly or annual Profit
                                                     Shares ranging from 20% to 23% (depending on the
                                                     Advisor) of any New Trading Profit achieved by
                                                     their Partnership account. Profit Shares are also
                                                     paid upon redemption of Units and upon the net
                                                     reallocation of assets away from an Advisor. New
                                                     Trading Profit is calculated separately in respect of
                                                     each Advisor, irrespective of the overall performance
                                                     of the Partnership. The Partnership, through MM LLC may
                                                     pay substantial Profit Shares during periods when it is
                                                     incurring significant overall losses.

Advisors         Consulting Fees                     MLPF&S pays the Advisors annual Consulting Fees up to
                                                     2% of the Partnership's average month-end assets
                                                     allocated to them for management, after reduction for
                                                     a portion of the brokerage commissions.

MLPF&S;           Extraordinary expenses             Actual costs incurred; none paid to date.
Others
</Table>


                                       4
<Page>

                  REGULATION

                  MLIM AS LLC, the Advisors and MLPF&S are each subject to
regulation by the Commodity Futures Trading Commission, (the "CFTC") and the
National Futures Association (the "NFA"). Other than in respect of its
periodic reporting requirements under the Securities Exchange Act of 1934,
the Partnership itself is generally not subject to regulation by the
Securities and Exchange Commission (the "SEC"). However, MLIM AS LLC itself
is registered as an "investment adviser" under the Investment Advisers Act of
1940. MLPF&S is also regulated by the SEC and the National Association of
Securities Dealers.

                  (i) through (xii)-- not applicable.

                  (xiii)  The Partnership has no employees.

         (d)      FINANCIAL INFORMATION ABOUT GEOGRAPHIC AREAS:

                  The Partnership does not engage in material operations in
foreign countries, nor is a material portion of the Partnership's revenues
derived from customers in foreign countries. However, the Partnership trades,
through its investment in MM LLC, on a number of foreign commodity exchanges.
The Partnership does not engage in the sales of goods or services.

ITEM 2:  PROPERTIES

                  The Partnership does not use any physical properties in the
conduct of its business.

                  The Partnership's only place of business is the place of
business of MLIM AS LLC (MLIM Alternative Strategies LLC, Princeton Corporate
Campus, 800 Scudders Mill Road - Section 2G, Plainsboro, New Jersey 08536). MLIM
AS LLC performs all administrative services for the Partnership from MLIM AS
LLC's offices.

ITEM 3:  LEGAL PROCEEDINGS

                  Merrill Lynch -- a partner of MLIM (which is the sole
member of MLIM AS LLC) -- as well as certain of its subsidiaries and
affiliates have been named as defendants in civil actions, arbitration
proceedings and claims arising out of their respective business activities.
Although the ultimate outcome of these actions cannot be predicted at this
time and the results of legal proceedings cannot be predicted with certainty,
it is the opinion of management that the result of these matters will not be
materially adverse to the business operations or financial condition of MLIM
AS LLC or the Partnership.

                  MLIM AS LLC itself has never been the subject of any material
litigation.

ITEM 4:  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

                  The Partnership has never submitted any matter to a vote of
its Limited Partners.


                                       5
<Page>

                                     PART II

ITEM 5:  MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS

Item 5(a)

         (a)      MARKET INFORMATION:

                  There is no established public trading market for the Units,
nor will one develop. Limited Partners may redeem Units as of the end of each
month at Net Asset Value.

         (b)      HOLDERS:

                  As of December 31, 2001, there were 536 holders of Units,
including MLIM AS LLC.

         (c)      DIVIDENDS:

                  The Partnership has made no distributions, nor does MLIM AS
LLC presently intend to make any distributions in the future.

Item 5(b)

                  Not applicable.

ITEM 6:  SELECTED FINANCIAL DATA

The following selected financial data has been derived from the audited
financial statements of the Partnership:

<Table>
<Caption>
                                 FOR THE YEAR     FOR THE YEAR     FOR THE YEAR      FOR THE YEAR     FOR THE YEAR
                                    ENDED            ENDED            ENDED             ENDED            ENDED
                                 DECEMBER 31,     DECEMBER 31,     DECEMBER 31,      DECEMBER 31,     DECEMBER 31,
STATEMENT OF OPERATIONS              2001             2000             1999              1998             1997
-------------------------------------------------------------------------------------------------------------------
<S>                              <C>              <C>              <C>               <C>              <C>
Revenues:

Trading Profit (Loss):
     Realized                        $      -        $       -       $        -       $ (451,217) |     $ 308,501  |
     Change in Unrealized                   -                -                -          (68,216) |        64,324  |
                                 -----------------------------------------------------------------|----------------|
     Total Trading Results                  -                -                -         (519,433) |       372,825  |
                                 -----------------------------------------------------------------|----------------|
                                                                                                  |                |
Interest Income                             -                -                -          118,183  |       345,022  |
                                 -----------------------------------------------------------------|----------------|
     Total Revenues                         -                -                -         (401,250) |       717,847  |
                                 -----------------------------------------------------------------|----------------|
                                                                                                  |                |
Expenses:                                                                                         |                |
     Brokerage Commissions                  -                -                -          198,734  |       595,634  |
     Administrative Fees                    -                -                -            5,678  |        16,844  |
     Profit Shares                          -                -                -                -  |        10,277  |
                                 -----------------------------------------------------------------|----------------|
     Total Expenses                         -                -                -          204,412  |       622,755  |
                                 -----------------------------------------------------------------|----------------|
Income (Loss) from Investments         86,225          438,954         (124,747)       1,238,572  |       571,891  |
                                 -------------------------------|----------------|----------------|----------------|
Net Income (Loss)                    $ 86,225        $ 438,954  |    $ (124,747) |     $ 632,910  |     $ 666,983  |
                                 ===============================|================|================|================|
<Caption>
                                  DECEMBER 31,     DECEMBER 31, |   DECEMBER 31, |   DECEMBER 31, |   DECEMBER 31, |
Balance Sheet Data                   2001             2000      |      1999      |      1998      |      1997      |
----------------------------------------------------------------|----------------|----------------|----------------|
                                                                |                |                |                |
Partnership Net Asset Value        $7,837,306       $8,770,130  |    $9,849,935  |   $11,209,662  |   $12,749,748  |
Net Asset Value per Unit              $197.98          $196.22  |       $185.80  |       $187.99  |       $177.53  |
                                 -------------------------------|----------------|----------------|----------------|
</Table>

The variations in income statement line items are primarily due to investing in
Trading LLCs and in MM LLC.

<Table>
<Caption>
----------------------------------------------------------------------------------------------------------------------------
                                           MONTH-END NET ASSET VALUE PER UNIT
----------------------------------------------------------------------------------------------------------------------------
         JAN.      FEB.      MAR.     APR.       MAY      JUNE      JULY      AUG.     SEPT.     OCT.      NOV.      DEC.
----------------------------------------------------------------------------------------------------------------------------
<S>     <C>       <C>      <C>       <C>       <C>       <C>       <C>       <C>      <C>       <C>       <C>       <C>
 1997   $173.97   $178.86  $177.05   $174.27   $175.72   $176.05   $182.93   $174.82  $178.29   $173.04   $173.19   $177.53
----------------------------------------------------------------------------------------------------------------------------
 1998   $176.25   $176.78  $177.50   $170.80   $173.81   $173.98   $174.22   $183.74  $187.67   $187.09   $187.25   $187.99
----------------------------------------------------------------------------------------------------------------------------
 1999   $185.62   $187.85  $187.00   $189.05   $187.56   $188.26   $188.64   $187.37  $184.64   $179.59   $184.41   $185.80
----------------------------------------------------------------------------------------------------------------------------
 2000   $186.43   $185.02  $181.80   $182.04   $184.73   $182.46   $179.85   $180.43  $174.99   $175.29   $185.28   $196.22
----------------------------------------------------------------------------------------------------------------------------
 2001   $194.78   $196.65  $205.91   $199.91   $197.84   $197.98   $197.52   $198.62  $200.32   $208.55   $198.40   $197.98
----------------------------------------------------------------------------------------------------------------------------
</Table>

Pursuant to CFTC policy, monthly performance is presented only from January
1, 1997 even though Units were outstanding prior to such date.

                                       6
<Page>

                         ML FUTURES INVESTMENTS II L.P.
                                DECEMBER 31, 2001

   TYPE OF POOL: SELECTED-ADVISOR/PUBLICLY-OFFERED/NON -"PRINCIPAL PROTECTED"(1)
                        INCEPTION OF TRADING: May 2, 1988
                      AGGREGATE SUBSCRIPTIONS: $269,810,800
                       CURRENT CAPITALIZATION: $7,837,306
                    WORST MONTHLY DRAWDOWN(2): (4.87)% (11/01)
               WORST PEAK-TO-VALLEY DRAWDOWN(3): (7.44)% (5/99-9/00)

                                 -------------

              NET ASSET VALUE PER UNIT, DECEMBER 31, 2001: $197.98
<Table>
<Caption>
                          MONTHLY RATES OF RETURN(4)
-----------------------------------------------------------------------------
MONTH                 2001       2000         1999       1998       1997
-----------------------------------------------------------------------------
<S>                  <C>         <C>         <C>        <C>         <C>
January              (0.73)%     0.34%       (1.26)%    (0.72)%     2.66%   |
-----------------------------|-----------|-----------|----------|-----------|
February              0.96   |    (0.75) |     1.20  |    0.30  |     2.81  |
-----------------------------|-----------|-----------|----------|-----------|
March                 4.71   |    (1.74) |    (0.45) |    0.41  |    (1.01) |
-----------------------------|-----------|-----------|----------|-----------|
April                (2.91)  |     0.13  |     1.09  |   (3.77) |    (1.57) |
-----------------------------|-----------|-----------|----------|-----------|
May                  (1.04)  |     1.48  |    (0.79) |    1.76  |     0.83  |
-----------------------------|-----------|-----------|----------|-----------|
June                  0.07   |    (1.23) |     0.37  |    0.10  |     0.19  |
-----------------------------|-----------|-----------|----------|-----------|
July                 (0.23)  |    (1.43) |     0.20  |    0.14  |     3.91  |
-----------------------------|-----------|-----------|----------|-----------|
August                0.56   |     0.33  |    (0.67) |    5.46  |    (4.43) |
-----------------------------|-----------|-----------|----------|-----------|
September             0.85   |    (3.02) |    (1.46) |    2.14  |     1.98  |
-----------------------------|-----------|-----------|----------|-----------|
October               4.11   |     0.17  |    (2.73) |   (0.31) |    (2.94) |
-----------------------------|-----------|-----------|----------|-----------|
November             (4.87)  |     5.70  |     2.68  |    0.09  |     0.09  |
-----------------------------|-----------|-----------|----------|-----------|
December             (0.21)  |     5.91  |     0.75  |    0.40  |     2.51  |
-----------------------------|-----------|-----------|----------|-----------|
Compound Annual              |           |           |          |           |
Rate of Return       0.90%   |    5.61%  |    (1.08)%|   5.91%  |    4.78%  |
-----------------------------|-----------|-----------|----------|-----------|
</Table>

                  (1) Pursuant to applicable CFTC regulations, a "Multi-Advisor"
fund is defined as one that allocates no more than 25% of its trading assets to
any single manager. As the Partnership may allocate more than 25% of its trading
assets to one or more Advisors, it is referred to as a "Selected-Advisor" fund.
Certain funds, including funds sponsored by MLIM AS LLC, are structured so as to
guarantee to investors that their investment will be worth no less than a
specified amount (typically, the initial purchase price) as of a date certain
after the date of investment. The CFTC refers to such funds as "Principal
Protected". The Partnership has no such feature.

                  (2) Worst Monthly Drawdown represents the largest negative
Monthly Rate of Return experienced since January 1, 1997 by the Partnership; a
Drawdown is measured on the basis of month-end Net Asset Value only, and does
not reflect intra-month figures.

                  (3) Worst Peak-to-Valley Drawdown represents the greatest
percentage decline since January 1, 1997 from a month-end cumulative Monthly
Rate of Return without such cumulative Monthly Rate of Return being equaled or
exceeded as of a subsequent month-end. For example, if the Monthly Rate of
Return was (1)% in each of January and February, 1% in March and (2)% in April,
the Peak-to-Valley Drawdown would still be continuing at the end of April in the
amount of approximately (3)%, whereas if the Monthly Rate of Return had been
approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of
the end of February at approximately the (2)% level.

                  (4) Monthly Rate of Return is the net performance of the
Partnership during the month of determination (including interest income and
after all expenses have been accrued or paid) divided by the total equity of the
Partnership as of the beginning of such month.
                                       7
<Page>

ITEM 7:  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
         OF OPERATIONS

RESULTS OF OPERATIONS

ADVISOR SELECTIONS

                  The Partnership's results of operations depend on MLIM AS
LLC's ability to select Advisors and the Advisors' ability to trade profitably.
MLIM AS LLC's selection procedures and trading leveraging analysis, as well as
the Advisors' trading methods, are confidential, so that substantially the only
available information relevant to the Partnership's results of operations is its
actual performance record to date. Because of the speculative nature of its
trading, the Partnership's past performance is not necessarily indicative of its
future results.

                  MLIM AS LLC has made and expects to continue making frequent
changes to both trading asset allocations among Advisors and Advisor
combinations.

                  MLIM AS LLC's decision to terminate or reallocate assets among
Advisors is based on a combination of numerous factors. Advisors are, in
general, terminated primarily for unsatisfactory performance, but other factors
-- for example, a change in MLIM AS LLC's or an Advisor's market outlook,
apparent deviation from announced risk control policies, excessive turnover of
positions, changes in principals, commitment of resources to other business
activities, etc. -- may also have a role in the termination or reallocation
decision. The market judgment and experience of MLIM AS LLC's principals is an
important factor in its asset allocation decisions.

                  MLIM AS LLC has no timetable or schedule for making Advisor
changes or reallocations, and generally makes a medium- to long-term commitment
to all Advisors selected. There can be no assurance as to the frequency or
number of Advisor changes that may take place in the future, or as to how long
any of the current Advisors will continue to manage assets for the Partnership.

                  GENERAL

                  A number of the Advisors are trend-following traders, whose
programs do not attempt to predict price movements. No fundamental economic
supply or demand analyses are used by these Advisors, and no macroeconomic
assessments of the relative strengths of different national economies or
economic sectors are evaluated. Instead, the programs apply proprietary
computer models to analyze past market data, and from this data alone attempt
to determine whether market prices are trending. These technical traders base
their strategies on the theory that market prices reflect the collective
judgment of numerous different traders and are, accordingly, the best and
most efficient indication of market movements. However, there are frequent
periods during which fundamental factors external to the market dominate
prices.

                  If a trend-following Advisor's models identify a trend, they
signal positions which follow it. When these models identify the trend as having
ended or reversed, these positions are either closed out or reversed. Due to
their trend-following character, these Advisors' programs do not predict either
the commencement or the end of a price movement. Rather, their objective is to
identify a trend early enough to profit from it and detect its end or reversal
in time to close out the Partnership's positions while retaining most of the
profits made from following the trend.

                  In analyzing the performance of trend-following programs,
economic conditions, political events, weather factors, etc., are not directly
relevant because only market data has any input into trading results.
Furthermore, there is no direct connection between particular market conditions
and price trends. There are so many influences on the markets that the same
general type of economic event may lead to a price trend in some cases but not
in others. The analysis is further complicated by the fact that the programs are
designed to recognize only certain types of trends and to apply only certain
criteria of when a trend has begun. Consequently, even though significant price
trends may occur, if these trends are not comprised of the type of intra-period
price movements


                                       8
<Page>

which the programs are designed to identify, a trend-following Advisor may miss
the trend altogether.

                  In the case of the Advisors which implement strategies which
rely more on discretion and market judgment, it is not possible to predict, from
their performance during past market cycles, how they will respond to future
market events.

PERFORMANCE SUMMARY

                  This performance summary is an outline description of how the
Partnership performed in the past, not necessarily any indication of how it will
perform in the future. In addition, the general causes to which certain price
movements are attributed may or may not in fact have caused such movements, but
simply occurred at or about the same time.

                  The Advisors, as a group, are unlikely to be profitable in
markets in which such trends do not occur. Static or erratic prices are likely
to result in losses. Similarly, unexpected events (for example, a political
upheaval, natural disaster or governmental intervention) can lead to major
short-term losses as well as gains.

                  While there can be no assurance that any Advisor will be
profitable under any given market condition, markets in which substantial and
sustained price movements occur typically offer the best profit potential for
the Partnership.

2001

                  During 2001, all of the Partnership's assets were invested
in MM LLC. The Partnership received trading profits as an investor in MM LLC.
The following commentary for 2001 describes the trading results of MM LLC
during the year.

                  Trading in the interest rate sector was the most successful
strategy for 2001. The impact of the weakening U.S. economy and the Federal
Reserve's move to cut interest rates was felt throughout the futures market,
as Euro futures contracts rose dramatically since December 2000. Eurodollar
positions continued to post gains later in the year. Swiss franc short term
interest rate contract trading and short Sterling 500 positions were also
profitable. In October, the U.S. Treasury's announcement to stop issuing 30
year debt, coupled with worldwide governments easing of monetary policy,
benefited long positions across the global yield curve.

                  Despite year long volatility, stock index trading was
profitable. Short positions resulted in gains as global equity markets
remained caught between negative news about corporate earnings, the potential
effects of further monetary easing and the global economic slump would worsen
as an aftermath of the September 11 attacks. The global equity markets
improved by year end, driven by the rebounding technology sector.

                  Agricultural commodities trading was successful despite
losses sustained early in the year. Excellent growing weather in the U.S.,
Argentina and Brazil, concerns about the U.S. export potential and
inventories at historically high levels, kept the markets on the defensive.
The cotton market sank to a 15 year low on short supply and increased demand.
Short corn and cotton positions were profitable at mid year. By October, the
soybean complex posted gains as the crushing capacity tightened up, driving
spreads up to between $0.80-$1.00 in nearby delivery months, crushing spreads
had been near the $0.60 range.

                  Trading in the metals markets was successful. Silver prices
reversed its earlier trend in February, as short positions were profitable.
Silver trading continued to be volatile as China exports were high due to
poor domestic demand, adversely affecting prices. Short positions in base
metals posted gains in October as a weak economic outlook kept prices
depressed. By year end, base metals reversed their downward trend on
expectations of a quick economic recovery, generating losses on short
positions.

                  Currency trading suffered losses for the Partnership. Long
Euro positions realized losses as the Euro fell back to the $0.90 level,
despite strong fundamentals. The further weakening of the Euro and Japanese
yen displayed how the global economy is not immune to the U.S. economic
slowdown. Long British pound positions were profitable in September as it
appreciated versus the U.S. dollar on concerns of the negative economic
implications from the September 11 attacks.

                  Energy trading was the most unprofitable strategy in 2001.
Early on, crude oil prices were driven lower by both a seasonal downturn in
global energy usage and heavier than normal refinery maintenance work,
reducing demand. The sector continued to fade from downside pressure from a
slowing global economy, inventory surplus and OPEC's decision to leave
production levels unchanged. Oil prices sank in the last quarter as traders
feared the attacks would cripple the airline industry, a major consumer of
oil.

2000

                  During 2000, all of the Partnership's assets were invested in
MM LLC. The Partnership received trading profits as an investor in MM LLC. The
following commentary for 2000 describes the trading results of MM LLC during the
year.

                  The Partnership's overall trading strategy was profitable for
2000. Gains were realized by trading in the interest rate, currency and energy
markets. Losses were sustained in the agricultural, metals and stock index
sectors. Trading was volatile and unprofitable through September. However, gains
realized in the interest rate and currency markets in November and December
eradicated those losses.

                  Interest rate trading was profitable for the Partnership.
Short Eurodollar trading was profitable early in the year as the European Union
ministers blamed the Euro's decline on rapid U.S. growth and fears that the
Federal Reserve would continue to increase interest rates. By mid year, losses
were incurred from U.S. Treasury bond and Euro 10-year bond trading as
investors shifted to Treasuries due to increased volatility in the NASDAQ and
other equity markets. Short Eurodollar turned unprofitable as the Euro improved
after the European Central Bank's 50 basis point repo rate hike. Uncertainty
surrounding the U.S. Presidential election caused investors to favor the bond
markets over equities, resulting in significant gains for the Partnership's
various long positions.

                  Trading in the currency markets was also successful. Short
Euro positions were profitable after officials from the Group of Seven met in
January and failed to express concern about the low levels of the currency.
Despite steep interest rate hikes by the Swiss National Bank ("SNB") and the
general weakness of the Euro, the SNB said it will not keep the Swiss franc from
rising. Short British pound positions were profitable as the pound was weak in
the wake of the Bank of England's references to "sterling overvaluation". Short
Japanese yen trading yielded gains in July as the yen finished weaker against
the U.S. dollar in anticipation that the U.S. Federal Reserve would continue to
raise interest rates. Short positions in the Canadian dollar resulted in gains
as the currency weakened during November despite worsening U.S. dollar
fundamentals, a large Canadian budget surplus and plans for tax cuts in Canada.


                                       9
<Page>

                  Energy trading was profitable throughout the year as prices
continued to surge. Despite the possibility of OPEC increasing oil
production, crude oil prices continued to rise as such a hike would still
leave oil inventories much below normal. Light crude oil prices continued to
rise in June even though OPEC agreed to increase production on July 1. The
market was looking for a larger production hike. By November, oil prices were
pushed higher as a result of significantly lower temperatures than the
previous year combined with a large inventory deficit.

                  Agriculture trading sustained modest losses for the year. Corn
prices fluctuated early on numerous changes in weather forecasts. A USDA grain
crop report projected a 12% rise in soybean inventories from the previous
season. This led to fears of an abundance of supply, lowering prices. Short
wheat trading was beneficial in July as drought warnings issued in early spring
proved inaccurate. As a result of good global grain and oilseed crops, supply
exceeded demand, resulting in profits in short soyoil positions at year-end.

                  Metals trading alternated between profitability to
unprofitability during the year. Copper trading resulted in losses after a
Freeport, Indonesia mine announced output cuts would not be as severe, damaging
the Partnership's long positions. Gold prices declined for most of 2000 as
investors were discouraged from the drop in the Euro, severe weakness in the
Australian dollar along with sharp decreases in the South African rand and
Indian rupee. Nickel prices declined from slowing demand for stainless steel in
Europe and Asia.

                  Stock index markets trading was unprofitable during a volatile
year. Signs of rising inflation fueled fears that the Federal Reserve would
continue to raise interest rates aggressively to slow the economy. S&P 500
positions sustained losses as buyers retreated due to fears of a U.S. economic
slowdown. Long positions were generally unprofitable throughout the year, with
minimal gains realized from the Partnership's short positions.

1999

                  During 1999, all of the Partnership's assets were invested in
MM LLC. The Partnership received trading profits and losses as an investor in MM
LLC. The following commentary for 1999 describes the trading results for MM LLC
during the year.

                  The Partnership finished 1999 with gains in energy, stock
index and agricultural trading and losses in currency, interest rate and
metals trading. Commodities spent 1999 in a transition phase, shifting from
bearishness to a more neutral position. Lack of demand, particularly in Asia,
was the dominant factor in the overall decline in commodity prices.

                  Overall, the Partnership profited from trading in crude oil,
heating oil, and unleaded gas in 1999. Positions in crude oil offset losses from
short positions in natural gas and gas oil trading. In March, OPEC ratified new
production cuts totaling 1.716 million barrels per day at its conference, which
resulted in higher prices for crude. In the natural gas markets, prices rallied
sharply resulting from a decline in U.S. natural gas production, along with high
levels of energy consumption and weather scares throughout the country. Near the
end of the year, there was a continued upward momentum in crude oil reflecting
the tightening between supply and demand and a new, higher OPEC-indicated target
price.

                  Stock index trading was profitable for the first half of 1999.
Also of note, the Dow Jones Industrial Average closed above the 10,000 mark for
the first time ever at the end of March, setting a record for the index, and
equity markets rallied worldwide in April and June. In the second half of the
year, the Partnership suffered losses in stock index positions as trading was
mixed due to significant volatility globally. However, there was profitable
trading in Hang Seng, Nikkei 225 and Topix Indices which resulted in gains
during November and December. Such activity depicted evidence of Japan's
stronger-than-expected recovery coupled with a sudden decline in its
unemployment rate.

                  In agricultural trading, gains in live hogs and live cattle
offset losses in corn positions. Initially, the corn market continued to
struggle due to supply/demand imbalances and ongoing favorable weather in South
America. These factors also led to an increase in prices as there was a sharp
decline in crop ratings during the second half of the year. There was also a
sharp upturn in soy prices, and losses in coffee trading became evident due to
cold temperature and lack of rainfall in Brazil.


                                      10
<Page>

                  Currency trading produced losses for the Partnership
throughout the year. Long Japanese yen positions resulted in losses despite the
yen trading higher against the U.S. dollar. The Bank of Japan lowered rates to
keep its economy sufficiently liquid to allow fiscal spending to restore some
growth to the economy and to drive down the surging yen. The European Central
Bank raised the repo rate in November due to inflation pressures. On a
trade-weighted basis, the Swiss franc ended the first quarter to close at a
seven-month low, mostly as a result of the stronger U.S. dollar. The Canadian
dollar also underwent similar fluctuations throughout the year.

                  Interest rate trading was also volatile as the flight to
quality in the bond market reversed during the first half of 1999 and the
Federal Reserve raised interest rates three times during the year. Early in the
year, interest rate trading proved unprofitable for the Partnership, which was
triggered by the Japanese Trust Fund Bureau's decision to absorb a smaller share
of futures issues, leaving the burden of financing future budget deficits to the
private sector. Interest rate trading did gain strength at mid-year as the
flight to quality in the bond market reversed and concerns about higher interest
rates in the U.S. continued to rattle the financial markets. During the third
quarter, Eurodollar trading generated losses amidst speculation of the
probability of a tightening by the U.S. Federal Reserve, which became evident
with the higher interest rates in their November 16 meeting due to concerns of
inflation. In December, the yield on the 30-year Treasury bond recently
surpassed its October high propelled by inflation worries and fears the Federal
Reserve might tighten further in 2000.

                  Metals trading was mixed for the year as gold played a major
part in the volatility of the metals market. Gold had failed to maintain its
status as a safety vehicle and a monetary asset during the first half of 1999.
In early June, gold had reached its lowest level in over 20 years. A major
statement from the president of the European Central Bank stated that the member
banks had agreed not to expand their gold lending. This sent gold prices sharply
higher in late September. Unfortunately, the Partnership held short positions in
gold futures at that time. Gold prices had stabilized in the fourth quarter
following the price surge. Early in the year, burdensome warehouse stocks and
questionable demand prospects weighed on base metals as aluminum fell to a
five-year low and copper fell to nearly an 11-year low. The economic scenario
for Asia, Brazil, Europe and emerging market nations helped to keep copper and
other base metals on the defensive as demand receded with virtually no supply
side response in the second quarter. A substantial increase in Chinese imports
combined with the recovery in the rest of Asia and Europe had significantly
improved demand for aluminum pushing prices higher during December.

VARIABLES AFFECTING PERFORMANCE

                  The principal variables which determine the net performance of
the Partnership are gross profitability and interest income.

                  During all periods set forth under "Selected Financial Data,"
the interest rates in many countries were at unusually low levels. The interest
rates in the United States negatively impacted revenues because interest income
is typically a major component of the Partnership's profitability. In addition,
low interest rates are frequently associated with reduced fixed income market
volatility, and in static markets the Partnership's profit potential generally
tends to be diminished. On the other hand, during periods of higher interest
rates, the relative attractiveness of a high risk investment such as the
Partnership may be reduced as compared to high yielding and much lower risk
fixed-income investments.

                  The Partnership's Brokerage Commissions and Administrative
Fees are a constant percentage of the Partnership's assets allocated to trading.
The only Partnership costs (other than the insignificant currency trading costs)
which are not based on a percentage of the Partnership's assets (allocated to
trading or total) are the Profit Shares payable to the Advisors on an
Advisor-by-Advisor basis. During periods when Profit Shares are a high
percentage of net trading gains, it is likely that there has been substantial
performance non-correlation among the Advisors (so that the total Profit Shares
paid to those Advisors which have traded profitably are a high percentage, or
perhaps even in excess, of the total profits recognized, as other Advisors have
incurred offsetting losses, reducing overall trading gains but not the Profit
Shares paid to the successful Advisors) -- suggesting the likelihood of
generally trendless, non-consensus markets.


                                      11
<Page>

                  Unlike many investment fields, there is no meaningful
distinction in the operation of the Partnership between realized and
unrealized profits. Most of the contracts traded by the Partnership, through
MM LLC, are highly liquid and can be closed out at any time.

                  Except in unusual circumstances, factors (e.g. regulatory
approvals, cost of goods sold, employee relations and the like) which often
materially affect an operating business have virtually no impact on the
Partnership.

LIQUIDITY; CAPITAL RESOURCES

                  The Partnership borrows only to a limited extent and only
on a strictly short-term basis in order to finance losses on non-U.S. dollar
denominated trading positions pending the conversion of the Partnership's
U.S. dollar deposits. These borrowings are at a prevailing short-term rate in
the relevant currency. They have been immaterial to the Partnership's
operation to date and are expected to continue to be so.

                  Substantially all of the Partnership's assets are held in
cash. The Net Asset Value of the Partnership's cash is not affected by
inflation. However, changes in interest rates could cause periods of strong up
or down price trends, during which the Partnership's profit potential generally
increases. Inflation in commodity prices could also generate price movements
which the strategies might successfully follow.

                  Except in very unusual circumstances, the Partnership should
be able to close out any or all of its open trading positions and liquidate any
or all of its securities holdings quickly and at market prices. This permits an
Advisor to limit losses, as well as reduce market exposure on short notice
should its strategies indicate doing so. In addition, because there is a readily
available market value for the Partnership's positions and assets, the
Partnership's monthly Net Asset Value calculations are precise, and investors
need only wait ten business days to receive the full redemption proceeds of
their Units.

ITEM 7A: QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

                  Not applicable.

ITEM 8:  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

SELECTED QUARTERLY FINANCIAL DATA
     ML FUTURES INVESTMENT II LP

Net Income by Quarter
Eight Quarters through December 31, 2001

<Table>
<Caption>
                        FOURTH         THIRD        SECOND         FIRST      FOURTH       THIRD        SECOND        FIRST
                       QUARTER        QUARTER      QUARTER        QUARTER    QUARTER      QUARTER       QUARTER      QUARTER
                         2001           2001         2001           2001       2000         2000         2000         2000
                         ----           ----         ----           ----       ----         ----         ----         ----
<S>                   <C>           <C>          <C>           <C>          <C>          <C>           <C>          <C>
Total Income          $   66,449    $  357,476   $ (185,556)   $  770,156   $1,332,031   $ (182,913)   $  238,577   $   13,699
Total Expenses           158,969       261,154      161,121       341,055      372,601      167,383       202,892      219,564
                      ---------------------------------------------------------------------------------------------------------
Net Income            $  (92,520)   $   96,322   $ (346,677)   $  429,101   $  959,430   $ (350,296)   $   35,685   $ (205,865)

Net Income per Unit   $    (2.29)   $     2.29   $    (7.99)   $     9.65   $    21.13   $    (7.41)   $     0.72   $    (3.94)
</Table>

                  The financial statements required by this Item are included in
Exhibit 13.01.

                  The supplementary financial information information about
oil and gas producing activities") specified by Item 302 of Regulation S-K is
not applicable.

ITEM 9:  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
         FINANCIAL DISCLOSURE

                  There were no changes in or disagreements with independent
auditors on accounting or financial disclosure.


                                      12
<Page>

                                    PART III

ITEM 10:  DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

         (a,b)    IDENTIFICATION OF DIRECTORS AND EXECUTIVE OFFICERS:

                  As a limited partnership, the Partnership itself has no
officers or directors and is managed by MLIM AS LLC. Trading decisions are made
by the Advisors on behalf of the Partnership. MLIM AS LLC promotes the
Partnership and is its controlling person.

                  The managers and executive officers of MLIM AS LLC and their
respective business backgrounds are as follows:

<Table>
<S>                   <C>
FABIO P. SAVOLDELLI   Chairman, Chief Executive Officer and Manager

ROBERT M. ALDERMAN    Manager

FRANK M. MACIOCE      Vice President and Manager

STEVEN B. OLGIN       Vice President, Chief Administrative  Officer and Manager

MICHAEL L. PUNGELLO   Vice President, Chief Financial Officer and Treasurer
</Table>

                  Fabio P. Savoldelli was born in 1961.  Mr. Savoldelli is
Chairman, Chief Executive Officer and a Manager of  MLIM AS LLC.  He oversees
the Partnership's investments.  Most recently, Mr. Savoldelli was Chief
Investment Officer for the Americas at the Chase Manhattan Private Bank,
responsible for managers investing assets in international and domestic
institutional, private client and ERISA funds.  Previously, he was Deputy
Chief Investment Officer and Head of Fixed Income and Foreign Exchange at
Swiss Bank Corp. London Portfolio Management International. Mr. Savoldelli
was educated at the University of Windsor, Canada, and the London School of
Economics.

                  Effective March 1, 2002, Mr. Robert M. Alderman was elected
a manager of MLIM AS LLC. Mr. Alderman was born in 1960. Mr. Alderman is a
Managing Director of MLIM and global head of Retail Sales and Business
Management for Alternative Investments. Prior to re-joining Merrill Lynch and
the International Private Client Group in 1999, he was a partner in the
Nashville, Tennessee based firm of J.C. Bradford & Co. where he was the
Director of Marketing, and a National Sales Manager for Prudential
Investments. Mr. Alderman first joined Merrill Lynch in 1987 where he worked
until 1997. During his tenure at Merrill Lynch, Mr. Alderman has held
positions in Financial Planning, Asset Management and High Net Worth
Services. He received his Master's of Business Administration from the Carroll
School of Management Boston College and a Bachelor of Arts from Clark
University. Mr. Alderman was elected as a Manager effective March 1, 2002.

                  Frank M. Macioce was born in 1945. Mr. Macioce is a Vice
President and a Manager of MLIM AS LLC and the senior legal counsel responsible
for Alternative Investments. He joined MLIM in February 2000. From 1995 to 2000,
Mr. Macioce was General Counsel of Operations, Services and Technology for
Merrill Lynch, and from 1993 to 1995 served as Merrill Lynch Investment Banking
General Counsel. From 1980 to 1993 he served as Assistant General Counsel of
Merrill Lynch responsible for Corporate Law. During his 28 years with Merrill
Lynch, he has served as a director and officer of a number of its affiliates.
Mr. Macioce graduated from Purdue University with a Bachelor of Science in
Economics and Psychology in 1967 and from Vanderbilt Law School with a Juris
Doctor in 1972. Mr. Macioce is a member of the New York Bar.

                  Steven B. Olgin was born in 1960.  Mr. Olgin is a Vice
President, Chief Adminstrative Officer and a Manager of MLIM AS LLC.  He
joined MLIM AS LLC in July 1994 and became a Vice President in July 1995.
From 1986 until July 1994, Mr. Olgin was an associate of the law firm of
Sidley & Austin. In 1982, Mr. Olgin graduated from The American University
with a Bachelor of Science in Business Administration and a Bachelor of Arts
in Economics.  In 1986, he received his Juris Doctor from The John Marshall
Law School.  Mr. Olgin is a member of the Managed Funds Association's
Government Relations Committee and has served as an arbitrator for the
National Futures Association. Mr. Olgin is a member of the Illinois Bar.

                  Michael L. Pungello was born in 1957. Mr. Pungello is a
Vice President, Chief Financial Officer and Treasurer of MLIM AS LLC. He was
First Vice President and Senior Director of Finance for Merrill Lynch's
Operations, Services and Technology Group from January 1998 to March 1999.
Prior to that, Mr. Pungello spent over 18 years with Deloitte & Touche LLP,
and was a partner in their financial services practice from June 1990 to
December 1997. He graduated from Fordham University in 1979 with a Bachelor
of Science in Accounting and received his Master's of Business Administration
in Finance from New York University in 1987.

                  As of December 31, 2001, the principals of MLIM AS LLC had no
investment in the Partnership, and MLIM AS LLC's general partner interest in the
Partnership was valued at $84,376.


                                      13
<Page>

                  MLIM AS LLC acts as general partner to eleven public
futures funds whose units of limited partnership interest are registered
under the Securities Exchange Act of 1934: The Futures Expansion Fund Limited
Partnership, ML Futures Investments L.P., John W. Henry & Co./Millburn L.P.,
The S.E.C.T.O.R. Strategy Fund (SM) L.P., The SECTOR Strategy Fund (SM) II
L.P., The SECTOR Strategy Fund (SM) V L.P., The SECTOR Strategy Fund (SM) VI
L.P., ML Global Horizons L.P., ML Principal Protection L.P., ML JWH(R) Strategic
Allocation Fund L.P. and the Partnership. Because MLIM AS LLC serves as the
sole general partner of each of these funds, the officers and managers of
MLIM AS LLC effectively manage them as officers and directors of such funds.

         (c)      IDENTIFICATION OF CERTAIN SIGNIFICANT EMPLOYEES:

                  None.

         (d)      FAMILY RELATIONSHIPS:

                  None.

         (e)      BUSINESS EXPERIENCE:

                  See Items 10(a) and (b) above.

         (f)      INVOLVEMENT IN CERTAIN LEGAL PROCEEDINGS:

                  None.

         (g)      PROMOTERS AND CONTROL PERSONS:

                  Not applicable.

ITEM 11:  EXECUTIVE COMPENSATION

                  The managers and officers of MLIM AS LLC are remunerated by
MLIM AS LLC. The Partnership does not itself have any officers, directors or
employees. The Partnership pays Brokerage Commissions to MLPF&S of MLIM AS
LLC and Administrative Fees to MLIM AS LLC. MLIM AS LLC or its affiliates may
also receive certain economic benefits from holding the Partnership's U.S.
dollar assets. The managers and officers receive no "other compensation" from
the Partnership, and the managers receive no compensation for serving as
managers of MLIM AS LLC. There are no compensation plans or arrangements
relating to a change in control of either MLIM AS LLC or the Partnership.

ITEM 12:  SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT

         (a)      SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS:

                  As of December 31, 2001, no person or "group" is known to be
or have been the beneficial owner of more than 5% of the Units.

         (b)      SECURITY OWNERSHIP OF MANAGEMENT:

                  As of December 31, 2001, MLIM AS LLC owned 428 Units
(unit-equivalent general partnership interests), which was less than 1.1% of the
total Units outstanding.

         (c)      CHANGES IN CONTROL:

                  None.

ITEM 13:  CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS


                                      14
<Page>

         (a)      TRANSACTIONS BETWEEN MERRILL LYNCH AND THE PARTNERSHIP

                  All of the service providers to the Partnership, other than
the Advisors, are affiliates of Merrill Lynch. Merrill Lynch negotiated with the
Advisors over the level of their advisory fees and Profit Shares. However, none
of the fees paid by the Partnership to any Merrill Lynch party were negotiated,
and they are higher than would have been obtained in arms-length bargaining.

                  Through its investment in MM LLC, the Partnership pays
Merrill Lynch substantial Brokerage Commissions and Administrative Fees as
well as bid-ask spreads on forward currency trades. Through its investment in
MM LLC, the Partnership also pays MLPF&S interest on short-term loans
extended by MLPF&S to cover losses on foreign currency positions.

                  Within the Merrill Lynch organization, MLIM AS LLC is the
direct beneficiary of the revenues received by different Merrill Lynch entities
from the Partnership. MLIM AS LLC controls the management of the Partnership and
serves as its promoter. Although MLIM AS LLC has not sold any assets, directly
or indirectly, to the Partnership, MLIM AS LLC makes substantial profits from
the Partnership due to the foregoing revenues.

                  No loans have been, are or will be outstanding between MLIM AS
LLC or any of its principals and the Partnership.

                  MLIM AS LLC pays substantial selling commissions and trailing
commissions to MLPF&S for distributing the Units. MLIM AS LLC is ultimately paid
back for these expenditures from the revenues it receives from the Partnership.

         (b)      CERTAIN BUSINESS RELATIONSHIPS:

                  MLPF&S, an affiliate of MLIM AS LLC, acts as the principal
commodity broker for the Partnership.

                  In 2001, the Partnership through MM LLC, expensed the
following fees: (i) Brokerage Commissions of $736,883 to MLPF&S, which included
$110,783 in consulting fees earned by the Advisors; and (ii) Administrative Fees
of $21,054 to MLIM AS LLC. In addition, MLIM AS LLC and its affiliates may have
derived certain economic benefits from possession of the Partnership's assets,
as well as from foreign exchange and EFP trading.

                  See Item 1(c), "Narrative Description of Business -- Charges"
and "Description of Current Charges" for a discussion of other business dealings
between MLIM AS LLC affiliates and the Partnership.

         (c)      INDEBTEDNESS OF MANAGEMENT:

                  The Partnership is prohibited from making any loans to
management or otherwise.

         (d)      TRANSACTIONS WITH PROMOTERS:

                  Not applicable.


                                      15
<Page>

                                     PART IV

ITEM 14:  EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K

         (a)1.    FINANCIAL STATEMENTS:

<Table>
<Caption>
                                                                                         PAGE
                                                                                         ----
                  <S>                                                                    <C>
                  Independent Auditors' Report                                              1

                  Financial Statements:

                  Statements of Financial Condition as of December 31, 2001 and 2000        2

                  Statements of Operations For the years ended December 31, 2001,
                    2000 and 1999                                                           3

                  Statements of Changes in Partners' Capital For the years ended
                    December 31, 2001, 2000 and 1999                                        4

                  Financial Data Highlights for the year ended December 31, 2001            5

                  Notes to Financial Statements                                          6-11
</Table>

         (a)2.    FINANCIAL STATEMENT SCHEDULES:

                  Financial statement schedules not included in this Form 10-K
have been omitted for the reason that they are not required or are not
applicable or that equivalent information has been included in the financial
statements or notes thereto.

         (a)3.    EXHIBITS:

                  The following exhibits are incorporated by reference or are
                  filed herewith to this Annual Report on Form 10-K:

<Table>
<Caption>

DESIGNATION                DESCRIPTION
-----------                -----------
<S>                        <C>
3.01(i)                    Amended and Restated Certificate of Limited
                           Partnership of the Registrant, dated July 27, 1995.

EXHIBIT 3.01(i):           Is incorporated herein by reference from
                           Exhibit 3.01(d) contained in the Registrant's report
                           on Form 10-Q for the Quarter Ended June 30, 1995.

3.01(ii)                   Limited Partnership Agreement of the Partnership.

EXHIBIT 3.01(ii):          Is incorporated herein by reference from
                           Exhibit 3.01(a) contained in Amendment No. 1 (as
                           Exhibit A) to the Registration Statement (File No.
                           33-34432), filed on May 25, 1990 on Form S-1 under
                           the Securities Act of 1933 (the "Registrant's
                           Registration Statement").

10.01(o)                   Form of Advisory Agreement between the Partnership,
                           MLIM Alternative Strategies LLC, MLPF&S and each
                           Advisor.

EXHIBIT 10.01(o):          Is incorporated herein by reference from
                           Exhibit 10.01(o) contained in the Registrant's report
                           on Form 10-Q for the Quarter Ended June 30, 1995.

10.02(a)                   Form of Consulting Agreement between each Advisor of
                           the Partnership and MLPF&S.

EXHIBIT 10.02(a):          Is incorporated herein by reference from
                           Exhibit 10.02(a) contained in the Registrant's
                           Registration Statement.


                                      16
<Page>

10.03(a)                   Form of Customer Agreement between the Partnership
                           and MLPF&S.

EXHIBIT 10.03(a):          Is incorporated herein by reference from
                           Exhibit 10.03(a) contained in the Registrant's
                           Registration Statement.

10.06                      Foreign Exchange Desk Service Agreement among Merrill
                           Lynch Investment Bank, MLIM Alternative Strategies LLC,
                           MLPF&S and the Partnership.

EXHIBIT 10.06:             Is incorporated herein by reference from Exhibit 10.06
                           contained in the Registrant's report on Form 10-K for
                           the year ended December 31, 1996.

10.07(a)                   Form of Advisory and Consulting Agreement Amendment
                           among MLIM Alternative Strategies LLC, each Advisor,
                           the Partnership and MLPF&S.

EXHIBIT 10.07(A):          Is incorporated herein by reference from Exhibit
                           10.07(a) contained in the Registrant's report
                           on Form 10-K for the year ended December 31, 1996.

10.07(b)                   Form of Amendment to the Customer Agreement among the
                           Partnership and MLPF&S.

EXHIBIT 10.07(B):          Is incorporated herein by reference from Exhibit
                           10.07(b) contained in the Registrant's report on
                           Form 10-K for the year ended December 31, 1996.

13.01                      2001 Annual Report and Independent Auditors' Report.

EXHIBIT 13.01:             Is filed herewith.

13.01(a)                   2001 Annual Report and Independent  Auditors' Report
                           for the following Trading Limited Liability Company
                           sponsored by MLIM Alternative Strategies LLC:
                           ML Multi-Manager Portfolio LLC

EXHIBIT 13.01(a):          Is filed herewith.

28.01                      Prospectus of the Partnership dated June 1, 1990.

EXHIBIT 28.01:             Is incorporated by reference as filed with the
                           Securities and Exchange Commission pursuant to Rule
                           424 under the Securities Act of 1933 (File No.
                           33-34432) filed on June 7, 1990.
</Table>

         (b)      REPORT ON FORM 8-K:

                  No reports on Form 8-K were filed during the fourth quarter of
2001.


                                      17
<Page>

                                   SIGNATURES

         Pursuant to the requirements of Section 13 or 15(d) 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 II L.P.

                                  By:  MLIM ALTERNATIVE STRATEGIES LLC
                                       (FORMERLY MERRILL LYNCH INVESTMENT
                                       PARTNERS INC.)

                                  General Partner

                                  By: /s/ Fabio P. Savoldelli
                                     ------------------------
                                            Fabio P. Savoldelli
                                            Chairman, Chief Executive Officer
                                            and Manager
                                            (Principal Executive Officer)


         Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, this report has been signed on March 29, 2002 by the
following persons on behalf of the Registrant and in the capacities indicated.

<Table>
<Caption>

SIGNATURE                     TITLE                                                        DATE
---------                     -----                                                        ----
<S>                           <C>                                                          <C>
/s/ Fabio P. Savoldelli       Chairman, Chief Executive Officer and Manager                March 29, 2002
-----------------------       (Principal Executive Officer)
Fabio P. Savoldelli

/s/ Robert M. Alderman        Manager                                                      March 29, 2002
-----------------------
Robert M. Alderman

/s/ Steven B. Olgin           Vice President, Chief Administrative Officer and Manager     March 29, 2002
-------------------
Steven B. Olgin

/s/ Michael L. Pungello       Vice President, Chief Financial Officer and Treasurer        March 29, 2002
-----------------------       (Principal Financial and Accounting Officer)
Michael L. Pungello

(Being the principal executive officer, the principal financial and accounting
officer and a majority of the managers of MLIM Alternative Strategies LLC)

MLIM ALTERNATIVE STRATEGIES LLC             General Partner of Registrant                  March 29, 2002


By /s/ Fabio P. Salvodelli
   -----------------------
       Fabio P. Savoldelli

</Table>


                                      18
<Page>

                         ML FUTURES INVESTMENTS II L.P.

                                 2001 FORM 10-K

                                INDEX TO EXHIBITS
<Table>
<Caption>
                              EXHIBIT
                              -------
<S>                        <C>
Exhibit 13.01              2001 Annual Report and Independent Auditors' Report

Exhibit 13.01(a)           2001 Annual Report and Independent Auditors' Report
                           for the following Trading Limited Liability Company
                           sponsored by MLIM Alternative Strategies LLC:
                           ML Multi-Manager Portfolio LLC
</Table>


                                      19