<Page>
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended September 30, 2005
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the transition period from ________________ to ________________
Commission File Number 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 Merrill Lynch Alternative Investments LLC
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/ /
Indicate by check mark whether registrant is an accelerated filer (as defined by
Rule 12b-2 of the Act). Yes / / No /X/
Indicate by check mark whether registrant is a shell company (as defined by Rule
12b-2 of the Act). Yes / / No /X/
<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>
SEPTEMBER 30,
2005 DECEMBER 31,
(UNAUDITED) 2004
-------------- --------------
ASSETS
Investments in Trading LLCs $ 22,258,596 $ 27,635,033
Receivable from Trading LLCs 197,012 601,536
-------------- --------------
TOTAL ASSETS $ 22,455,608 $ 28,236,569
============== ==============
LIABILITIES AND PARTNERS' CAPITAL
LIABILITIES:
Administrative fees $ 12,250 $ 50,000
Redemptions payable 184,762 551,536
-------------- --------------
Total liabilities 197,012 601,536
-------------- --------------
PARTNERS' CAPITAL:
General Partner:
(189 and 209 Series A Units) 63,818 80,720
(425 and 478 Series B Units) 116,462 149,823
(296 and 339 Series C Units) 63,223 82,822
Limited Partners:
(16,993 and 18,554 Series A Units) 5,737,893 7,165,985
(38,588 and 41,696 Series B Units) 10,574,171 13,069,071
(26,700 and 29,006 Series C Units) 5,703,029 7,086,612
-------------- --------------
Total partners' capital 22,258,596 27,635,033
-------------- --------------
TOTAL LIABILITIES AND PARTNERS' CAPITAL $ 22,455,608 $ 28,236,569
============== ==============
NET ASSET VALUE PER UNIT
Series A (Based on 17,182 and 18,763 Units outstanding) $ 337.66 $ 386.22
============== ==============
Series B (Based on 39,013 and 42,174 Units outstanding) $ 274.03 $ 313.44
============== ==============
Series C (Based on 26,996 and 29,345 Units outstanding) $ 213.60 $ 244.32
============== ==============
</Table>
See notes to financial statements.
2
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JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF OPERATIONS
(unaudited)
<Table>
<Caption>
FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2005 2004 2005 2004
-------------- -------------- -------------- --------------
TRADING PROFITS (LOSSES):
Realized $ (281,922) $ (3,076,834) $ (1,569,565) $ (4,756,662)
Change in unrealized (1,082,602) 1,579,555 (690,785) (845,517)
-------------- -------------- -------------- --------------
Total trading losses (1,364,524) (1,497,279) (2,260,350) (5,602,179)
-------------- -------------- -------------- --------------
INVESTMENT INCOME:
Interest income 202,708 91,782 531,657 245,942
-------------- -------------- -------------- --------------
EXPENSES:
Brokerage commissions 489,338 479,439 1,525,893 1,733,551
Profit shares - - - 33,869
Administrative fees 51,141 164,100 155,128 370,243
-------------- -------------- -------------- --------------
Total expenses 540,479 643,539 1,681,021 2,137,663
-------------- -------------- -------------- --------------
NET INVESTMENT LOSS (337,771) (551,757) (1,149,364) (1,891,721)
-------------- -------------- -------------- --------------
NET LOSS $ (1,702,295) $ (2,049,036) $ (3,409,714) $ (7,493,900)
============== ============== ============== ==============
NET LOSS PER UNIT:
Weighted average number of General Partner
and Limited Partner Units outstanding
Series A 17,239 19,274 18,112 19,521
============== ============== ============== ==============
Series B 39,658 42,971 41,005 44,389
============== ============== ============== ==============
Series C 27,729 31,838 28,323 32,456
============== ============== ============== ==============
Net loss per weighted average General Partner
and Limited Partner Unit by series
Series A $ (25.35) $ (27.52) $ (48.63) $ (98.73)
============== ============== ============== ==============
Series B $ (20.63) $ (22.39) $ (39.64) $ (79.36)
============== ============== ============== ==============
Series C $ (16.12) $ (17.48) $ (31.90) $ (62.98)
============== ============== ============== ==============
</Table>
Substantially all items of income and expense related to the Trading LLCs are
allocated to the Partnership.
See notes to financial statements.
3
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JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2005 AND 2004
(unaudited)
<Table>
<Caption>
UNITS GENERAL PARTNER
------------------------------------------ ------------------------------------------
SERIES A SERIES B SERIES C SERIES A SERIES B SERIES C
------------ ------------ ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
December 31, 2003 20,448 47,044 33,466 $ 83,679 $ 155,512 $ 85,946
Net loss - - - (20,838) (38,896) (21,471)
Redemptions (1,200) (4,405) (1,705) - - -
------------ ------------ ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
September 30, 2004 19,248 42,639 31,761 $ 62,841 $ 116,616 $ 64,475
============ ============ ============ ============ ============ ============
PARTNERS' CAPITAL,
December 31, 2004 18,763 42,174 29,345 $ 80,720 $ 149,823 $ 82,822
Net loss - - - (9,940) (18,389) (10,130)
Redemptions (1,581) (3,161) (2,349) (6,962) (14,972) (9,469)
------------ ------------ ------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
September 30, 2005 17,182 39,013 26,996 $ 63,818 $ 116,462 $ 63,223
============ ============ ============ ============ ============ ============
<Caption>
LIMITED PARTNERS
------------------------------------------
SERIES A SERIES B SERIES C TOTAL
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
December 31, 2003 $ 8,103,322 $ 15,149,651 $ 8,398,728 $ 31,976,838
Net loss (1,906,452) (3,483,768) (2,022,475) (7,493,900)
Redemptions (472,305) (1,380,213) (399,976) (2,252,494)
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
September 30, 2004 $ 5,724,565 $ 10,285,670 $ 5,976,277 $ 22,230,444
============ ============ ============ ============
PARTNERS' CAPITAL,
December 31, 2004 $ 7,165,985 $ 13,069,071 $ 7,086,612 $ 27,635,033
Net loss (870,792) (1,607,040) (893,423) (3,409,714)
Redemptions (557,300) (887,860) (490,160) (1,966,723)
------------ ------------ ------------ ------------
PARTNERS' CAPITAL,
September 30, 2005 $ 5,737,893 $ 10,574,171 $ 5,703,029 $ 22,258,596
============ ============ ============ ============
</Table>
See notes to financial statements.
4
<Page>
JOHN W. HENRY & CO./MILLBURN L.P.
(A DELAWARE LIMITED PARTNERSHIP)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
In the opinion of management, the financial statements contain all adjustments
necessary to present fairly the financial position of John W. Henry &
Co./Millburn L.P. (the "Partnership") as of September 30, 2005, and the results
of its operations for the three and nine month periods ended September 30, 2005
and 2004. However, the operating results for the interim periods may not be
indicative of the results for the full year.
Certain information and footnote disclosures normally included in annual
financial statements prepared in 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,
2004.
2. INVESTMENTS
As of September 30, 2005, the Partnership had investments in ML JWH Financials
and Metals Portfolio LLC ("JWH LLC") and Millburn Global LLC ("Millburn LLC")
(collectively, "Trading LLCs") of $11,129,298 and $11,129,298, respectively. As
of December 31, 2004, the Partnership had investments in JWH LLC and Millburn
LLC of $13,817,517 and $13,817,516, respectively.
Condensed statements of financial condition and statements of operations for JWH
LLC and Millburn LLC are set forth as follows:
<Table>
<Caption>
SEPTEMBER 30, 2005
(UNAUDITED) DECEMBER 31, 2004
------------------------------- -------------------------------
JWH MILLBURN JWH MILLBURN
LLC LLC LLC LLC
-------------- -------------- -------------- --------------
Assets $ 11,190,859 $ 12,761,732 $ 15,414,858 $ 13,923,728
============== ============== ============== ==============
Liabilities $ 61,561 $ 1,632,434 $ 1,597,341 $ 106,212
Members' Capital 11,129,298 11,129,298 13,817,517 13,817,516
-------------- -------------- -------------- --------------
Total $ 11,190,859 $ 12,761,732 $ 15,414,858 $ 13,923,728
============== ============== ============== ==============
</Table>
5
<Page>
<Table>
<Caption>
JWH LLC
FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, 2005 SEPTEMBER 30, 2004 SEPTEMBER 30, 2005 SEPTEMBER 30, 2004
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
------------------ ------------------ ------------------ ------------------
Revenues $ (2,036,374) $ (499,081) $ (2,577,314) $ (2,816,380)
Expenses 232,545 247,526 759,557 919,324
------------------ ------------------ ------------------ ------------------
Net Loss $ (2,268,919) $ (746,607) $ (3,336,871) $ (3,735,704)
================== ================== ================== ==================
<Caption>
MILLBURN LLC
FOR THE THREE FOR THE THREE FOR THE NINE FOR THE NINE
MONTHS ENDED MONTHS ENDED MONTHS ENDED MONTHS ENDED
SEPTEMBER 30, 2005 SEPTEMBER 30, 2004 SEPTEMBER 30, 2005 SEPTEMBER 30, 2004
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
------------------ ------------------ ------------------ ------------------
Revenues $ 874,558 $ (906,416) $ 848,621 $ (2,539,857)
Expenses 271,184 246,014 811,214 899,083
------------------ ------------------ ------------------ ------------------
Net Income (Loss) $ 603,374 $ (1,152,430) $ 37,407 $ (3,438,940)
================== ================== ================== ==================
</Table>
3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The Partnership invests indirectly in derivative instruments by investing in the
Trading LLCs but does not itself hold any derivative instrument positions. The
nature of this Partnership has certain risks, which cannot be presented on the
financial statements. The following summarizes some of those risks.
MARKET RISK
Derivative 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 financial instruments or commodities
underlying such derivative instruments frequently results in changes in the net
unrealized profit (loss) on such derivative instruments as reflected in the
respective Statements of 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.
Merrill Lynch Alternative Investments LLC ("MLAI"), the General Partner, has
procedures in place intended to control market risk exposure, although there
can be no assurance that they will, in fact, succeed in doing so. These
procedures focus primarily on monitoring the trading of the Advisors selected
for the Partnership from time to time, calculating the Net Asset Values of
the Advisors' respective 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 MLAI does not
itself intervene in the markets to hedge or diversify the Partnership's
market exposure, MLAI 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 and unless it appears that an Advisor has begun to
deviate from past practice and trading policies or to be trading erratically,
MLAI's basic risk control procedures consist simply of the ongoing process of
advisor monitoring and selection, with the market risk controls being applied
by the Advisors themselves.
6
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CREDIT RISK
The risks associated with exchange-traded contracts are typically perceived to
be less than those associated with over-the-counter (non-exchange-traded)
transactions, because exchanges typically (but not universally) provide
clearinghouse arrangements in which the collective credit (in some cases limited
in amount, in some cases not) of the members of the exchange is pledged to
support the financial integrity of the exchange. In over-the-counter
transactions, on the other hand, traders must rely solely on the credit of their
respective individual counterparties. Margins, which may be subject to loss in
the event of a default, are generally required in exchange trading, and
counterparties may require margin in the over-the-counter markets.
The Partnership, through 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, Pierce, Fenner & Smith Inc.,
("MLPF&S") acting as its commodity broker. Pursuant to the brokerage agreement
with MLPF&S (which includes a netting arrangement), to the extent that such
trading results in receivables from and payables to MLPF&S, these receivables
and payables are offset and reported as a net receivable or payable and included
in net unrealized profit on open contracts on the Trading LLC's Statements of
Financial Condition.
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. JUL. AUG. SEP.
------------------------------------------------------------------------------------------------
2004 $ 405.87 $ 422.69 $ 405.35 $ 363.10 $ 342.77 $ 328.18 $ 298.88 $ 303.02 $ 300.68
2005 $ 358.46 $ 348.10 $ 331.64 $ 320.87 $ 337.99 $ 363.01 $ 356.04 $ 329.68 $ 337.66
</Table>
MONTH-END NET ASSET VALUE PER SERIES B UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP.
------------------------------------------------------------------------------------------------
2004 $ 329.80 $ 343.47 $ 329.38 $ 294.84 $ 278.12 $ 266.28 $ 242.50 $ 245.86 $ 243.96
2005 $ 290.90 $ 282.50 $ 269.14 $ 260.40 $ 274.30 $ 294.60 $ 288.94 $ 267.55 $ 274.03
</Table>
MONTH-END NET ASSET VALUE PER SERIES C UNIT
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN. JUL. AUG. SEP.
------------------------------------------------------------------------------------------------
2004 $ 257.00 $ 267.65 $ 256.68 $ 229.80 $ 216.82 $ 207.59 $ 189.06 $ 191.68 $ 190.19
2005 $ 226.75 $ 220.20 $ 209.79 $ 202.98 $ 213.81 $ 229.63 $ 225.22 $ 208.55 $ 213.60
</Table>
7
<Page>
Performance Summary
All of the Partnership's assets are invested in Trading LLCs. The Partnership
receives trading profits as an investor in the Trading LLCs . The following
commentary describes the trading results of the Trading LLCs.
JANUARY 1, 2005 TO SEPTEMBER 30, 2005
January 1, 2005 to March 31, 2005
The Partnership was unprofitable for the first quarter of 2005. In the beginning
of the quarter, many trend-following programs experienced difficulty, as larger
trends which started in the fourth quarter reversed during the quarter. Global
equity markets sold-off after rallying in December. The U.S. dollar began
strengthening and metal markets also sold-off. Throughout the remainder of the
quarter, many longer-term trend-following programs experienced difficulty, as
markets remained quite range bound and choppy.
The currency sector began the first quarter with a loss, as the U.S. dollar
strengthened against various other currencies. Gains achieved in exposure to the
Japanese yen were outweighed by losses in the Euro, Canadian dollar and
Australian dollar. At mid-quarter, gains generated in exposure to the Australian
dollar and Polish zloty were outweighed by losses in the Euro, Japanese yen and
Swiss franc. At the end of the quarter, gains generated in exposure to the
Japanese yen and Swiss franc were outweighed by losses in the Polish zloty,
Brazilian real, and Australian dollar.
The metals sector also posted losses, as markets sold off on slower growth
estimates in 2005. Both exposure to industrial and precious metals detracted
from performance. The sector gained during the quarter as markets rallied in
both the precious and industrial sub-sectors, particularly gold, copper and
aluminum. However, the sector ended the quarter with a loss as gains in
non-precious metals such as aluminum and copper were offset by losses in silver
and gold contracts.
A loss was posted for the stock indices sector, as markets reversed and sold
off. Major losses were from exposure to the United States and Asia. During the
quarter, a gain was posted, as exposure to Asian equities and selected U.S.
equities posted gains. A loss was realized at the end of the quarter as exposure
to U.S. equities and Asian equities contributed to the bulk of losses.
The interest rate sector was the poorest performing sector for the first
quarter. The beginning of the quarter had gains generated in exposure to
Japanese, U.S. and European fixed income. Toward the end of the quarter, gains
were generated at the front end of the U.S. curve, while losses were experienced
in exposure to European and Japanese fixed income. Losses were mainly from
exposure to German and Japanese fixed income instruments. Profits were made from
short exposure to Eurodollar and U.S. Treasury note contracts.
April 1, 2005 to June 30, 2005
Gains were posted in the interest rate and currency sectors, while losses were
incurred trading in stock indices and the metals sector. There were net trading
profits overall.
Trading in interest rates provided the greatest amount of gains for the
Partnership, posting gains throughout the quarter. A sell off of stocks and an
increase in bond investments during the quarter sparked a rally in interest
rates. Long exposure to European bonds and a rally in the bond market attributed
to profits.
The currency sector posted a gain for the quarter, despite losses incurred early
in the quarter. Losses early in the quarter were posted as currency trading
continued to be challenging and the U.S. dollar
8
<Page>
remained in a tight range. The U.S. dollar strengthened based on the widening
interest rate differential versus many developed countries. Exposure to the
Euro, Japanese yen and Swiss frank were the main drivers of performance.
Trading in stock indices was unprofitable for the Partnership, despite profits
posted the latter half of the quarter. Weak U.S. economic data and disappointing
earnings reports sent global equities lower early in the quarter. Long exposure
to European and Asian stock indices generated gains which outweighed losses from
exposure to the U.S. markets.
The metals sector posted the largest losses for the Partnership during the
quarter. Base metals took a step back causing losses in aluminum and copper.
Gold and silver prices showed volatile price behavior which also generated
losses. Slight gains posted mid-quarter due to exposure to precious metals, but
weren't enough to outweigh the losses for the quarter. The metals sector
continued its decline as gold sold off due to a strengthening U.S. dollar.
July 1, 2005 to September 30, 2005
The stock indices sector was profitable for the quarter, while losses were
posted for the metals sector, the currencies sector, and the interest rate
sector. Longer-term trend-following programs experienced difficulty under
volatile market conditions resulting from terror attacks in London and the
devaluation of the Chinese Yuan in July and Hurricane Katrina in August. As a
result, an overall loss was posted for the quarter.
Stock indices posted a gain for the quarter. Gains were experienced early on as
global indices rallied at the beginning of the quarter. Long exposure across the
sector, both domestic and international, contributed to the positive
performance. The largest gains came from exposure to the Nikkei and the NASDAQ.
Gains continued during the quarter as the Nikkei and TOPIX rallied as the
Japanese economy grew for the third straight quarter. The Nikkei rallied to a
four year high. Optimism for Japanese growth and the election victory of Prime
Minister Koizumi sparked a rally in Japanese equities. Other global equities
experienced heightened volatility, partly due to the potential impact of
Hurricane Katrina, and posted losses as a result.
The metals sector posted a loss for the quarter. Gold prices fell from recent
highs as the U.S. dollar strengthened. Copper prices were driven higher on
stronger global economic data, which generated positive performance for the
portfolio, but these gains did not outweigh losses in exposure to precious
metals, particularly gold and silver. Towards the end of the quarter, the sector
posted a gain as gold and copper trended higher. Gold rallied on increased fear
of inflationary pressures due to higher energy costs. Exposure to base metals,
particularly aluminum and nickel, muted some of these gains.
A loss was posted for the currencies sector. The quarter began with a gain as
the U.S. dollar strengthened based on widening interest rate differential versus
many developed countries. The currency markets were extremely volatile in
reaction to China ending its policy of pegging its currency at 8.3 Yuan to the
U.S. dollar. China revalued the Yuan by 2.1% in July. Exposure to the Japanese
yen and the Swiss franc were the main drivers of performance, while exposure to
the Australian dollar detracted from performance. Halfway through the quarter,
the U.S. dollar began to decline against most major currencies. The decline was
a result of the expected slowdown in growth due to higher energy prices in the
U.S. Gains in exposure to the Canadian dollar were outweighed by losses in
exposure to the Japanese yen, Swiss franc, and British pound. The resurgent U.S.
dollar gained against the Japanese yen at the end of the quarter. However, the
gains were offset by exposure to the British pound.
The interest rate sector posted the largest loss for the quarter. Stronger than
expected economic growth in the U.S., Europe, and Japan caused a sell off in
global bond markets at the beginning of the quarter. Exposure to the German
Bund, Japanese government bonds, and the U.S. Treasury bond were the main
detractors from performance. Concerns over Hurricane Katrina and the impact it
would have on energy
9
<Page>
prices sparked a rally at the end of August in global bond markets, contributing
further to losses. Volatility increased in the markets contributing to a
significant loss at the end of the quarter. As it became clear that the
hurricanes in the United States would not send the economy into recession, U.S.
Treasury rates began to rise causing additional losses in the portfolio.
JANUARY 1, 2004 TO SEPTEMBER 30, 2004
All of the Partnership's assets are invested in the Trading LLCs. The
Partnership receives trading profits as an investor in the Trading LLCs. The
following commentary describes the trading results of the Trading LLCs.
January 1, 2004 to March 31, 2004
Gains were experienced in the interest rate, metals and stock indices and losses
in the currency sector. Overall, the Partnership experienced a positive rate of
return for the quarter.
The interest rate sector posted the largest gains. In January, the fixed income
market slowly drifted higher, but exhibited reversals, mainly due to foreign
exchange moves. Profits were generated from various positions at the short end
of the yield curve in the U.S. and Europe, while losses were posted at longer
points in the yield curve in both the U.S. and Europe. In February, fixed income
markets resumed their slow upward trend. The overall sector exposure had been
limited compared to historical exposures but profits were generated from both
U.S. and German yield curves. Gains were also posted in March. Long exposure to
most of the major global yield curves generated positive results. German Bunds
and the longer end of the U.S. yield curve posted gains, while Japanese exposure
detracted from performance.
The metals sector posted gains for the quarter. In January, long positions in
both precious and industrial metals generated positive returns. Copper continued
to move higher and rose to its highest price in more than six years due to
supply disruptions and heavy demand from new home construction. Gold also
reached highs not seen since 1988. In February, industrial metals generated
positive returns from the long side, while precious metals detracted from
performance. Base metals continued their upward move as the sector experienced
strong demand, shrinking supply and U.S. dollar weakness, helping to drive
prices higher. Strong industrial demand for copper and continued speculative
interest pushed the market to a seven year high. In March, industrial metals and
precious metals, especially gold, contributed to profits.
Stock indices also posted gains for the quarter. Stock indices posted a profit
for January as long exposure to global equities from momentum based and
fundamental models performed well. The main drivers to performance in this
sector were the DAX and the NASDAQ Indices. In February, exposure to global
equities produced negative performance. Asian equities produced positive
performance while other markets, specifically the U.S., outweighed those gains.
Stock indices posted a small gain for March. Asian equity exposure outperformed
U.S. exposure during the month.
The currency sector experienced losses despite gains early in the quarter. In
January, the currency sector continued its long trend of a weakening U.S.
dollar. Currency trading was very choppy, but gains were generated in the
earlier part of the month. The currency sector posted losses for the month of
February under highly volatile market conditions. The main event in the currency
markets was the meeting of the G-7 Finance Ministers, hoping that some
indication would be given as to the future directions of the U.S. dollar. The
U.S. dollar continued to be range bound after the meeting. Gains in the British
pound were not able to offset losses in other major or minor currency markets.
Losses were also posted in March under difficult trading conditions. All of the
political events during the month and rumors of the Bank of Japan's intervention
policies caused for significant uncertainty in the markets. Early U.S. dollar
strength turned around towards the end of the month and a large drop right at
the month's close saw the U.S. dollar fall to four year lows against the
Japanese yen.
10
<Page>
April 1, 2004 to June 30, 2004
Losses were experienced in all four sectors. Overall, the Partnership
experienced a negative rate of return for the quarter.
The metals sector posted a loss for the quarter. In April, the combination of
the U.S. dollar strengthening and the fear of higher interest rates, which would
curb growth, caused base and precious metals to sell-off. Most markets during
May were range-bound and the U.S. dollar did not provide any momentum to these
markets. Exposure to aluminum was the main cause for losses as the market sold
off during the month of May. In June, industrial metals detracted from
performance as well as precious metals. Both industrial and precious metals
generated losses throughout the quarter.
Stock indices posted a net loss for the quarter. Equities rallied in the early
part of April, but fear of rate increases based on positive economic news sent
equities falling with a steep sell-off towards month's end. During May, equities
worldwide were weak on continued concerns of the imminent rate increases in U.S.
interest rates. The Japanese Nikkei index experienced a sudden deterioration in
sentiment, which sent the market plunging approximately 5% in one day. Exposure
to this region and other equity indices generated losses, which were not
overcome in the latter part of the month. Volatility was very low throughout
June and there has not been a clear direction in the markets. Losses were
incurred in both the U.S. and global equity positioning.
The currency sector also posted losses for each month of the quarter. The U.S.
dollar strengthened considerably during the month, with the Euro falling below
120 and the British pound falling to 1.77 in April. Gains in the Euro and the
Swiss franc were outweighed by losses in the Japanese yen and British pound
positioning. In May the U.S. dollar weakened against major currencies except for
the Australian dollar after strengthening considerably during the prior month.
Significant reversals occurred early in the month and led to range-bound market,
which creates a difficult environment for this trading style. In June, many
currency markets continued to be range bound waiting for the Federal Reserve's
decision on short term interest rates. Losses were incurred from positions in
the Euro, Swiss franc, British pound and other major markets.
The interest rate sector posted a loss for the quarter. The fixed income markets
experienced heightened volatility and fell sharply on April 2nd, followed by a
short bounce and then trended down for the rest of the month. Eurodollars and
short Sterling exposure proved profitable during the month of May, though the
sector posted a small loss for the month. Bond markets were fairly range bound
during the month, although yields on the ten-year note in the U.S. reached their
highest levels since July 2002. Bonds continued to be fairly range bound pending
the release of economic data and action by the U.S. Federal Reserve during the
month of June. Eurodollars fell early in the month and finally gained 28 basis
points from their lows. Gains in trading Japanese Government Bonds were
outweighed by losses in trading both U.S. fixed income and the European yield
curve.
July 1, 2004 to September 30, 2004
Losses were experienced in the stock indices and currency sectors, with gains in
the interest rate and metals sectors. Overall, the Partnership experienced a
negative rate of return for the quarter.
The interest rate sector posted a gain for the quarter despite losses posted in
July. In July, U.S. bond prices rallied for a second month on weaker employment
data. Bond prices in Europe advanced, while in Japan they declined. Eurodollar
futures rose sharply, as inflation figures were strong. In August, U.S. bond
prices rallied early in the month following the release of lackluster payroll
data. Bond prices in Europe also advanced. In September, U.S. Treasury markets
reacted to the employment data with a violent sell-off at the beginning of the
month, which caused a slight reduction in exposure. Softer economic data
eventually pushed longer-term maturities higher by the end of the month. Gains
in trading Japanese bonds outweighed losses in other global yield curves.
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The metals sector posted a small gain for the quarter. Industrial metals
detracted from performance in July, as gains in copper could not offset losses
in aluminum positioning. Gold exposure also detracted from performance as prices
posted a modest gain. In August, gains in precious metals outweighed losses in
base metals. Industrial metals detracted from performance, particularly, copper.
Gold prices rose, as weak economic data continued to drive down expectations of
future rate hikes in the U.S. In September, industrial metals, particularly
copper added to performance. Copper rallied based on increasing demand from
China and tight supply conditions.
Trading in stock indices posted a loss for the quarter. Major global equity
markets recorded sharp declines in July. In August, on average, global equity
indices were largely unchanged for the month after an initial sell-off and rally
at the end of the month. Gains in the U.S. outweighed losses in exposure to
Asian and European equities. Global equity indices experienced a small rally
during September. European equities outperformed the U.S. and Asian markets.
Gains in European equities were outweighed by losses in Asian and U.S. equities
exposure.
The currency sector posted the largest losses for the quarter. Currency markets
remain choppy as the market continues to react to new releases of weak economic
data. July began with a U.S. dollar sell-off, as a disappointing employment
report was released, and then went onto rally, based on a robust forecast for
U.S. economic growth by Federal Reserve Chairman, Alan Greenspan. The portfolio
had reduced exposure during the latter part of the month, as the U.S. dollar
strengthened. Losses were incurred in most major markets traded. Uncertainty
about the future macroeconomic environment resulted in random price moves and a
lack of any sustainable trends within the sector in August. The majority of the
losses came from positioning in the Japanese yen, the Euro and the British
pound. Most currency markets remained range bound versus the U.S. dollar
throughout September. The positive non-farm payroll data initially caused an
appreciation of the U.S. dollar, which later faded toward the end of the month,
as the announcement of China joining the G-8 meeting re-ignited a U.S. dollar
weakening. Losses in Japanese yen and British pound outweighed gains in the
Canadian dollar and Euro.
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Item 3. Quantitative and Qualitative Disclosures About Market Risk
Not applicable
Item 4. Controls and Procedures
Merrill Lynch Alternative Investments LLC, the General Partner of John W. Henry
& Co./Millburn L.P., with the participation of the General Partner's Chief
Executive Officer and the Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership as of the end of the period of this
quarterly report, and, based on this evaluation, has concluded that these
disclosure controls and procedures are effective. Additionally, there were no
significant changes in the Partnership's internal controls or in other factors
that could significantly affect these controls subsequent to the date of their
evaluation, including any corrective actions with regard to significant
deficiencies and material weaknesses.
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PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Partnership, Trading
LLCs or MLAI is a party.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other information
None.
Item 6. Exhibits and Reports on Form 8-K.
(a) EXHIBITS
The following exhibits are incorporated by reference or are
filed herewith to this Quarterly Report on Form 10-Q:
31.01 and
31.02 Rule 13a-14(a)/15d-14(a) Certifications
EXHIBIT 31.01
AND 31.02: Are filed herewith.
32.01 and
32.02 Section 1350 Certifications
EXHIBIT 32.01
AND 32.02: Are filed herewith.
(b) REPORTS ON FORM 8-K
There were no reports on Form 8-K filed during the first nine months
of fiscal 2005.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
JOHN W. HENRY & CO./MILLBURN L.P.
By: MERRIL LYNCH ALTERNATIVE
INVESTMENTS LLC
General Partner
Date: November 14, 2005 By /S/ ROBERT M. ALDERMAN
----------------------
Robert M. Alderman
Chairman, Chief Executive Officer and Manager
(Principal Executive Officer)
Date: November 14, 2005 By /S/ MICHAEL L. PUNGELLO
-----------------------
Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
15