<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, 2001
-------------
OR
( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
---------------- ----------------
Commission File Number 0-18215
JOHN W. HENRY & CO./MILLBURN L.P.
---------------------------------
(Exact Name of Registrant as
specified in its charter)
Delaware 06-1287586
- ----------------------------------- ---------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)
c/o MLIM Alternative Strategies LLC
(formerly, Merrill Lynch Investment Partners, Inc.)
Princeton Corporate Campus
800 Scudders Mill Road - Section 2G
Plainsboro, New Jersey 08536
----------------------------
(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
JOHN W. HENRY & CO./MILLBURN L.P.
(a Delaware Limited Partnership)
--------------------------------
STATEMENTS OF FINANCIAL CONDITION
<Table>
<Caption>
JUNE 30, DECEMBER 31,
2001 2000
(UNAUDITED)
-------------- --------------
ASSETS
Investments $ 27,509,210 $ 29,423,145
Receivable from investments 371,616 414,650
-------------- --------------
TOTAL $ 27,880,826 $ 29,837,795
============== ==============
LIABILITY AND PARTNERS' CAPITAL
Redemptions payable $ 371,616 $ 414,650
-------------- --------------
Total liabilities 371,616 414,650
-------------- --------------
PARTNERS' CAPITAL:
General Partner:
(327 and 327 Series A Units) 86,865 84,379
(728 and 728 Series B Units) 157,122 152,621
(532 and 532 Series C Units) 89,484 86,921
Limited Partners:
(27,007 and 28,737 Series A Units) 7,174,198 7,415,475
(59,321 and 66,325 Series B Units) 12,803,051 13,906,094
(42,796 and 47,598 Series C Units) 7,198,490 7,777,655
-------------- --------------
Total partners' capital 27,509,210 29,423,145
-------------- --------------
TOTAL $ 27,880,826 $ 29,837,795
============== ==============
NET ASSET VALUE PER UNIT
Series A (based on 27,334 and 29,064 Units outstanding) $ 265.64 $ 258.05
============== ==============
Series B (based on 60,049 and 67,053 Units outstanding) $ 215.83 $ 209.67
============== ==============
Series C (based on 43,328 and 48,130 Units outstanding) $ 168.20 $ 163.40
============== ==============
</Table>
See notes to financial statements.
2
<Page>
JOHN W. HENRY & CO./MILLBURN LP
(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,
2001 2000 2001 2000
(unaudited) (unaudited) (unaudited) (unaudited)
--------------- --------------- --------------- ---------------
REVENUES:
Income (loss) from investments $ (3,381,495) $ (4,121,469) $ 962,197 $ (8,895,947)
--------------- --------------- --------------- ---------------
NET INCOME (LOSS) $ (3,381,495) $ (4,121,469) $ 962,197 $ (8,895,947)
=============== =============== =============== ===============
NET INCOME (LOSS) PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding 134,221 183,583 137,794 193,505
=============== =============== =============== ===============
Net income (loss) per weighted average
General Partner and Limited Partner Unit $ (25.19) $ (22.45) $ 6.98 $ (45.97)
=============== =============== =============== ===============
</Table>
See notes to financial statements.
3
<Page>
JOHN W. HENRY & CO./MILLBURN L.P.
(a Delaware Limited Partnership)
--------------------------------
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE SIX MONTHS ENDED JUNE 30, 2001 AND 2000
(unaudited)
<Table>
<Caption>
UNITS GENERAL PARTNER
SERIES A SERIES B SERIES C SERIES A SERIES B SERIES C SERIES A
---------- ---------- ---------- ------------ --------------- ------------- --------------
PARTNERS' CAPITAL,
December 31, 1999 39,839 101,789 66,670 $ 131,110 $ 282,923 $ 152,600 $ 10,232,683
Net loss -- -- -- (26,969) (56,297) (29,734) (2,155,386)
Redemptions (4,925) (16,878) (11,429) (16,686) (48,448) (30,206) (1,129,185)
---------- ---------- ---------- ------------ --------------- ------------- --------------
PARTNERS' CAPITAL,
June 30, 2000 34,914 84,911 55,241 $ 87,455 $ 178,178 $ 92,660 $ 6,948,112
========== ========== ========== ============ =============== ============= ==============
PARTNERS' CAPITAL,
December 31, 2000 29,064 67,053 48,130 $ 84,379 $ 152,621 $ 86,921 $ 7,415,475
Net income -- -- -- 2,486 4,501 2,563 221,308
Redemptions (1,730) (7,004) (4,802) -- -- -- (462,585)
---------- ---------- ---------- ------------ --------------- ------------- --------------
PARTNERS' CAPITAL,
June 30, 2001 27,334 60,049 43,328 86,865 157,122 89,484 7,174,198
========== ========== ========== ============ =============== ============= ==============
<Caption>
LIMITED PARTNERS
SERIES B SERIES C TOTAL
---------------- ------------- --------------
PARTNERS' CAPITAL,
December 31, 1999 $ 21,241,923 $10,834,933 $ 42,876,172
Net loss (4,390,200) (2,237,361) (8,895,947)
Redemptions (3,123,230) (1,639,245) (5,987,000)
---------------- ------------- --------------
PARTNERS' CAPITAL,
June 30, 2000 $ 13,728,493 $ 6,958,327 $ 27,993,225
================ ============= ==============
PARTNERS' CAPITAL,
December 31, 2000 $ 13,906,094 $ 7,777,655 $ 29,423,145
Net income 464,795 266,544 962,197
Redemptions (1,567,838) (845,709) (2,876,132)
---------------- ------------- --------------
PARTNERS' CAPITAL,
June 30, 2001 $ 12,803,051 $ 7,198,490 $ 27,509,210
================ ============= ==============
</Table>
See notes to financial statements.
4
<Page>
John W. Henry & Co./Millburn LP
--------------------------------
(a Delaware limited partnership)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
These financial statements have been prepared without audit. In the opinion
of management, the financial statements contain all adjustments (consisting
of only normal recurring adjustments) necessary to present fairly the
financial position of John W. Henry & Co./Millburn L.P. (the "Partnership")
as of June 30, 2001, and the results of its operations for the three and
six month periods ended June 30, 2001 and 2000. However, the operating
results for the interim periods may not be indicative of the results
expected for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in conformity with accounting principles
general 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, 2000 (the "Annual Report").
2. INVESTMENTS
As of June 30, 2001, the Partnership had an investment in ML JWH Financials
and Metals Portfolio L.L.C. ("JWH LLC") and Millburn Global L.L.C.
("Millburn LLC") of $14,448,747 and $13,060,463 respectively. For the year
ending December 31, 2000, the Partnership had an investment in JWH LLC and
Millburn LLC of $15,281,744 and $14,141,401, respectively.
Total revenues and fees with respect to the Partnership's investment are
set forth as follows:
5
<Page>
<Table>
<Caption>
For the three months TOTAL BROKERAGE ADMINISTRATIVE LOSS FROM
ended June 30, 2001 REVENUE COMMISSIONS FEES INVESTMENTS
----------------- ----------------- ----------------- -----------------
SERIES A UNITS
JWH LLC (unaudited) $ (447,319) $ 84,713 $ 2,492 $ (534,524)
Millburn LLC (unaudited) (259,263) 76,076 2,237 (337,576)
----------------- ----------------- ----------------- -----------------
Total $ (706,582) $ 160,789 $ 4,729 $ (872,100)
================= ================= ================= =================
SERIES B UNITS
JWH LLC (unaudited) $ (824,753) $ 155,011 $ 4,559 $ (984,323)
Millburn LLC (unaudited) (479,591) 140,337 4,128 (624,056)
----------------- ----------------- ----------------- -----------------
Total $ (1,304,344) $ 295,348 $ 8,687 $ (1,608,379)
================= ================= ================= =================
SERIES C UNITS
JWH LLC (unaudited) $ (461,564) $ 86,742 $ 2,551 $ (550,857)
Millburn LLC (unaudited) (269,316) 78,533 2,310 (350,159)
----------------- ----------------- ----------------- -----------------
Total $ (730,880) $ 165,275 $ 4,861 $ (901,016)
================= ================= ================= =================
TOTAL ALL UNITS
JWH LLC (unaudited) $ (1,733,636) $ 326,466 $ 9,602 $ (2,069,704)
Millburn LLC (unaudited) (1,008,170) 294,946 8,675 (1,311,791)
----------------- ----------------- ----------------- -----------------
Total $ (2,741,806) $ 621,412 $ 18,277 $ (3,381,495)
================= ================= ================= =================
</Table>
<Table>
<Caption>
For the three months
ended June 30, 2000 TOTAL BROKERAGE ADMINISTRATIVE LOSS FROM
REVENUE COMMISSIONS FEES INVESTMENTS
----------------- ----------------- ----------------- -----------------
SERIES A UNITS
JWH LLC (unaudited) $ (225,656) $ 89,588 $ 2,358 $ (317,602)
Millburn LLC (unaudited) (600,858) 96,491 2,539 (699,888)
---------------- ---------------- ---------------- -----------------
Total $ (826,514) $ 186,079 $ 4,897 $ (1,017,490)
================= ================= ================= =================
SERIES B UNITS
JWH LLC (unaudited) $ (448,256) $ 182,504 $ 4,804 $ (635,564)
Millburn LLC (unaudited) (1,227,232) 198,210 5,216 (1,430,658)
---------------- ---------------- ---------------- -----------------
Total $ (1,675,488) $ 380,714 $ 10,020 $ (2,066,222)
================= ================= ================= =================
SERIES C UNITS
JWH LLC (unaudited) $ (222,427) $ 92,282 $ 2,427 $ (317,136)
Millburn LLC (unaudited) (617,744) 100,239 2,638 (720,621)
---------------- ---------------- ---------------- -----------------
Total $ (840,171) $ 192,521 $ 5,065 $ (1,037,757)
================= ================= ================= =================
TOTAL ALL UNITS
JWH LLC (unaudited) $ (896,339) $ 364,374 $ 9,589 $ (1,270,302)
Millburn LLC (unaudited) (2,445,834) 394,940 10,393 (2,851,167)
---------------- ---------------- ---------------- -----------------
Total $ (3,342,173) $ 759,314 $ 19,982 $ (4,121,469)
================= ================= ================= =================
</Table>
6
<Page>
<Table>
<Caption>
For the six months
ended June 30, 2001 TOTAL BROKERAGE ADMINISTRATIVE INCOME FROM
REVENUE COMMISSIONS FEES INVESTMENTS
----------------- ----------------- ----------------- -----------------
SERIES A UNITS
JWH LLC (unaudited) $ 339,382 $ 172,886 $ 5,085 $ 161,411
Millburn LLC (unaudited) 220,843 153,934 4,527 62,382
----------------- ----------------- ----------------- -----------------
Total $ 560,225 $ 326,820 $ 9,612 $ 223,793
================= ================= ================= =================
SERIES B UNITS
JWH LLC (unaudited) $ 663,049 $ 321,647 $ 9,460 $ 331,942
Millburn LLC (unaudited) 434,517 288,673 8,490 137,354
----------------- ----------------- ----------------- -----------------
Total $ 1,097,566 $ 610,320 $ 17,950 $ 469,296
================= ================= ================= =================
SERIES C UNITS
JWH LLC (unaudited) $ 375,864 $ 180,372 $ 5,305 $ 190,187
Millburn LLC (unaudited) 245,554 161,871 4,762 78,921
----------------- ----------------- ----------------- -----------------
Total $ 621,418 $ 342,243 $ 10,067 $ 269,108
================= ================= ================= =================
TOTAL ALL UNITS
JWH LLC (unaudited) $ 1,378,295 $ 674,905 $ 19,850 $ 683,540
Millburn LLC (unaudited) 900,914 604,478 17,779 278,657
----------------- ----------------- ----------------- -----------------
Total $ 2,279,209 $ 1,279,383 $ 37,629 $ 962,197
================= ================= ================= =================
</Table>
<Table>
<Caption>
For the six months
ended June 30, 2000 TOTAL BROKERAGE ADMINISTRATIVE LOSS FROM
REVENUE COMMISSIONS FEES INVESTMENTS
----------------- ----------------- ----------------- -----------------
SERIES A UNITS
JWH LLC (unaudited) $ (673,976) $ 193,456 $ 5,092 $ (872,524)
Millburn LLC (unaudited) (1,084,727) 219,332 5,772 (1,309,831)
----------------- ----------------- ----------------- -----------------
Total $ (1,758,703) $ 412,788 $ 10,864 $ (2,182,355)
================= ================= ================= =================
SERIES B UNITS
JWH LLC (unaudited) $ (1,362,598) $ 394,931 $ 10,394 $ (1,767,923)
Millburn LLC (unaudited) (2,215,171) 451,521 11,882 (2,678,574)
----------------- ----------------- ----------------- -----------------
Total $ (3,577,769) $ 846,452 $ 22,276 $ (4,446,497)
================= ================= ================= =================
SERIES C UNITS
JWH LLC (unaudited) $ (694,217) $ 201,462 $ 5,301 $ (900,980)
Millburn LLC (unaudited) (1,129,619) 230,432 6,064 (1,366,115)
----------------- ----------------- ----------------- -----------------
Total $ (1,823,836) $ 431,894 $ 11,365 $ (2,267,095)
================= ================= ================= =================
TOTAL ALL UNITS
JWH LLC (unaudited) $ (2,730,791) $ 789,849 $ 20,787 $ (3,541,427)
Millburn LLC (unaudited) (4,429,517) 901,285 23,718 (5,354,520)
----------------- ----------------- ----------------- -----------------
Total $ (7,160,308) $ 1,691,134 $ 44,505 $ (8,895,947)
================= ================= ================= =================
</Table>
7
<Page>
Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:
<Table>
<Caption>
JUNE 30, 2001
(unaudited) DECEMBER 31, 2000
-------------------------------- --------------------------------
JWH MILLBURN JWH MILLBURN
LLC LLC LLC LLC
--------------- --------------- --------------- ---------------
Assets $ 14,771,385 $ 13,336,834 $ 15,631,088 $ 14,448,475
=============== =============== =============== ===============
Liabilities $ 322,638 $ 276,371 $ 349,344 $ 307,074
Members' Capital
14,448,747 13,060,463 15,281,744 14,141,401
--------------- --------------- --------------- ---------------
Total $ 14,771,385 $ 13,336,834 $ 15,631,088 $ 14,448,475
=============== =============== =============== ===============
</Table>
<Table>
<Caption>
JWH LLC
FOR THE THREE FOR THE THREE FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS MONTHS
ENDED JUNE 30, ENDED JUNE 30, ENDED JUNE 30, ENDED JUNE 30,
2001 2000 2001 2000
(unaudited) (unaudited) (unaudited) (unaudited)
--------------- --------------- --------------- ---------------
Revenues $ (1,733,636) $ (896,339) $ 1,378,295 $ (2,730,791)
Expenses 336,068 373,963 694,755 810,636
--------------- --------------- --------------- ---------------
Net Income (Loss) $ (2,069,704) $ (1,270,302) $ 683,540 $ (3,541,427)
=============== =============== =============== ===============
</Table>
<Table>
<Caption>
MILLBURN LLC
FOR THE THREE FOR THE THREE FOR THE SIX FOR THE SIX
MONTHS MONTHS MONTHS MONTHS
ENDED JUNE 30, ENDED JUNE 30, ENDED JUNE 30, ENDED JUNE 30,
2001 2000 2001 2000
(unaudited) (unaudited) (unaudited) (unaudited)
--------------- --------------- --------------- ---------------
Revenues $ (1,008,170) $ (2,445,834) $ 900,914 $ (4,429,517)
Expenses
303,621 405,333 622,257 925,003
--------------- --------------- --------------- ---------------
Net Income (Loss) $ (1,311,791) $ (2,851,167) $ 278,657 $ (5,354,520)
=============== =============== =============== ===============
</Table>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The Partnership invests all of its assets in Trading LLCs. Accordingly, the
Partnership is invested indirectly in derivative instruments, but does not
itself hold any derivative instrument positions. The application of the
provisions of Statement of Financial Accounting Standards ("SFAS") No. 133,
as amended by SFAS No. 137 and SFAS No. 138, did not have a significant
effect on the financial statements of the Partnership.
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 resulted in changes in the Trading LLC's net unrealized profit
(loss) on such derivative instruments as reflected in the Statements of
8
<Page>
Financial Condition of the Trading LLCs. The Partnership's exposure to
market risk is influenced by a number of factors, including the
relationships among the derivative instruments held by the Partnership,
through the Trading LLCs, as well as the volatility and liquidity of
such markets in which such derivative instruments are traded.
The General Partner, MLIM Alternative Strategies LLC, ("MLIM AS LLC")
(formerly, Merrill Lynch Investment Partners, Inc.) has procedures in
place intended to control market risk exposure, although there can be no
assurance that they will, in fact, succeed in doing so. These procedures
focus primarily on monitoring the trading of the Advisors selected from
time to time for the Partnership, calculating the Net Asset Value of the
Advisors' respective Trading LLC accounts as of the close of business on
each day and reviewing outstanding positions for over-concentrations both
on an Advisor-by-Advisor and on an overall Partnership basis. While MLIM
AS LLC does not itself intervene in the markets to hedge or diversify the
Partnership's market exposure, MLIM AS LLC may urge Advisors to reallocate
positions, or itself reallocate Partnership assets among Advisors
(although typically only as of the end of a month) in an attempt to avoid
over-concentration. However, such interventions are unusual. Except in
cases in which it appears that an Advisor has begun to deviate from past
practice and trading policies or to be trading erratically, MLIM AS LLC's
basic risk control procedures consist simply of the ongoing process of
advisor monitoring and selection, with the market risk controls being
applied by the Advisors themselves.
CREDIT RISK
The risks associated with exchange-traded contracts are typically perceived
to be less than those associated with over-the-counter
(non-exchange-traded) transactions, because exchanges typically (but not
universally) provide clearinghouse arrangements in which the collective
credit (in some cases limited in amount, in some cases not) of the members
of the exchange is pledged to support the financial integrity of the
exchange. In over-the-counter transactions, on the other hand, traders must
rely solely on the credit of their respective individual counterparties.
Margins, which may be subject to loss in the event of a default, are
generally required in exchange trading, and counterparties may also require
margin in the over-the-counter markets.
The Partnership, through the Trading LLCs, has credit risk in respect 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 the Trading LLCs, in its normal course of
business, enters into various contracts, with Merrill Lynch Futures ("MLF")
acting as its commodity broker. Pursuant to the brokerage agreement with
MLF (which includes a netting arrangement), to the extent that such trading
results in receivables from and payables to MLF, these receivables and
payables are offset and reported as a net receivable or payable and
included in the Statements of Financial Condition of the Trading LLCs under
Equity in commodity futures trading accounts.
9
<Page>
Item 2: Management's Discussion and Analysis of Financial Condition and
Results of Operations
MONTH-END NET ASSET VALUE PER SERIES A UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
2000 $255.72 $238.38 $230.44 $230.52 $221.13 $201.51
2001 $264.13 $265.03 $297.36 $274.43 $279.83 $265.64
</Table>
MONTH-END NET ASSET VALUE PER SERIES B UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
2000 $207.89 $193.79 $187.32 $187.37 $179.72 $163.78
2001 $214.61 $215.32 $241.58 $222.96 $227.36 $215.83
</Table>
MONTH-END NET ASSET VALUE PER SERIES C UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
2000 $162.02 $151.03 $145.99 $146.03 $140.07 $127.64
2001 $167.25 $167.81 $188.27 $173.76 $177.19 $168.20
</Table>
Performance Summary
All of the Partnership's assets are invested in Trading LLCs. The
Partnership receives trading profits as an investor in Trading LLCs . The
following commentary describes the trading results of Trading LLCs.
JANUARY 1, 2001 to JUNE 30, 2001
--------------------------------
January 1, 2001 to March 31, 2001
Trading in the interest rate markets was profitable during the quarter.
Euro dollar trading was successful in January as the weakening U.S. economy
and the Federal Reserve's move to cut interest rates caused Euro dollar
futures contracts to rise dramatically from December 2000 lows. Japanese
ten-year bonds and Euro-bund cross futures trading was profitable in
February and March.
Despite its volatility, trading in the currency markets resulted in gains.
Losses from the British pound and the Euro offset early gains from Japanese
yen positions. By February, the Euro fell from a near high 96 cents back to
the 90-cent level, causing losses in long Euro positions. Profits from
Japanese yen and Swiss franc positions realized in March erased losses
sustained earlier in the quarter.
Stock index trading was moderately successful for the Partnership. Profits
from Hang Seng and FTSE Financial Times Stock Index outweighed losses from
Nikkei 225, DAX German Stock Index and Topix positions. Global equity
markets remain caught between negative news about earnings and the
potential positive effects of further monetary easings.
Metals trading was moderately unprofitable for the Partnership. Gold,
copper and aluminum trading alternated between profitability and
unprofitability throughout the quarter.
April 1, 2001 to June 30, 2001
Trading in the metals sector incurred slight losses. Weakness in the
Euro, a decline in the Australian dollar to all time lows and producer and
central bank selling sent gold prices lower. Copper trading was
unprofitable despite a number of bullish developments due to existing
demand constraints.
Stock index trading sustained losses throughout the quarter on FTSE
Financial Times Stock Index, Nikkei 225 and NASDAQ 100 positions.
Trading in the currency markets was not profitable. Losses occurred from
Japanese yen positions. The further weakening of the yen displayed how the
global economy is not immune to the economic slowdown of the U.S. currency
markets remained concerned with a hard landing for the Japanese economy.
The Euro continued its downward trend versus the U.S. dollar.
Trading in the interest rate sector was highly unprofitable for the
Partnership. Positions in Euro-Bund futures, U.S. Treasury bonds and U.S.
10-year notes had significant losses.
10
<Page>
JANUARY 1, 2000 to JUNE 30, 2000
--------------------------------
January 1, 2000 to March 31, 2000
Currency trading alternated through out the month as gains in Swiss franc
positions were outweighed by losses in British pound trading in the
beginning of the quarter. Despite evidence of expansion in Europe, the
Swiss franc slipped to a 10-year low against the dollar. This move mimicked
the decline in the Euro which came after officials from the Group of Seven
met and failed to express concern about the low levels of the European
currency. Trading during the middle of the quarter was profitable through
gains in Euro futures and Japanese yen trading. The Euro's continued
weakness can be attributed to a number of factors, including the slow pace
of microeconomic reform in Europe, plans for a European withholding tax and
the scale of direct investment flows outside of Europe. At the end of the
quarter, losses were sustained in Japanese yen and British pound positions.
The yen has been strong in spite of Japan's slide back into recession
during the second half of 1999.
Trading in Nikkei 225 Stock Index positions resulted in losses for the
Partnership. The losses suffered early in the quarter rebounded to close
at its highest level since 1997 and carried on throughout mid-quarter.
Positions in the Nikkei 225 and FTSE Financial Times Stock Index resulted
in profits for the Partnership. The economy in the United Kingdom has been
growing at a robust pace and is accompanied by low inflation.
Metals trading was unprofitable for the quarter. Concerns about higher U.S.
interest rates and the sharp declines in global stock prices during January
created a somewhat nervous and defensive tone in base metals trading.
Trading was unprofitable in February due to losses in gold and aluminum.
Mid-month reports showed aluminum inventories monitored by the London Metal
Exchange at their highest level in almost three years, resulting in a
decrease in prices.
Short Eurodollar trading was profitable as the currency continued to
decline in January. The European Union ministers blamed the currency's
slide in January on rapid U.S. growth and fears that the Federal Reserve
will increase U.S. interest rates. These profits were far outweighed by
losses in the Japanese 10-year bond, U.S. 10-year Treasury note positions
and long U.S. treasury positions as the yield curve fluctuated widely
during the quarter.
April 1, 2000 to June 30, 2000
Metals trading was unprofitable for the quarter. During the middle of the
quarter, copper trading resulted in losses for the sector. A Freeport,
Indonesia mine announced output cuts would not be as large as the
Indonesian government had forecast, resulting in losses for the
Partnership's long positions. Losses continued through the quarter as
trading in both base and precious metals was unprofitable as losses were
sustained in gold and aluminum positions. As has been the ongoing pattern,
gold showed virtually no response to activities in the financial and equity
markets, including the surge in energy prices.
Currency trading proved unprofitable for the Partnership. Early in the
quarter, gains from long Swiss franc positions could not outweighed losses
sustained in other currencies. Despite the dramatic interest rate hikes by
the Swiss National Bank ("SNB"), the SNB said it will not keep the Swiss
franc from rising. Currency trading resulted in losses for the sector
during May despite gains in short positions in the British pound, as losses
were sustained in Euro futures trading. The Euro rallied to U.S. $0.97
early in June, but faced profit-taking after news of some capital outflow
from Euroland.
Stock index trading was unprofitable as losses were sustained in Nikkei 225
and S&P 500 positions in the quarter. Signs of rising inflation fueled
fears that the Federal Reserve will continue to raise interest rates
aggressively to slow the robust economy.
11
<Page>
Interest rate trading results were unprofitable for the quarter. Losses
from U.S. Treasury note trading exceeded gains from Japanese 10-year bond
positions. U.S. yields fell during the month as investors shifted to
Treasuries due to increased volatility in the NASDAQ and other equity
markets. Losses were incurred in Euro dollar and Euro-Bund positions. Short
positions resulted in losses as the Euro dollar improved after the European
Central Bank's 50 basis point repo rate hike.
12
<Page>
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending legal proceedings to which the Partnership or MLIM AS LLC
is a party.
Item 2. Changes in Securities and Use of Proceeds
None.
None.
None.
None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other information
Effective May 31, 2001, Merrill Lynch Investment Partners, Inc.
("MLIP"), a Delaware corporation and General Partner of the
Partnership, converted to a Delaware limited liability company. In
connection with the conversion, MLIP's name was changed to MLIM
Alternative Strategies LLC ("MLIM AS LLC"). This step was taken in
connection with the ongoing reorganization of the various
alternative investment groups under the Merrill Lynch Investment
Managers umbrella. The change will have no impact on the
Partnership's investors.
All of the officers of MLIP continue in their former roles with
MLIM AS LLC, except that also effective May 31, 2001, Ronald S.
Rosenberg, formerly Chief Executive Officer of MLIP, became
President of MLIM AS LLC and Fabio P. Savoldelli, formerly
President of MLIP, became Chairman and Chief Executive Officer of
MLIM AS LLC. In addition, each of the four directors of MLIP now
serve on the board of managers of MLIM AS LLC.
Item 6. Exhibits and Reports on Form 8-K.
(a) EXHIBITS
There are no exhibits required to be filed as part of this report.
(b) REPORTS ON FORM 8-K
There were no reports on Form 8-K filed during the first six months of
fiscal 2001.
13
<Page>
SIGNATURE
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.
JOHN W. HENRY & CO./MILLBURN L.P.
By: MLIM ALTERNATIVE STRATEGIES LLC
(formerly Merrill Lynch Investment Partners, Inc.)
(General Partner)
Date: August 13, 2001 By /s/ FABIO SAVOLDELLI
--------------------
Fabio Savoldelli
Chairman,
Chief Executive Officer and Manager
Date: August 13, 2001 By /s/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
14